Derivatives Daily: Market Summary

Derivatives Daily
MarketSummary
Spot Current Previous Change(%) 5235.7 5199.25 0.70% FebFuture 5262.15 5223.35 0.74% Prem./ Disc 26.45 24.1 FuturesOI 24484100 24796900 1.26%
Jaypee Research Desk

equityresearch@jaypeeindia.com research@jaypeeusa.com
February 2, 2012
PCROI 1.42 1.42
VIX 22.89 22.66 1.02%
MarketSummary Overcoming initial weakness, the Bombay Stock Exchange benchmark Sensex gained 107 points today as funds bought bluechips and auto stocks on good monthly sales amid firm trend in the European markets. The NSE 50scrip index Nifty rose36.45points,or0.70percentto5,235.70. NiftyVIX NiftyVIXincreasedto22.89from22.66.ATMIVwas~21.1542%. PCR The PutCall Ratio for index options was at 1.42. Nifty 5000 PE for the February series now has highest cumulative OI with around0.38271croresharesoutstanding.
TurnoverSnapshot
Segment NSECash BSECash NSEF&O Total Turnover(` Cr)
14485.152
%ofTotal 12.47% 4.14% 83.39% 100.00%
Product IndexFutures StockFutures IndexOptions StockOptions F&OTotal
No.of contracts 465944 602951 N/A N/A 1068895
Turnover 11408 16595 63949 4881 96833
%change 4.09% 1.88% 18.58% 1.77% 11.20%
4,805.57 96833 116,123.72
Thetotalmarketturnoverwas116123.72crores,whichwasaround12%higherthanthatontheprevioustradingday.
TheturnoverintheF&Osectionwasaround11%higherthanthatontheprevioustradingday.
Service offerings: Trading, Advisory & Depository Services Equity Research Financial Planning & Mutual Fund Distribution www.jaypeeusa.com www.jaypeeindia.com
Derivatives Daily
StockF&OTrends
LongBuildUp
Symbol SUNTV=1ISEquity BIOS=1ISEquity CHMB=1ISEquity NACL=1ISEquity FB=1ISEquity OI 2676 2445 1447 693 752 OIChange(%) 39.00% 24.49% 23.99% 19.28% 17.68% PriceChange(%) 5.00% 0.51% 3.79% 4.33% 0.81%

February 2, 2012
Long Buildup was seen in Sun TV Network Ltd with 39% addtion in open interestand5%increaseinprice.
ShortBuildUp
Symbol IOCL=1ISEquity OINL=1ISEquity COAL=1ISEquity TTKPT=1ISEquity JI=1ISEquity OI 1381 321 9158 517 2422 OIChange(%) 33.00% 25.88% 21.57% 17.50% 17.17% PriceChange(%) 6.00% 0.94% 2.04% 2.81% 0.52%
Short Buildup was seen in Indian Oil Corp Ltd with 33% addtion in open interestand6%decreaseinprice.
LongUnwinding
Symbol GITG=1ISEquity BOS=1ISEquity ARVND=1ISEquity DELTA=1ISEquity HDFC=1ISEquity OI 3798 17 710 4342 26078 OIChange(%) 42.00% 15.00% 12.45% 9.86% 7.12% PriceChange(%) 1.00% 0.59% 1.64% 0.19% 1.22%
Long Unwinding was seen in Gitanjali Gems Ltd with 42% decrease in open interestand1%decreaseinprice.
ShortCovering
Symbol SWH=1ISEquity BRFL=1ISEquity KAIR=1ISEquity GOFF=1ISEquity KSO=1ISEquity OI 435 599 1389 480 1029 OIChange(%) 64.00% 30.67% 27.09% 24.17% 21.69% PriceChange(%) 3.00% 0.66% 3.19% 4.25% 9.42%
Short Covering was seen in Jindal South West Holdings Ltd with 64% decrease in open interest and 3% increaseinprice.
Derivatives Daily
NIFTYPCRAnalysis

February 2, 2012
CumulativeOpenInterest
9000000 8000000 7000000 6000000 5000000 4000000 3000000 2000000 1000000 0 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 OpenInterest('000)
C P
Strike
ChangeinOI
1500000 OpenInterestChange('000) 1000000 C P 0 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700
www.jaypeeusa.com www.jaypeeindia.com
500000
500000 Strike
ThePutCallRatioforNiftywasat1.42.PCRfortheFebruaryserieswasat1.45 In the Nifty February Series, Puts were added at 5100 and 5000 strikes. Nifty currently has highest cumulative OI on theputsideat5000strikeandhighestcumulativeOIonthecallsideat5300strike. The strike PCR at 5100 is above 2.00 indicating that market might find support at around 5100 levels. Strike PCR at 5300isbelow0.20.Hence5300shouldactasaresistanceforNiftyinthenearterm.
Service offerings: Trading, Advisory & Depository Services Equity Research Financial Planning & Mutual Fund Distribution
Derivatives Daily
FIIDerivativesActivity
BUY Symbol INDEXFUTURES STOCKFUTURES INDEXOPTIONS STOCKOPTIONS Total No.of contracts 52051 59253 450407 23158 584869 SELL Net

