Showing posts with label FnO Outlook. Show all posts
Showing posts with label FnO Outlook. Show all posts

Monday, November 30, 2009

FnO Anaysis 23-27 Nov 09

The long build up in the December 2009 series was completely reversed during the expiry day, and there would be immense volatility in the current week with downward bias

After having an excellent November series during which the market rose 255 points to close at 5005.55 on the expiry date of the November series, the market tumbled on 27th November 2009 mainly due to the concerns from the Dubai debt restructuring related concerns and its consequent impact on the Indian Banking, real estate and the construction majors. The Nifty corrected 63.80 points to close at 4941.75 on Friday, the 27th November 2009.

All through-out the month the market fared well although on the expiry day of the November series aggressive short positions were being witnessed both in the Nifty futures as well as most of the front-line stock futures for the December series. On this day the Nifty December series ended with discount of 25 points to the underlying. Such heavy short build-up in the December series shows cautious outlook going ahead. The nifty December contract added 30.77 lakh shares in open interest (OI) to take the total OI to 2.51 crore shares. Similar was the trend in the stock futures as well. Some of the front-lines like Reliance Industries added 12.62 lakh shares in OI in the December series. So does in Tata Motors and Tata Steel, where the OI in the December series rose by 25.02 lakh shares and 27.10 lakh shares respectively. Overall the December series stock future OI increased 29.51 crore shares on 26th November 2009. The rollover for the nifty futures was 71% and the market-wide rollover was 83%. Such aggressive OI addition was due to fresh short positions being created in the Nifty and the stock futures.

Short position continued to get build-up in the December series on Friday as well as the market on this day nose-dived before recovering a major portion during the second half of the day. The Nifty December series further added 9.90 lakh shares in OI to take the total OI to 2.61 crore shares. Similar was the case in case of several stock futures as well. The overall December series stock futures added 15.58 crore shares in OI during Friday, although Reliance shed 76.8 thousand shares in OI whereas Unitech shed 57.78 lakh shares in OI. The total OI for December contract of both these scrip's stood at 1.05 crore shares and 5.30 crore shares respectively. RNRL and ICICI Bank added 2.22 lakh shares and 4 lakh shares respectively in OI to take the total OI to 2.95 crore shares and 1.26 crore shares respectively.

Hindalco, Ambuja Cement, IDFC and JP Associates also added significant OI in the December series contracts during Friday.

Volume in the Futures & Options segment of the NSE (Turnover (Rs. Crore.)

DateIndex FuturesStock FuturesIndex OptionsStock OptionsTotal
30-Oct-09193352028036957176578337
3-Nov-09187721858542334188381574
4-Nov-09163371808435787203272239
5-Nov-09241042140848721226596499
6-Nov-09165761925939632192977395
9-Nov-09153281780038812186373802
10-Nov-09169912151140210229681008
11-Nov-09175462056446544231086964
12-Nov-09188311981641012243182090
13-Nov-09158781688937663184972278
16-Nov-09107871665628946202158411
17-Nov-09147161994434746189571301
18-Nov-09129102036632034201367323
19-Nov-09163432241737949233979048
20-Nov-09213562452749516261698015
23-Nov-09156972441738182248280777
24-Nov-09218252989837144223591102
25-Nov-09177833303437912250691236
26-Nov-092961635951687712792137130
27-Nov-09246651989549581193496075
Source: NSE

Overall the market wide OI on Friday stood at 150.67 crore shares, thus gaining by 6.09 crore shares as compared to the previous trading day. A major portion of the addition was done by stock options which added 3.39 crore shares in OI. (See table OI breakup).

Open Interest (OI) break-up as on 27th November 2009
Open Interest (OI)*Change**
Market wide150.676.09
Index Future2.880.14
Stock Future127.831.85
Index Options8.770.70
Stock options11.193.39
* No of shares in crores
** Change is vis-à-vis previous day
Source: NSE

Significant amount of calls were written on the expiry date especially in the 5000, 5100 and 5200 strike December series, simultaneously aggressive put buying was witnessed in the 4800 and 4900 strikes. However on Friday 4800, 4900 and 5000 strike calls witnessed aggressive buying as the call wrote during the previous day on the 5100 and 5200 strikes were covered. Also on Friday there was some fresh buying in 4700, 4800 and 4900 strike puts. These positions seem to be a coupled position, which is being taken along with other positions in futures or stocks. Thus any inference may be premature.

