Professional Documents
Culture Documents
Derivative
DerivativeCorner
Corner
Derivative Snapshot
Derivative Round up
Nifty future has witnessed sell off in Morning
session but managed to close flat for the day.
Nifty has closed at 4914.60 Vs. Spot closing of
4905.80.
Nifty is expected to be volatile ahead of the
expiry session. Volatility index currently stays
around 26.50. PCR stands Neutral (PCR = 1).
NOV Nifty Future open interest has fallen by
1403800, whereas DEC Nifty Future open
interest has increased by 1370550, indicating
Rollover.
Market Picture
Index
S&P CNX NIFTY
Index
S&P CNX NIFTY
Spot
Future
Prem / Dis Open Interest CHG OI
4905.80 4914.60
+ 8.80
23649500
- 5.60 %
India VIX RSI
21 EMA
50 EMA
100 EMA
26.50
35.11
5111
5115
5192
28
5150
27
5100
5000
25
4950
24
4900
Millions
26
5050
5200
5100
5000
4900
4800
4700
22
4800
4750
21
Nov - 14
Nov - 15
Spot
Nov - 16
Nov - 17
Fut
Nov - 18
OI
1.50
1.00
0.50
0.00
PCR
Nifty
23
4850
Nifty V s P C R
Volume V s P C R
250
200
150
100
50
0
1.50
1.00
0.50
0.00
Nov - 14 Nov - 15 Nov - 16 Nov - 17 Nov - 18
Volum e
PCR
Date
Buy Value*
Sell Value*
Net*
Date
Buy Value*
Sell Value*
Net*
Nov - 14
Nov - 15
Nov - 16
Nov - 17
Nov - 18
2542.99
1698.84
1743.78
1943.27
1796.37
2221.37
2108.61
2232.67
2138.47
2667.99
321.62
-409.77
-488.89
-195.2
-871.62
Nov - 14
Nov - 15
Nov - 16
Nov - 17
Nov - 18
862.44
989.22
1374.11
1149.83
1375.06
871.74
783.26
1096.32
778.24
994.67
-9.3
205.96
277.79
371.59
380.39
*(Amt in crores)
Derivative Corner
NovemberPage
19, 2011
No 1
Derivative Corner
0.90
0.90
0.92
0.83
1.00
Buy Value*
Sell Value*
Net.Value*
Open.Int*
CHG.OI*
2929.70
28785.36
3964.11
555.17
3577.85
28114.63
3978.66
600.92
-648.15
670.73
-14.56
-45.75
16631.23
52667.64
29205.76
1049.03
633.29
6208.59
548.22
61.50
% CHG OI
3.96%
13.36%
1.91%
6.23%
*(Amt in crores)
Index Options
5000
17000
16500
16000
15500
15000
14500
14000
4000
3000
2000
1000
0
Nov - 14
Nov - 15
B uy V alue
Nov - 16
Nov - 17
S ell V alue
40000
60000
50000
40000
30000
20000
10000
0
30000
20000
10000
0
Nov - 18
Nov - 14
O pen Int
S toc k F utures
29400
29200
29000
28800
28600
28400
28200
4000
3000
2000
1000
0
Nov - 15
B uy V alue
Nov - 16
Nov - 17
S ell V alue
Nov - 16
Nov - 17
S ell V alue
Nov - 18
O pen Int
S toc k Options
5000
Nov - 14
Nov - 15
B uy V alue
Nov - 18
O pen Int
1100
700
600
500
400
300
200
100
0
1050
1000
950
900
850
Nov - 14
Nov - 15
B uy V alue
Nov - 16
Nov - 17
S ell V alue
Nov - 18
O pen Int
Page No -2
Derivative Corner
Option Dossier
Call Option
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Expiry
Strike_Price
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
4300
4400
4500
4600
4700
4800
4900
5000
5100
5200
5300
5400
5500
Put Option
INDICATOR
% CHG OI
Weight
-9.82%
-8.46%
-17.65%
-15.37%
13.49%
484.57%
22.70%
11.32%
8.93%
0.82%
-7.69%
-3.44%
-2.63%
Negative
Negative
Negative
Negative
Positive
Positive
Positive
Positive
Positive
Positive
Negative
Negative
Negative
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
0.02%
0.05%
0.28%
0.13%
0.46%
4.04%
8.61%
10.45%
12.57%
15.03%
13.05%
14.94%
9.50%
Expiry
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
Strike_Price
4300
4400
4500
4600
4700
4800
4900
5000
5100
5200
5300
5400
5500
INDICATOR
% CHG OI
Weight
1.63%
5.68%
12.51%
66.27%
35.98%
8.33%
-31.67%
-31.60%
-26.03%
-10.55%
-6.62%
-7.07%
-9.12%
Positive
Positive
Positive
Positive
Positive
Positive
Negative
Negative
Negative
Negative
Negative
Negative
Negative
1.97%
3.30%
6.04%
9.52%
15.18%
16.86%
12.39%
10.67%
5.42%
5.48%
3.61%
1.09%
0.85%
Nifty Future may trade in the range of 4800 to 5100 with negative bias.
