FnO Analysis Oct 2010

Concerns over the quantum of quantitative easing by the Federal Reserve at its policy meeting in early November 2010 and the consequent weak global indices led the domestic benchmark to correct as well during the week ended 29^thOctober 2010. Understandably the volatility was high due to the expiry of the October Futures & options (F&O) series. The extent of fall was arrested on Friday as impressive quarterly result performance by ICICI Bank led the nifty index to close higher on Friday. Overall so far the second quarter September 2010 results have been encouraging. The domestic benchmark S&P nifty corrected 48.35 points during the week under review to close at 6017.70.

All through-out the week the nifty October series closed at a premium to the underlying despite being the expiry thus indicating that fresh long positions being created in the November series as longs in the October series were covered. The aggressive selling in the cash segment throughout the week further kept the nifty future at premium.

On Friday however the activity in the F&O segment was benign. During the full week under review the nifty November series added 1.97 crore shares in open interest (OI) and on Friday the total OI in nifty stood at 2.43 crore shares. While the action in the nifty futures and optionwas pretty neutral as far as the market direction is concerned, the signs in the nifty option segment indicated bearish positions being taken.

A significant number of out-of-the money nifty calls were written aggressive while out-of-the-money nifty puts were bought on Wednesday and the expiry day indicating strong resistance for the underlying going ahead. While in the money call and put nifty options witnessed virtually no interest during all the 3 previous trading days. ..

Overall on Wednesday the nifty call option added 37.64 lakh shares in net OI while the nifty put option added 13.56 lakh shares in net OI. On the expiry day the overall nifty call option added 42.46 lakh shares in net OI while the nifty put option added 20.67 lakh shares in net OI. Most of the additions were in out-of-the-money strikes. The rollover too was dull to wards the end of the expiry in the stock futures segment. The index put-call ratio on Friday stood at 0.97 as compared to 1.01 the previous day, while the stock put-call ratio fell to 0.27.

Open Interest (OI) break-up as on 29th October 2010
	Open Interest (OI)*	Change**
Market wide	250.22	10.51
Index Future	2.82	0.02
Stock Future	218.33	2.93
Index Options	11.46	1.40
Stock options	17.61	6.16
* No of shares in crore
** Change is vis-à-vis previous day
Source: NSE

The market-wide OI on Friday increased by 10.51 crore shares to 250.22 crore shares as compared to the previous trading day. Most of this OI addition happened in the stock futures and option segment. (See the OI break-up table)

Most active Nifty options (November 2010 series)
	OI
Call
Nifty 6000	2338400
Nifty 6100	4110250
Nifty 6200	4246750
Nifty 6500	4367600
Put
Nifty 5700	3624950
Nifty 5800	4641450
Nifty 5900	3414300
Nifty 6000	5345150
Source: NSE

The most active nifty call options were the 6100 to 6500 strikes of the November series which witnessed aggressive writing while the most active puts were the 5700 to 6000 strikes of the same series where aggressive buying was seen. On Thursday the 6300 strike added 10.34 lakh shares in OI to take its total OI to 36.38 lakh shares, while the 6100 and 6200 strike added 4.86 lakh shares and 3.30 lakh shares in OI to take their respective OI to 29.08 lakh shares and 35.37 lakh shares. The 6500 strike November expiry call also added 8.54 lakh shares in OI on the expiry day. On the nifty November put option front substantial OI addition were witnessed in the 5900 and 6000 strikes. Both these strikes added 10 lakh and 11.86 lakh shares in OI on Thursday to take their respective OI to 25.85 lakh shares and 42.83 lakh shares respectively. (See the most active nifty option table)

Top 10 Open Interest (OI) gainers in November series stock futures on 29th October 2010
Scrip Name	OI*	Change*	% Change
3IINFOTECH	1072000	1072000	100
ALOKTEXT	12050000	12050000	100
BAJAJHLDNG	18000	18000	100
BATAINDIA	18000	18000	100
BOMDYEING	24000	24000	100
CENTRALBK	500000	500000	100
DCB	1688000	1688000	100
ESCORTS	104000	104000	100
HAVELLS	115000	115000	100
HINDOILEXP	1046000	1046000	100
* No of shares Source: NSE