The OI in the 4900 and 5000 strike call stood at 24.29 lakh shares and 33.68 lakh shares while the OI in the 4800 and 4900 strike puts stood at 40.96 lakh shares and 28.82 lakh shares respectively. (See most active Nifty options table).

Most active Nifty options (December series)

OI
Call
Nifty 48001371150
Nifty 49002429000
Nifty 50003368350
Nifty 51002941500
Put
Nifty 47003125650
Nifty 48004095950
Nifty 49002881900
Nifty 50002883950
Source: NSE

Top 10 Open Interest (OI) gainers in December series stock futures on 27th November 2009

Scrip NameOI*Change*% Change
BANKBARODA246400085960026
PFC112560037200025
SIEMENS103625625267220
HDIL8414928158902216
HINDALCO25185362425678014
ASIANPAINT260040013
IDFC13714550188800012
LT427880050220011
ORIENTBANK96480010680010
FINANTECH4794005220010
* No of shares
Source: NSE

Top 10 Open Interest (OI) losers in December series stock futures on 27th November 2009

Scrip NameOI*Change*% Change
SINTEX588000-102200-21
NEYVELILIG2243475-333350-17
YESBANK2274800-336600-17
UNITECH53028000-5778000-12
GTL4710750-482250-11
DENABANK9161250-861000-10
TECHM893400-75600-9
TATASTEEL10019096-831232-9
INDIAINFO6835000-557500-9
SCI1003200-79200-9
* No of shares
Source: NSE

The Friday's reaction seems to be an over-reaction although the F&O activity during the November expiry day indicates cautiousness. Earlier during the previous week and also during the earlier part of the current week there was long build-up in the December series which has completely reversed during the expiry day. One thing is for certain, that there would be immense volatility with down-ward bias.

source : capitalmarket

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Monday, November 23, 2009

FnO Analysis and Outlook

Derivatives: Fresh long build-up in the December series so early indicates positive trend

Markets will exhibit extreme volatility as we enter into the expiry week; but F&O indication suggest extreme bullishness with fresh long build-up in the December series so early

Aggressive short covering in the November series nifty and stock future during the beginning of the current week resulted in excellent start for the underlying during the beginning of the current week. However as the week progressed, there was visible activity in the December series index and stock futures. Fresh short built-up was witnessed in the nifty future as well as some of the stock futures early. Besides there were aggressive call writing of 5000 and 5100 strikes November call on the previous two days. The market opened the week with no major domestic or international triggers besides the international market activity. Thus the movement was expected to be horizontal as was witnessed during the past 4 days. However on Friday sighting firm opening by the European market the domestic index surged higher to recover the days loses and post higher. Finally the S&P Nifty closed at 5052.45 on Friday rising 63.45 points higher as compared to the previous closing. The nifty future closed at a huge premium of 13.80 points at 5066.25 on Friday. The volumes were significantly higher at Rs 98015.39 crore understandably due to significant interest in the December series as well. The average volume in the futures and option (F&O) segment during the week ended 20th November 2009 was Rs 74819.73 crore. The dramatic recovery of the index during the second half on Friday can be mainly attributed to the huge short covering in the nifty as well as the stock futures in the current series with simultaneous fresh long positions being built in the December series.

For e.g. Nifty November future shed 14.48 lakh shares in open interest (OI) on Friday with simultaneous fresh addition of 21.76 lakh shares in December series. The Nifty November future OI stood at 2.24 crore shares whereas that of December series stood at 80.06 lakh shares. Similar trend was witnessed in some of the front-line index futures also.

Reliance December series added 2.73 lakh shares in OI to take the total OI to 11.1 lakh shares. Tata Motors November series shed 3.73 lakh shares whereas December series added 1.96 lakh shares. Same was the scenario in almost all of the frontline stock futures.