February 2, 2012
OpenInterest No.of contracts 443924 971277 1243820 38116 2697137 AmtinRs.Crores 11606 27105 32543 1050 72304
Amtin No.of Amtin No.of AmtinRs. Rs. contracts Rs.Crores contracts Crores Crores 1354 68837 1781 16786 427.0 1625 11649 649 15277 69997 431790 23328 593952 1965 11155 648 15549 10744 18617 170 9083 340 494.0 1 272
FIIandDIItradingactivity(Cash)
(Provisionaldata,` Crores) Category FII DII BuyValue
4997.28 1734.93
FIIs were net sellers in the Index Futures segment to the tune of 427 Crores. FIIs were net buyers in the index options segmenttothetuneof494Crores.
NetValue
1676.49 -32.29
SellValue
3320.79 1767.22
FIIs were net buyers to the tune of 1676 crores and DIIs were net sellers to the tune of 32 Crores in the cash segment. In the previous 10 days, FIIs have been net buyers to the tune of 7550 Crores while DIIs have been net sellers to the tuneof4380Croresworthofinstrumentsincashsegment.
2000 1500 1000 500 0 500 1000
2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% FIINetFlow(Rs.Cr) DIINetFlow(Rs.Cr.) ChangeinNifty(%)
Derivatives Daily

February 2, 2012
FromJaypeeInstitutionalEquitiesDesk
EquityResearchProducts
1. InitiatingCoverage 2. IPONote 3. ResultPreview 4. ResultReview 5. EventUpdate 6. EconomicUpdate 7. CommodityOutlook Indepthanalysiscoupledwithdetailedexplanationofinvestmentrationale IndepthanalysisofanIPOwitharecommendationforthesame Predictionofresultstobeannouncedwithaviewonmarginsforthestock Analysisoftheresultsandviewonthestockaftertheresults Analysisofstock/sectorspecificeventwhichhasoccurredanditsimpact AnalysisofIIP,GDP,Inflationandsixcoreindustries Futureoutlookonbullion,basemetalsandenergyproducts
DerivativesResearchProducts
1. PairTrades 2. NIFTYStrategies 3. ArbitrageTrades 4. NumeroMania Identificationofstockpairsbasedoncointegrationandcorrelation Strategiesbasedonmarketviewe.g.,straddle,skew,condoretc CashFutureandSpecialSituationArbitrage MonthlyrepositoryoftradingstrategiesfromtheDerivativesDesk
DailyReports
1. MorningGlance 2. PostMarketUpdate 3. CurrencyUpdate 4. CommodityUpdate 5. DerivativesDaily 6. DerivativesWeekly 7. RolloverAnalysis DailyupdateofglobalnewsbeforetheIndianmarketsopen Dailymarketactionandkeystatisticsinanutshell Analysisofthedomesticcurrencymarketwithanoutlookfortheday Snapshotofthecommoditymarketwithanoutlookfortheday DailyupdateoftheactivitiesintheDerivativessegment WeeklyupdateoftheactivitiesintheDerivativessegment Dailyanalysisoftherollsduringtheexpiryweekeverymonth
Derivatives Daily

February 2, 2012
Disclaimer: This document does not constitute an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. This document is subject to changes without prior notice and is intended only for the person or entity to which it is addressed and may contain confidential and/or privileged material and is not for any typeofcirculation.Anyreview,retransmission,oranyotheruseisprohibited. The information contained herein is from publicly available data or other sources believed to be reliable. While we would endeavor to update the information herein on reasonable basis, Jaypee Capital Services Limited, its subsidiaries and associated companies, their directors and employees are under no obligation to update or keep the information current. Also, there may be regulatory, compliance, or other reasons that may prevent Jaypee Capital Services Limited and affiliates from doing so. We do not represent that information contained herein is accurate or complete and it should not be relied upon as such. This document is prepared for assistance only and is not intended to be and must not alone be taken as the basis for an investment decision. The user assumes the entire risk of any use made of this information. Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation ofaninvestmentinthesecuritiesofcompaniesreferredtointhisdocument(includingthemeritsandrisksinvolved). p y f g p f The investment discussed or views expressed may not be suitable for all investors. It does not have regard to the specific investment objectives, financial situation and the particular needs of any specific Person/ Institutions etc. who may receive this report. Investors should seek financial advice regarding the appropriateness of investing in any securities or investment strategies discussed or recommended in this report and should understand that statements regarding future prospects may not be realized and there is substantial risk of loss. Jaypee Capital Services Limited does not take responsibility thereof. This is further clarified that no kind of negligence, misconduct or default whatsoever on the part of Jaypee Capital Services Limited can be attributed by any person on the basis of this research publication or any part thereof. Reports based on technical analysis centers on studying charts of a stock's price movement and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. Affiliates of Jaypee Capital Services Limited may have issued other reports that are inconsistent with and reachdifferentconclusionsfrom,theinformationpresentedinthisreport. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject Jaypee Capital Services Limited and affiliates to any registration or licensingrequirementwithinsuchjurisdiction.Thesecuritiesdescribedhereinmayormaynotbeeligibleforsaleinall
Derivatives Daily