Top 10 Open Interest (OI) losers in November series stock futures on 29th October 2010
Scrip Name	OI*	Change*	% Change
HINDALCO	14134000	-3464000	-20
HEXAWARE	2512000	-464000	-16
LUPIN	1892500	-347500	-16
TATACHEM	3494500	-485500	-12
ANDHRABANK	4812000	-668000	-12
ORCHIDCHEM	7790000	-912000	-10
UNIPHOS	8070000	-938000	-10
HINDZINC	174500	-20000	-10
COLPAL	284000	-29500	-9
JSWSTEEL	3824500	-388250	-9
* No of shares Source: NSE

The domestic bourses going ahead will take cues from the US Federal Reserves quantitative easing measures and domestically the quarter results of the companies that are yet to be announced will provide stock specific action. There is strong resistance at the 6100 and above levels and the benchmark is expected to trade horizontal for some time.

Source : Capital Market

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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 20^th 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.)
Date	Index Futures	Stock Futures	Index Options	Stock Options	Total
30-Oct-09	19335	20280	36957	1765	78337
3-Nov-09	18772	18585	42334	1883	81574
4-Nov-09	16337	18084	35787	2032	72239
5-Nov-09	24104	21408	48721	2265	96499
6-Nov-09	16576	19259	39632	1929	77395
9-Nov-09	15328	17800	38812	1863	73802
10-Nov-09	16991	21511	40210	2296	81008
11-Nov-09	17546	20564	46544	2310	86964
12-Nov-09	18831	19816	41012	2431	82090
13-Nov-09	15878	16889	37663	1849	72278
16-Nov-09	10787	16656	28946	2021	58411
17-Nov-09	14716	19944	34746	1895	71301
18-Nov-09	12910	20366	32034	2013	67323
19-Nov-09	16343	22417	37949	2339	79048
20-Nov-09	21356	24527	49516	2616	98015
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 wide	190.70	5.85
Index Future	3.31	0.06
Stock Future	143.89	4.84
Index Options	12.45	0.14
Stock options	31.05	0.82
* 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 4900	2292200
Nifty 5000	3036600
Nifty 5100	4089350
Nifty 5200	2946500
Put
Nifty 4800	6803200
Nifty 4900	5794800
Nifty 5000	5308100
Nifty 5100	2436800
Source: NSE

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

Scrip Name	OI*	Change*	% Change
DENABANK	10972500	3496500	24
ORIENTBANK	1048800	189600	15
ANDHRABANK	1476600	253000	15
SUNTV	364000	59000	14
JPHYDRO	10471875	1653125	14
UCOBANK	7405000	1125000	13
SYNDIBANK	2504200	349600	12
IDFC	9864800	1230150	11
HCLTECH	1137500	135200	11
ALBK	3966550	458150	10
* No of shares Source: NSE

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

Scrip Name	OI*	Change*	% Change
KOTAKBANK	1296900	-646800	-99
ULTRACEMCO	542000	-188800	-53
KSOILS	11056600	-3475100	-46
ASIANPAINT	7600	-2200	-41
CUMMINSIND	180500	-46550	-35
ABAN	1656800	-323200	-24
PFC	930000	-140400	-18
BRFL	3977850	-578450	-17
DLF	10835200	-1552000	-17
NTPC	7769125	-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

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Market Analysis 25-02-09

Market Commentary 25-02-09

Indian market today ended the day in positive zone on significant buying led by announcement of third stimulus package by the government on 24th February and rate cut expectations. The stimulus includes 2% cut in service tax rates to 10% and reduction in excise duty from 10% to 8%. Along with this firm cues from the global markets also contributed to the northward journey. Though, market came off of the day’s high during final trading hours as few key stocks pared gains. Market was exhibiting a bit of volatility ahead of expiry of month derivative contract on 26th Feb 2009. 