Rationale: In the money call option 4800 and 4900 strike has witnessed massive increases in open interest along
with Put option Open interest weight is started to drift downwards from 5000 to 4800. This indicates some
negative bias.
Traders can short the future on any rise around 5050 along with the proper hedge of buying 5100 call.
Option Pictorials
C all Vs P ut - Open Interes t
C all W eight
5500
20%
0%
-20%
P utO I
5500
5400
5300
5200
5100
5000
4900
4800
-40%
4700
5500
5400
5300
5100
5000
4900
4800
5200
C HG O I
40%
4600
C all OI
4700
4600
4500
4400
4300
60%
4500
80%
4400
200%
100%
0%
-100%
7
6
5
4
3
2
1
0
4300
Millions
5400
P ut - Open Interes t Vs C H G OI
600%
500%
400%
300%
P ut W eight
Millions
5300
P utO I
5200
5500
5400
5300
5200
5100
5000
4900
4800
4700
4600
4500
4400
4300
C all OI
5100
0.0%
5000
4900
5.0%
4800
4700
10.0%
4600
4500
15.0%
4300
Millions
4400
C all Vs P ut - OI Weig ht
20.0%
C HG OI
Page No - 3
Derivative Corner
Close
2187.45
199.25
15.15
64.55
790.65
256.15
735.30
98.80
180.75
273.65
% CHG
3.43%
8.85%
0.66%
1.89%
2.09%
5.20%
1.44%
1.02%
1.43%
0.33%
% OI CHG
22.83%
17.57%
12.61%
7.00%
6.25%
5.72%
5.65%
4.70%
4.35%
4.01%
CHG OI
246500
1082000
294000
584000
49250
50000
42750
572000
16000
27000
Value_Lakhs
17445
9767
109
2956
4212
2415
1364
7639
315
1464
Fresh Long
Symbol
CHAMBLFERT
ADANIPOWER
GESHIP
VIDEOIND
MARUTI
SUZLON
KFA
IVRCLINFRA
COLPAL
PTC
Close
86.70
74.60
204.50
170.80
942.70
23.55
23.25
32.25
1009.50
49.20
% CHG
-3.07%
-1.65%
-4.93%
-0.18%
-0.84%
-5.61%
-1.69%
-10.54%
-0.67%
-5.20%
% OI CHG
33.29%
20.54%
16.45%
11.11%
11.06%
10.88%
10.51%
10.04%
9.89%
9.66%
CHG OI
1082000
1784000
63000
742000
340500
11200000
1152000
1008000
32500
472000
Value_Lakhs
6702
2508
449
4033
18672
18366
2889
5427
253
940
Fresh Short
Symbol
BOMDYEING
DLF
BPCL
TATACHEM
HINDALCO
JISLJALEQS
DABUR
BHUSANSTL
SCI
TATAMTRDVR
Close
364.55
204.75
521.70
330.20
123.95
118.80
97.00
322.70
62.95
88.95
% CHG
1.01%
0.84%
2.46%
0.24%
0.90%
2.33%
2.37%
2.17%
2.52%
1.08%
% OI CHG
-9.68%
-8.51%
-7.25%
-7.03%
-6.50%
-6.39%
-5.79%
-5.74%
-5.33%
-5.14%
CHG OI
-36000
-2310000
-131000
-32000
-1722000
-82000
-176000
-37500
-220000
-517500
Value_Lakhs
942
37360
5443
923
13414
525
389
766
354
1447
Short Covering
Symbol
IFCI
TATASTEEL
PRAJIND
IGL
OIL
BGRENERGY
ACC
EXIDEIND
SKUMARSYNF
PETRONET
Close
23.25
392.35
70.95
384.90
1227.05
275.60
1156.30
114.20
26.90
159.40
% CHG
-8.28%
-1.58%
-0.21%
-2.88%
-1.01%
-1.34%
-0.04%
-0.87%
-2.71%
-0.47%
% OI CHG
-7.99%
-6.02%
-5.58%
-5.48%
-5.18%
-5.14%
-4.74%
-4.34%
-4.21%
-3.43%
CHG OI
-6176000
-1476000
-188000
-11500
-2500
-56000
-54750
-100000
-644000
-106000
Value_Lakhs
8433
49397
1766
406
384
981
4863
1040
1454
4558
Long Unwinding
Page No - 4
Derivative Corner
EXPIRY_DT
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
CLOSE
1722.00
1247.25
772.75
392.35
170.95
810.85
968.60
204.75
2748.90
204.55
CONTRACTS
59580
19226
26918
25271
21799
21738
15707
18552
9758
6093
VAL_INLAKH
128125.46
58853.22
51397.16
49397.27
46353.8
43495.88
37694.99
37360.25
33535.12
30653.11
OPEN_INT
6404250
6701750
12308000
15426500
27400000
13046000
6827000
17659000
