Tuesday, April 28, 2009

>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty near month witnessed closure of long positions to the tune of 3.17 million shares whereas the May series added 5.60 million shares in OI. With the May futures premium narrowing from 10.30 points to 8.45 points we feel few long positions have been added at lower levels in yesterdays session. No aggressive long rollovers are witnessed in Nifty since

past couple of sessions

• The options data shows addition of 11048 contracts in 3500 call followed by 9760 contracts addition in 3600 call while unwinding of 9762 contracts was seen in 3300 call. The IVs of all options have surged since the overall volatility in market has risen. Some call writing
was seen in 3600 call whereas short covering was seen in 3300 call. On the other hand, accumulation of 13039 and 19356 contracts was seen in 3400 and 3500 puts where we feel some put writing could have happened at 3400 level. Almost all other puts witnessed unwinding in OI. The 3400 put with 4.80 million shares may continue to hold as a decent support for Nifty on closing basis in today’s session

• FII Index options depicted a rise in OI by 4.36% along with a net buy of Rs 831 crores

To see full report: DERIVATIVES 280409