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21st November, 2011

Navia Markets Ltd.

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.

Nifty Fut - Intraday

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

Nifty Spot Vs Future (OI)


5200

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

Nov - 14 Nov - 15 Nov - 16 Nov - 17 Nov - 18

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

FIIs Cash Segment Activity

PCR

DIIs Cash Segment Activity

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

Navia Markets Ltd.

Derivative Corner

NSE - Derivative Segment Turnover


Derivative Segment Value_Lakhs
Date
Index Fut Stock Fut Index.Opt Stock.Opt Total Value Index PCR Stock PCR PCR
14-Nov-11
10012
12149
75878
4279
102318
0.92
0.52
15-Nov-11
13672
12897
102677
4504
133749
0.92
0.54
16-Nov-11
18555
16267
139913
4522
179256
0.94
0.55
17-Nov-11
17969
15432
137678
4259
175339
0.84
0.56
18-Nov-11
18042
17727
154790
4500
195059
1.02
0.61

0.90
0.90
0.92
0.83
1.00

FII'S Flow in Derivative on 18th Nov 2011


Particulars
INDEX FUTURES
INDEX OPTIONS
STOCK FUTURES
STOCK OPTIONS

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)

FIIS Flow in Derivative Segment Fund Flow Analysis


Index F utures

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

Navia Markets Ltd.

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%

Short Term Outlook - Quantitative Analysis

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

C all - Open Interes t Vs C H G OI

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

Navia Markets Ltd.

Derivative Corner

Stock Specific Open Interest Analysis


Symbol
HEROMOTOCO
PANTALOONR
TRIVENI
DISHTV
JUBLFOOD
JETAIRWAYS
SIEMENS
IDEA
GMDCLTD
ORIENTBANK

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%

Com. Open Interest


1326000
7240000
2626000
8932000
837750
923500
799000
12732000
384000
701000

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%

Com. Open Interest


4332000
10468000
446000
7422000
3419500
114136000
12112000
11044000
361250
5356000

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%

Com. Open Interest


336000
24841000
1675000
423000
24750000
1202000
2866000
616000
3910000
9557500

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%

Com. Open Interest


71168000
23050500
3180000
198500
45750
1032500
1100500
2202000
14656000
2986000

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

Navia Markets Ltd.

Derivative Corner

Stock Specific Turnover Overview

Most Active Stock Futures


SYMBOL
SBIN
LT
ICICIBANK
TATASTEEL
TATAMOTORS
RELIANCE
AXISBANK
DLF
INFY
TITAN

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%

Most Active Stock Call Options


SYMBOL
SBIN
SBIN
RELIANCE
RELIANCE
LT
TATASTEEL
SBIN
SBIN
SBIN
TATAMOTORS

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

Most Active Stock Put Options


SYMBOL
SBIN
LT
RELIANCE
SBIN
SBIN
HINDUNILVR
TATASTEEL
INFY
DLF
RELIANCE

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

Short Term Derivative Trading Ideas


Symbol
View
Levels to Watch
Target Level
Rationale

: TATACHEM (CMP 330)


: Bullish
: Support
: 325/320
Resistance
:
340/345
: 340
: This stock is trading in its lower range and managed to close above its trend line. It is
expected to test its resistance level of 340. Open interest has fallen by 7% with price
rise of 0.25%, indicates short covering.

Page No - 5

Navia Markets Ltd.

Derivative
Derivative Snapshot
Corner

Nifty Stocks Complete Derivative View


SYMBOL

% 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

Spot. Close Fut.Close


1150.50
152.80
964.20
1692.40
397.50
274.85
520.95
307.20
314.10
297.65
204.15
1556.10
381.30
2334.00
404.25
645.60
458.30
2193.40
123.70
389.85
770.10
111.20
2740.80
201.80
536.65
62.25
474.95
1244.60
737.95
940.60
162.30
259.80
877.00
100.95
459.40
73.10
808.10
411.45
90.60
94.30
1726.65
183.55
731.15
108.20
498.60
170.30
97.15
391.40
1086.60
374.00

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

Navia Markets Ltd.

Derivative Corner
Event to Track

1. GDP (QoQ) British : Expected on 24th Nov 2011


2. GDP (QoQ) German :Expected on 25th Nov 2011

Research Basket
Research Product Cash Segment
Research
Product

Perspective

Frequency

Average
Returns
Objective

Report Location

Reports
Morning Call

Weekly Tracker

Monthly Report

Daily comprehensive snapshot,


technical view on indices and
trading calls
It comprises Nifty outlook, model
portfolio and medium term
delivery calls
It carriers detail technical
outlook on Nifty and stock
outlook

Pre-market
open daily.

Home page, Research page, CRM

Every week
Monday

Home Page, Research Page, CRM

Every month
first week

Home Page, Research Page, CRM

Trading Products
BTST Calls

Intraday calls
(stocks)
Delivery Calls
short term
Delivery Calls
Medium term
Bonus Hunter

Based on short-term technical


trends and stock specific
news/news expectations.

Calls will be generated based


upon the prevailing momentum
Calls will be generated based
upon breakout and trend
reversal
Based on bonus announcement
the call is generated with strict
SL and target.

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

Research Page. Also, forwarded via SMS and trading


terminal. Available in EoD report

4-8%

Research page. Also available in Morning call

15-25%

Research Page. Also forwarded via SMS and trading terminal.


And available in Morning call and Weekly tracker

4-6%

Research Page. Also, forwarded via SMS and trading


terminal. And available in EoD report

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.

Page No - 7

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