2600625
8797500
CHG_IN_OI
-9.54%
0.15%
-9.00%
-18.25%
-16.51%
-3.53%
-3.95%
-14.54%
-7.29%
-4.40%
OPEN_INT
547000
234875
178000
232000
172000
539000
107875
672375
735000
1740000
CHG_IN_OI
26.58%
18.55%
182.54%
72.17%
10.43%
62.11%
208.21%
10.18%
0.05%
-4.79%
OPEN_INT
221750
147750
202000
174500
108000
1556000
273000
157625
650000
148000
CHG_IN_OI
-3.06%
0.17%
-17.38%
-2.65%
44.48%
-6.60%
-9.30%
-4.18%
9.98%
92.21%
EXPIRY_DT
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
STRIKE_PR
1800
1750
800
820
1250
400
1700
1850
1900
180
CLOSE
10.35
22.55
20.20
10.40
21.95
6.05
45.55
4.90
2.50
1.25
VAL_INLAKH
15694.93
15163.08
8883.36
8035.5
7423.31
6506.57
5485.67
5151
4846.99
3958.93
EXPIRY_DT
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
24-Nov-11
STRIKE_PR
1700
1200
800
1750
1650
380
380
2700
200
780
CLOSE
24.00
8.65
9.25
49.30
10.40
1.85
4.40
19.00
3.90
4.55
VAL_INLAKH
13158.38
5646.3
4895.23
4721.13
4248.88
4077.33
3766.65
3596.1
3559.41
3374.42
Page No - 5
Derivative
Derivative Snapshot
Corner
% CHG
ACC
AMBUJACEM
AXISBANK
BAJAJ-AUTO
BHARTIARTL
BHEL
BPCL
CAIRN
CIPLA
COALINDIA
DLF
DRREDDY
GAIL
GRASIM
HCLTECH
HDFC
HDFCBANK
HEROMOTOCO
HINDALCO
HINDUNILVR
ICICIBANK
IDFC
INFY
ITC
JINDALSTEL
JPASSOCIAT
KOTAKBANK
LT
M&M
MARUTI
NTPC
ONGC
PNB
POWERGRID
RANBAXY
RCOM
RELIANCE
RELINFRA
RPOWER
SAIL
SBIN
SESAGOA
SIEMENS
STER
SUNPHARMA
TATAMOTORS
TATAPOWER
TATASTEEL
TCS
WIPRO
-0.69%
-0.52%
-2.17%
-1.50%
0.47%
-3.51%
2.45%
-0.19%
1.06%
-2.39%
0.32%
0.28%
-1.36%
-0.01%
-1.06%
1.66%
-0.23%
3.52%
0.69%
-0.22%
-1.04%
2.25%
-0.46%
-2.86%
-0.83%
-0.64%
-0.61%
0.96%
-2.70%
-0.69%
-1.64%
0.97%
0.50%
-2.13%
1.36%
-2.79%
-0.23%
-1.32%
0.06%
4.26%
-1.75%
-4.62%
1.31%
-0.32%
1.25%
-2.77%
2.21%
-2.17%
-2.56%
1.73%
Derivative Corner
1156.30
153.55
968.60
1699.15
397.85
276.90
521.70
309.90
313.20
298.20
204.75
1562.90
383.30
2334.45
402.35
646.05
459.85
2187.45
123.95
391.60
772.75
111.35
2748.90
202.45
538.15
62.55
476.85
1247.25
740.50
942.70
162.90
259.80
871.45
101.05
457.85
73.45
810.85
411.65
90.20
92.90
1722.00
184.45
735.30
108.60
497.90
170.95
97.35
392.35
1090.10
374.75
Prem /
Disc
5.80
0.75
4.40
6.75
0.35
2.05
0.75
2.70
-0.90
0.55
0.60
6.80
2.00
0.45
-1.90
0.45
1.55
-5.95
0.25
1.75
2.65
0.15
8.10
0.65
1.50
0.30
1.90
2.65
2.55
2.10
0.60
0.00
-5.55
0.10
-1.55
0.35
2.75
0.20
-0.40
-1.40
-4.65
0.90
4.15
0.40
-0.70
0.65
0.20
0.95
3.50
0.75
%OI CHG
Open Int
CHG OI
Call OI
Put OI
Rollover
-4.74%
-0.54%
-0.53%
-2.65%
3.96%
6.32%
-7.25%
-1.38%
-2.24%
6.93%
-8.51%
2.73%
-2.35%
-2.65%
5.97%
-1.45%
1.96%
22.83%
-6.50%
0.40%
-1.23%
-1.21%
1.12%
2.15%
1.84%
3.94%
-3.46%
2.03%
2.54%
11.06%
-0.70%
-0.85%
-1.84%
-0.98%
-2.68%
-1.49%
-0.49%
1.88%
-0.36%
0.04%
7.11%
-0.37%
5.65%
-1.35%
-1.30%
-2.19%
2.23%
-6.02%
-1.80%
-2.58%
1100500
9618000
8600500
1183000
19247000
13057500
1675000
13038000
3759000
11231000
24841000
836250
2494000
555750
3117000
8838500
18245000
1326000
24750000
14020000
15931250
28162000
3474500
38774000
4721500
43412000
4414500
7801500
5076000
3419500
22456000
11805000
5369500
8852000
3341000
26274000
15172000
4818000
26112000
15228000
8541250
12916000
799000
26594000
3456000
48530000
