Friday, May 8, 2009

>Daily Derivatives (ICICI Direct)

Derivative Comments

• The Nifty May series witnessed an unwinding of 8.88lakh shares in OI with rise in futures price by 1.41% depicting some short covering in the Nifty. The premium slipped into a discount since participants were hesitant to carry overnight position on account of‘Stress Test Result’ in the US

• The options data shows humongous addition of OI in the 3800 Call amounting to 18267 contracts with rise in volume and drop in IV from 49 to 47.56. This has now made the 3800 Call the largest Call option base with3.94 million shares in OI. Additions in the range of 2500-4000 contracts were seen in Call options ranging from 3900 to 4200. On the other hand, the 3600 Put added 10700 contracts followed by nearly 6500 contracts addition in 3500 and 3700 Puts individually. Call writing continues in the 3800 Call suggesting strong resistance for the Nifty at this level. Put writers were seen active in 3600 as well as some in the 3700 strike price. This further suggests the market may find support at 3600 for a couple of sessions to come on a closing basis

• The FII Index options data shows net sale of Rs 327 crore with a rise in OI by 3.93% Nifty Options OI Distribution Nifty OI vs. Futures Price.

To see full report: DERIVATIVES 080509