The domestic market today opened on pleasant note supported by positive global markets. The US markets on Tuesday gained momentum after a six-session of losing streak after Federal Reserve chairman Ben Bernanke calmed the increasing fears of bank nationalization plan by the Obama administration. In the domestic arena, second stimulus package for the economy announced on 24th Feb, also lifted the domestic bourses. Further, benchmark indices continued to trade on positive zone on strong buying over the ground. However, during the last trading hours market was not able to hold the momentum as pace of gaining ground restricted and market came off the days’ high. BSE Sensex ended around 8,900 mark and NSE Nifty closed above 2,750 level. From the sectoral front, most of the indices ended in green. Besides, Auto, IT, Teck, Metal, Metal, Oil & Gas, Power and Bank stocks contributed to most of the buying. Midcap and Smallcap stocks also followed the same trend. However, Reality and Capital Goods stocks remained out of favour during the trading session.

Among the Sensex pack 23 stocks ended in green territory and 7 in red. The market breadth indicating the overall health of the market remained positive as 1228 stocks closed in green while 1188 stocks closed in red and 107 stocks remained unchanged in BSE.

The BSE Sensex closed higher by 80.50 points at 8,902.56 and NSE Nifty ended up by 28.6 points at 2,762.5. Broader market indices were in green as BSE Mid Caps and Small Caps ended with gains of 14.53 points and 18.58 points at 2,756.98 and 3,134.69 respectively. The BSE Sensex touched intraday high of 8,995.04 and intraday low of 8,879.72. 

Gainers from the BSE Sensex pack are M&M Ltd (7.90%), Tata Motors (5.87%), Reliance Infra (3.6%), Sterlite Industries (3.20%), TCS Ltd (2.85%), Infosys Tech (2.72%) and Wipro Ltd (2.47%).

Losers from the BSE Sensex pack are Ranbaxy Lab (3.54%), HDFC (2.68%), L&T Ltd (2.08%), DLF Ltd (1.75%) and HUL (1.75%).

On 24th February, the Finance Minister Pranab Mukherjee announced the much-awaited third stimulus package. The stimulus has offered across-the-board cut in excise and service tax rates to save and support the domestic economy. The stimulus includes 2% cut in service tax rates to 10%. The minister announced that on goods that attract 10% excise duty will now be charged at 8%. However, excise rates on items that attract 8% and 4% excise duty will not be changed. Further the excise duty on bulk cement has been fixed at 8% or Rs 230 per tonne. The customs duty on Naphtha will continue beyond March 31, 2009.

According to Goldman Sachs, the combined fiscal deficit of India at around 11% of GDP is now among the highest in the world. The deficit is unlikely to come down in the next few years. Also, global rating agencies like Moody''s, Fitch and S&P have warned that India''s rating may be downgraded. Policymakers insisted that rising deficit is expected to continue, given the government''s increased spending is likely to continue.

On the global markets front the Asian markets which opened before the Indian market, closed higher on the back of overnight gains in the US markets. Shanghai Composite, Nikkei 225, Hang Seng, Seoul Composite and Straits Times index ended up by 5.92, 206.56, 192.66, 2.35 and 3.2 points at 2,206.57, 13,005.08, 7,461.22, 1,6146.79 and 1,067.08 respectively. 

European markets which opened after the Indian market are also trading up. In London FTSE 100 is trading higher by 55.68 points at 3,872.12 and in Frankfurt the DAX index is trading up by 70.39 points at 3,966.14.

The BSE Auto index ended up by (3%) or 76.34 points at 2,622.38 on reduction in excise duty to 8% from 10%. Gainers are M&M Ltd (7.90%), Amtek Auto (6.57%), Tata Motors (5.87%), Bharat Forge (3.57%) and Bajaj Auto (3.47%).

The BSE IT index ended higher by (2.52%) or 51.27 points to close at 2,086.93 on US President Barak Obama''s efforts to set in motion the US economy. Mphasis Ltd (6.77%), TCS Ltd (2.85%), Infosys Tech (2.72%), Wipro Ltd (2.47%) and Oracle Fin (1.97%) ended in positive territory.

The BSE Teck index gained (1.56%) or 26.79 points to close at 1,739.95. Mphasis Ltd (6.77%), Adlabs Films (4.47%), TCS Ltd (2.85%), IOL Netcom (2.75%) and Infosys Tech (2.72%) ended in green.