11567500
23050500
6186500
3712000
-54750
-52000
-45500
-32250
733000
775625
-131000
-183000
-86000
728000
-2310000
22250
-60000
-15125
175500
-130000
350000
246500
-1722000
56000
-198250
-344000
38625
816000
85500
1644000
-158000
155500
125500
340500
-158000
-101000
-100750
-88000
-92000
-398000
-74750
89000
-94000
6000
567000
-48000
42750
-364000
-45500
-1088750
252500
-1476000
-113500
-98500
73000
780000
365250
65750
1923000
651250
149500
365000
305000
2530000
15750
58000
2625
54500
348000
195625
93375
2302000
4320000
1237250
1470000
569250
1232000
73000
7040000
37000
578000
272500
191750
344000
784000
71250
248000
121500
3998000
210000
1435750
485000
1366000
714000
1454125
596000
30000
870000
41000
6485250
122500
1964000
451750
210000
102000
642000
1010750
76750
2562000
1626250
364500
613000
313000
6233000
17500
116000
5125
64500
928000
385000
106375
5317000
4285000
3891000
5486000
705875
3158000
138000
19332000
48500
2449750
780500
561750
1356000
3175000
310750
840000
415500
8896000
887500
4035750
804000
2472000
2520000
5452250
1920000
11750
3288000
81000
13125000
260000
5577000
573750
185500
21.74%
18.67%
20.62%
23.42%
23.29%
48.86%
10.96%
12.82%
20.78%
19.60%
28.91%
10.76%
15.80%
21.73%
8.97%
27.23%
23.90%
26.95%
15.68%
30.30%
22.74%
10.52%
25.15%
15.63%
14.18%
24.42%
13.08%
14.10%
18.57%
15.01%
32.93%
19.96%
31.67%
16.09%
10.66%
22.10%
14.01%
13.18%
27.67%
26.57%
25.02%
37.05%
10.29%
7.91%
17.07%
43.54%
32.25%
33.08%
21.02%
11.97%
24th Oct
Page
2011
No - 6
Derivative Corner
Event to Track
Research Basket
Research Product Cash Segment
Research
Product
Perspective
Frequency
Average
Returns
Objective
Report Location
Reports
Morning Call
Weekly Tracker
Monthly Report
Pre-market
open daily.
Every week
Monday
Every month
first week
Trading Products
BTST Calls
Intraday calls
(stocks)
Delivery Calls
short term
Delivery Calls
Medium term
Bonus Hunter
3-5%
2 calls per day
Minimum three
calls per day
Minimum 8 calls
per month
Minimum 4 calls
per month
1-2%
Depends on
bonus
announcement
4-8%
15-25%
4-6%
Risk Disclaimer: The views expressed in this report are based on technical analysis. The stop-loss levels mentioned should be strictly
followed. There is risk of loss in trading.
This report is for the personal information of the authorized recipient and does not construe to be any investment, legal or taxation advice
to you. Navia Markets Limited (hereinafter referred as Navia) is not soliciting any action based upon it. This report is not for public
distribution and has been furnished to you solely for your information and should not be reproduced or redistributed to any other person
in any form.
The report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be
relied upon such. Navia or any of its affiliates or employees shall not be in any way responsible for any loss or damage that may arise to any
person from any inadvertent error in the information contained in this report.
Navia and/or its affiliates and/or employees may have interests/ positions, financial or otherwise in the securities mentioned in this report.
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