Other major front-line stock futures viz- Infosys, ICICI Bank, DLF and Maruti added significant long OI in the December series as the current months shorts were covered.

Volume in the Futures & Options segment of the NSE (Turnover (Rs. Crore.)
DateIndex FuturesStock FuturesIndex OptionsStock OptionsTotal
30-Oct-09193352028036957176578337
3-Nov-09187721858542334188381574
4-Nov-09163371808435787203272239
5-Nov-09241042140848721226596499
6-Nov-09165761925939632192977395
9-Nov-09153281780038812186373802
10-Nov-09169912151140210229681008
11-Nov-09175462056446544231086964
12-Nov-09188311981641012243182090
13-Nov-09158781688937663184972278
16-Nov-09107871665628946202158411
17-Nov-09147161994434746189571301
18-Nov-09129102036632034201367323
19-Nov-09163432241737949233979048
20-Nov-09213562452749516261698015
Source: NSE

Overall the market wide OI on Friday stood at 190.70 crore shares, thus gaining by 5.85 crore shares as compared to the previous trading day. Index future added just 6 lakh shares in OI whereas the major addition was witnessed by the stock futures, which added 4.84 crore shares. (See table OI breakup).

Open Interest (OI) break-up as on 20th November 2009
Open Interest (OI)*Change**
Market wide190.705.85
Index Future3.310.06
Stock Future143.894.84
Index Options12.450.14
Stock options31.050.82
* No of shares in crores
** Change is vis-à-vis previous day
Source: NSE

In the nifty option there was fresh put writing of 4900, 5000 and 5100 strikes in the current series whereas there was aggressive covering of the call wrote earlier signifying bullish trend. Especially the 5000 strike call shed 15.42 lakh shares OI. Besides 5100 strike call also witnessed unwinding of 7.28 lakh shares in OI.

The 4900, 5000 and 5100 strike puts added 3.16 lakh shares, 9.87 lakh shares and 7.18 lakh shares in OI to take the total OI of these strikes to 57.95 lakh shares, 53.08 lakh shares and 24.37 lakh shares respectively. The 5000 strike call OI stood at 30.37 lakh shares, while that of 4900 and 5100 strikes stood at 22.92 lakh shares and 40.89 lakh shares respectively. (See most active Nifty options table).

Most active Nifty options (November series)
OI
Call
Nifty 49002292200
Nifty 50003036600
Nifty 51004089350
Nifty 52002946500
Put
Nifty 48006803200
Nifty 49005794800
Nifty 50005308100
Nifty 51002436800
Source: NSE

Top 10 Open Interest (OI) gainers in November series stock futures on 20th November 2009

Scrip NameOI*Change*% Change
DENABANK10972500349650024
ORIENTBANK104880018960015
ANDHRABANK147660025300015
SUNTV3640005900014
JPHYDRO10471875165312514
UCOBANK7405000112500013
SYNDIBANK250420034960012
IDFC9864800123015011
HCLTECH113750013520011
ALBK396655045815010
* No of shares
Source: NSE

Top 10 Open Interest (OI) losers in November series stock futures on 20th November 2009

Scrip NameOI*Change*% Change
KOTAKBANK1296900-646800-99
ULTRACEMCO542000-188800-53
KSOILS11056600-3475100-46
ASIANPAINT7600-2200-41
CUMMINSIND180500-46550-35
ABAN1656800-323200-24
PFC930000-140400-18
BRFL3977850-578450-17
DLF10835200-1552000-17
NTPC7769125-1100125-16
* No of shares
Source: NSE

As we enter into the expiry week the trend looks positive although the markets will exhibit extreme volatility, which is usual during the expiry week. F&O indication suggests extreme bullishness. The fresh long build-up in the December series so early, though unusual is very positive.

Source : capital market


Bought to you by


Ingenious Investor

Equity Research Division


Ravina Consulting

No.429 Mahavir Tuscan

Near Hoodi Circle, Whitefield

Mahadevapura Post

BANGALORE 560048


Read - www.ingeniousinvestor.blogspot.com

Follow us - www.twitter.com/smartinvestor