February 2, 2012
jurisdictions or to a certain category of investors. Persons in whose possession this document may come are required to inform themselves of, and to observe, such applicable restrictions. Though disseminated to all the customers simultaneously, not all customers may receive this report at the same time. Jaypee Capital Services Limited will not treat recipientsascustomersbyvirtueoftheirreceivingthisreport. We and our affiliates, officers, directors, and employees will from time to time have long or short positions in, act as principalin,andbuyorsell,thesecuritiesorderivatives,ifany,referredtointhisresearch. Our salespeople, traders, and other professionals may provide oral or written market commentary or trading strategies to our clients and our proprietary trading desks that reflect opinions that are contrary to the opinions expressed in this research. Our asset management area, our proprietary trading desks and investing businesses may make investment decisionsthatareinconsistentwiththerecommendationsorviewsexpressedinthisresearch. Our research personnel may participate in company events such as site visits and are generally prohibited from accepting paymentbythecompanyofassociatedexpensesunlesspreapprovedbyauthorizedmembersofResearchManagement. Trading in securities, futures, options or other financial instruments entails significant risk and is not appropriate for all investors. Electronic trading also entails significant risk. Losses may exceed the principal invested, and the past performanceofasecurity,industry,sector,market,orfinancialproductdoesnotguaranteefutureresultsorreturns. Jaypee refers to all of Jaypees worldwide branches and subsidiaries. Jaypee International Inc. is a member of BATS, CBOT, CME, COMEX, ECX, EUREX, ICE, LME, NASDAQ, NYSE LIFFE, SGX, TOCOM. Jaypee International Inc. is also a member of FINRA, NFA and SIPC and is regulated by SEC and CFTC in USA. Jaypee Capital Services Limited is a member of USE, NSE and BSE and is regulated by SEBI in India. Indian services are offered through Jaypee Capital Services Limited. Not all servicesareavailablefromallJaypeeorganizationsorpersonnel.Kindlyconsultyourlocalofficefordetails.
RecommendationStructure: ABuyrecommendationimpliesanupsideof10%ormorefromthecurrentlevels. ASellrecommendationimpliesadownsideof10%ormorefromthecurrentlevels. ANeutralrecommendationimpliesanupside/downsideoflessthan10%fromthecurrentlevels.
Derivatives Daily
Jaypee Offices Worldwide: NewYork 150Broadway Suite2200 NewYork,NY10038 +12125376271 sales@jaypeeusa.com Chicago 30SouthWackerDrive Suite1700 Chicago,IL60606 +13122545044 sales@jaypeeusa.com NewDelhi 1114,NaurangHouse 21,K.G.Marg NewDelhi110001,India +911166303030 sales@jaypeeindia.com Mumbai 505,Arcadia 195,NarimanPoint, Mumbai400021,India +912240621020 sales@jaypeeindia.com Singapore 2ShentonWay #1002SGXCentre1 Singapore068804 +6564380095 sales@jaypeesg.com

February 2, 2012
ExchangeMemberships

Derivatives Daily: Market Summary

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Derivatives Daily: Market Summary

Uploaded by

Copyright:

Available Formats

Derivatives Daily

Jaypee Research Desk

PCROI 1.42 1.42

VIX 22.89 22.66 1.02%

%ofTotal 12.47% 4.14% 83.39% 100.00%

Product IndexFutures StockFutures IndexOptions StockOptions F&OTotal

No.of contracts 465944 602951 N/A N/A 1068895

Turnover 11408 16595 63949 4881 96833

%change 4.09% 1.88% 18.58% 1.77% 11.20%

4,805.57 96833 116,123.72

Jaypee Research Desk

Jaypee Research Desk

Jaypee Research Desk

2000 1500 1000 500 0 500 1000

Jaypee Research Desk

Jaypee Research Desk

Jaypee Research Desk

RecommendationStructure: ABuyrecommendationimpliesanupsideof10%ormorefromthecurrentlevels. ASellrecommendationimpliesadownsideof10%ormorefromthecurrentlevels. ANeutralrecommendationimpliesanupside/downsideoflessthan10%fromthecurrentlevels.

Jaypee Research Desk

You might also like