The BSE Metal stocks gained (1.28%) or 58.57 points to close at 4,642.64 mainly on reports that steel prices are set to come down by up to Rs 600 a tonne following the government cutting excise duty from 10% to 8%. Main gainers are Nalco (4.14%), Jindal Steel (3.70%), Hindalco (2.43%), Welspan Gujarat SR (2.01%) and Sterlite In (1.37%).

The BSE Oil & Gas index closed with increase of (1.03%) or 62.03 points at 6,087.30 as benefited from lower service tax on exploration & production activities which currently stands at 12.36%. Scrips that gained are Cairn Ind (3.22%), ONGC Ltd (2.37%) and Reliance (1.01%).

The BSE Reality index lost (0.39%) or 5.60 points at 1,447.29. Main losers are Anant Raj (4.99%), Mahindra Life (2.77%), DLF Ltd (1.75%) and Housing Dev (0.99%).

Suzlon Energy Ltd closed up by 2.22% as Suzlon Energy Australia Pty Ltd., a step-down wholly owned subsidiary of Suzlon Energy Ltd has entered into an agreement with AGL Energy Ltd for supply of 54 units of Suzlons S88-2.1 MW wind turbine generators translating to 113.4 MW capacity in Australia in 2009.

Hindustan Dorr Oliver Ltd gained 19.40%. The company has informed that the Company has bagged a prestigious order for Uranium Ore Processing Plant from Uranium Corporation of India Ltd (UCIL) worth Rs 441 crores for their Greenfiled Ore Mining and Processing facility of capacity 3000 MTPD coming up at Tumalapalle in Andhra Pradesh on LSTK basis.

Satyam Computer gained 2.62%. The company has got the approval from SEBI for issuing preferential shares to a strategic investor at a price, which can be lower than what rules allowed till now.

Ashok Leyland gained 3.26%, due to likely cut in truck prices following a cut in excise duty may boost sagging demand.

DLF dropped 1.75%. The company has reduced the prices for the flats by up to Rs 13 lakh at its new residential project in Chennai and this is the third city, after Bangalore and Hyderabad, where the price reduction have been announced in the last few weeks. In the coming days, Gurgaon, Panchkula and Kochin may also see similar project launc  

 

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Fno Analysis - Derivatives Strategy NSE 25-02-09

Nifty recovers after two days of weakness Nifty recovers after two days of weakness Markets closed on a positive note today ahead of derivative expiry. The Nifty Feb Fut closed 28.7pts or 1.05% higher at 2754.3. The Nifty Feb Fut closed at a discount of 8.2pts to the spot. Nifty March futures closed at a discount of 26 points to spot. Marketwide rollover was at 49% while stocks futures rollover is at 48%. Nifty rollover is at 55%. Total turnover in the F&O market was lower at Rs.40,130crs. Vs. Rs.45,694 crs. on Tuesday. The biggest gainers in the F&O segment were Century Textiles, HCL Infosys, M&M, Amtek Auto, Strides and Mphasis. The biggest losers were Sintex, Balrampur, Gitanjali, Bajaj Auto and Alstom Projects.

Morning Call :

Markets likely to recover on the back of positive global cues On Tuesday, the markets opened significantly in the negative but soon started moving up and witnessed a one-way recovery all day. The Nifty Fut OI increased from 6,94,858 to 7,12,246 contracts and the discount on the Nifty Mar Fut declined from 27.35 to 24.55 pts indicating build up of fresh long positions. Derivatives volumes rose marginally from Rs.43,146 crs to Rs. 45,494 crs. with the rise seen across all categories of the F&O market. The Nifty OI PCR was at 1.12. The Nifty IV is currently trading at 44.55 (vis-à-vis HV of 26.02) indicating that the Nifty options are overpriced compared to its fair value. This also suggests expectation of higher volatility in the near term. In the Stock Fut segment, fresh longs were seen in Powergrid, Bharat Forge, Titan and Prism Cement. Shorts were built in Sintex, Wockhart, UTV and SKumars. The Nifty Rollover has increased to 53% on T-2 day as compared to 48% last month while the marketwide rollover has remained flat at 45%. Today the markets are likely to recover and trade in the positive all day.