Tuesday, December 15, 2009

FnO Trends and Outlook for this week

Derivatives: Market will continue to remain cautious

F&O activity emits mixed signal with option indicating negative trend; global market activity will give cues and the market will continue to remain cautious.

The market movement remained flat during the week ended 11th December 2009 with really mixed kind of signals from the futures & options (F&O) activity all through-out the week. On Friday the Nifty corrected by 17.35 after the announcement of weaker than expected Industrial production (IIP) data. The industrial production growth though robust at 10.3% fell below market expectations of a growth of 13% to 14% for the month. For the full week though the nifty index closed 8.4 points higher at 5117.30. The average volume in the F&O segment duringthe week under review stood at Rs 63619.86 crore. Although the nifty future remained at a premium to the underlying during the start of the week, on Friday however it closed at a discount of 5.70 points to the underlying at 5111.60. On Friday however the nifty closed lower and the nifty future shed 2.78 lakh shares in open interest (OI) to take the total OI to 2.71 crore shares. For the full week under review the nifty future shed 38450 shares in OI. Some of the front-line stock futures like Reliance, ICICI Bank, DLF, SBIN, Sail and Bharti also shed OI during the week. However Tata Steel, Tata Motors, Unitech and Maruti increased OI during the week.

On Friday Reliance shed 7.4 lakh shares in OI to take its total OI to 1.05 crore shares. ICICI Bank, DLF, SBIN and Sail shed 5.08 lakh shares, 4.41 lakh shares, 0.75 lakh shares and 12.74 lakhshares in OI during the week under review. The OI of these decreased to 1.22 crore shares, 1.05 crore shares, 33.75 lakh shares and 90.69 lakh shares respectively.

In the nifty option front there were negative signals as fresh call were being written from 5000 to 5400 strike as puts written at 4900 and 5000 strikes earlier were covered on Friday. There were fresh put buying of 5100 and 5200 strikes.

Volume in the Futures & Options segment of the NSE (Turnover (Rs. Crore.)
Date Index Futures Stock Futures Index Options Stock Options Total
27-Nov-09 24665 19895 49581 1934 96075
30-Nov-09 17464 17199 30912 1973 67548
1-Dec-09 12606 17793 28166 2091 60657
2-Dec-09 11866 19831 22893 2126 56715
3-Dec-09 14559 18200 25938 1964 60660
4-Dec-09 17412 17490 34873 1756 71531
7-Dec-09 14002 14780 27395 1864 58041
8-Dec-09 17641 17741 31994 2052 69429
9-Dec-09 15259 16937 27174 1945 61314
10-Dec-09 14415 15059 26852 1658 57983
11-Dec-09 17440 16121 35873 1898 71332
Source: NSE

Overall the market wide OI on Friday stood at 183.21 crore shares, thus gaining only marginally as compared to the previous trading day, however OI increased by 14.05 crore shares as compared to the previous week. Increase in week-on-week OI was due to increased activity inStock futures and option segment whose OI increased by 6.16 crore shares and 6.26 crore shares respectively on a week-on-week basis. During Friday index futures and share futures shed OI as compared to the previous day. (See table OI breakup).

Open Interest (OI) break-up as on 11th December 2009

Open Interest (OI)* Change**
Market wide 183.21 0.68
Index Future 3.10 -0.03
Stock Future 141.33 -0.89
Index Options 12.00 0.37
Stock options 26.79 1.22
* No of shares in crores
** Change is vis-à-vis previous day
Source: NSE

OI of 5000 to 5400 call increased due to aggressive call writing at these levels. For e.g. 5100 and 5200 strike calls OI increased by 9.12 lakh share and 11.70 lakh shares respectively to take the total OI to 46.38 lakh shares and 65.93 lakh shares respectively. The 5300 strike call increased OI by nearly 4 lakh shares on Friday.

The 5100 and 5200 put witnessed addition of 3.97 lakh shares and 0.96 lakh shares respectively to take the total OI of these strikes to 38.63 lakh shares and 25 lakh shares respectively. (See most active Nifty options table).

Most active Nifty options (December series)

OI
Call
Nifty 5100 4637500
Nifty 5200 6592550
Nifty 5300 4761800


Put
Nifty 4900 5068750
Nifty 5000 5543000
Nifty 5100 3863450
Source: NSE

Top 10 Open Interest (OI) gainers in December series stock futures on 11th December 2009
Scrip Name OI* Change* % Change
RENUKA 13715000 2447500 15
APIL 658800 105600 14
IDEA 28139400 3604500 11
ORIENTBANK 1782000 224400 11
HCLTECH 2275000 241800 10
TATACOMM 1563450 149625 9
JINDALSTEL 7107840 661440 9
GVKPIL 34162000 2607750 7
RECLTD 2449200 173550 7
SAIL 9069300 565650 6
* No of shares
Source: NSE

Top 10 Open Interest (OI) losers in December series stock futures on 11th December 2009
Scrip Name OI* Change* % Change
CROMPGREAV 400000 -87000 -28
CHAMBLFERT 8062650 -1697400 -27
PIRHEALTH 327000 -64500 -25
DABUR 977400 -164700 -20
DENABANK 11392500 -1601250 -16
BEL 127236 -17664 -16
VOLTAS 1854900 -251100 -16
HDIL 6390918 -797220 -14
ROLTA 3024000 -365400 -14
ONGC 1662525 -174600 -12
* No of shares
Source: NSE

Thus the F&O activity emits a mixed signal although the option indications are negative. Going forward the global market activity will remain the cue. The market will continue to remain cautious.