Dec 30, 2011 ... Positional short levels of few stocks (Levels are based on OI&Price data):
AXISBANK: 900 – 1050 - 1200. ALBK: 150. BOB: 750 – 800. BOI: 300 ...
Derivatives: Rolls update
30 Dec 2011
Market Synopsis:
Beginning of the series NIFTY OI v/s price chart:
`` NIFTY and MW rolls were in line with average. NIFTY Roll spread Total OI expanded to 24 points from 17‐ 18 points on last day of expiry suggesting aggression of a long roller. NIFTY OI in the beginning Linear (Total OI) of Jan‐12 series is light as compared to last 3 MAVG. NIFTY 45000000 stocks like SBIN, AXISBANK, PNB, IDFC, MARUTI, STER, DLF have 40000000 witnessed aggressive short rolls while HDFC, HUL, ITC, CIPLA 35000000 WIPRO have seen prominent long rolls.
Future Linear (OI) 6300 6100 5900
On options front, maximum OI build up is seen at 4500 PE and 30000000 5000 CE. NIFTY PCR is at 1.05 which is indicating weakness while 25000000 ATM IV’s are at 25%.
5700
20000000
5300
15000000
5100
As per NIFTY premium adjusted band, resistance lies at 5000‐ 5100 and Support lies at 4550‐4400.
5500
Nifty max OI: •
Series Strike Wise
Jan ‐12
Type
OI
Type
OI
4500 PE
3.8 mn
5000 CE
3.6 mn
4700 4500
1‐Dec‐11
1‐Oct‐11
1‐Nov‐11
1‐Sep‐11
1‐Jul‐11
1‐Aug‐11
1‐Jun‐11
1‐May‐11
1‐Apr‐11
1‐Mar‐11
1‐Jan‐11
1‐Feb‐11
1‐Dec‐10
1‐Oct‐10
1‐Nov‐10
1‐Sep‐10
40% 30% 20% 10% 0%
Nifty options OI band:
Series
Type
Type
Strike Wise
Jan ‐12
4570 PE
5000 CE
Pre adj Band
4900
60 50 40 30 20 10 0 ‐10
1‐Jul‐10 1‐Aug‐10 1‐Sep‐10 1‐Oct‐10 1‐Nov‐10 1‐Dec‐10 1‐Jan‐11 1‐Feb‐11 1‐Mar‐11 1‐Apr‐11 1‐May‐11 1‐Jun‐11 1‐Jul‐11 1‐Aug‐11 1‐Sep‐11 1‐Oct‐11 1‐Nov‐11 1‐Dec‐11
1‐Aug‐10
1‐Jul‐10
Overall derivatives data continues to suggest that NIFTY is likely 10000000 to face strong resistnace at higher levels. (4800 – 5000). Sell on 5000000 rise. MKT Wide OI 0 In Shares: 179 crs v/s Pre 192 crs NIFTY FUT OI: 2.01 crs v/s Pre 2.22 crs Rolls: NIFTY: 67% v/s 3 MAVG 68% MW: 78% v/s 3 MAVG 77% NIFTY Rolls v/s Roll Spread: MAX Rolls: (Short Rolls) NIFTY Rolls % NIFTY Roll spread (BPS) 90% POWER 85%, METALS 84% 80% 70% Weak rolls: (poor rolls) 60% PHARMA 73% 50%
4400
5100
NIFTY options distribution: 45,00,000
31.09%
40,00,000 35,00,000
30.95%
29.71% 29.48%
30,00,000
28.63% 28.29%
Call 27.47% 27.12%
26.37% 25.87%
25,00,000
Puts
Curr Ivs
Prev Ivs
24.42%
24.11%
23.69%
23.40%
23.21%
23.24%
23.95%
23.61%
23.20%
23.08%
23.14%
20,00,000
20%
206350 2488650
622050 3821750
1430450 3002950
2592450 2345950
2605750 1560750
2678900 1020550
3627100 1070450
2645100 397800
2264350 350900
10% 118450 1915400
5,00,000
25%
15%
15,00,000 10,00,000
35% 30%
24.72%
198350 2553250
DERIVATIVES DESK
OI Linear (Total OI)
4200
4300
4400
4500
4600
4700
4800
4900
5000
5100
5200
0
5% 0%
Sector wise Rolls update Sector wise OI – Price chg & Rolls compared to previous month: `
Sector specific observation: ¾
Auto: MARUTI added shorts in Dec‐11. Roll spread of the same slipped into discount pointing towards pressure of a short roller. The stock is likely to face strong resistance at 1020 – 1050 levels. Roll spread has improved in TTMT since Nov‐11 series (20 ‐30 bps premium from discount) and OI has also reduced suggesting exit of short positions. The stock has a strong support at 160 levels. Profit taking was seen in HEROMOTOCO.
¾
Banking/Finance: In Banks, Shorts were rolled over to Jan‐12. Aggressive short rolls were seen in SBIN, AXISBANK, BOB, BOI, KOTAKBANK, PNB, YESBANK. Especially in SBIN, R/o spread continued to trade at a discount (more than 100 bps discount) suggesting aggression of directional short. Positional shorts are getting rolled in SBIN indicating a negative bias. Roll spread of AXISBANK slipped into discount from a premium which is also a positional short counter. Major shorts were added in IDFC which got rolled over to Jan‐12 series. The stock has broken its major support of 100 which is likely to act as a major resistance in coming days. We have a negative view on the stock. IFCI and PFC have seen poor long rolls which suggest expiration of longs. Overall View on Banking & Finance is negative. In Banking, it is observed that shorts are getting rolled since last couple of months. Inspite of being heavy OI in stocks like AXISBANK, BOI, BOB, YESBANK, SBIN, PNB, ALBK, shorts are rolling over at high cost signifying aggression of shorts.
30 Dec 2011
30 Dec 2011 Positional short levels of few stocks (Levels are based on OI&Price data): AXISBANK: 900 – 1050 ‐ 1200 ALBK: 150 BOB: 750 – 800 BOI: 300 ‐ 350 OBC: 250 – 260 PNB: 800 – 900 – 980 ICICIBANK: 800 – 900 – 930 SBIN: 1880 – 2050 ‐ 2200 YESBANK: 250 – 280 All above levels might act as a stiff resistance for respective counters.
¾
FMCG: Best defensive sector in a volatile market which outperformed in last month. Both major stocks ITC & HUl have seen long rolls.
¾
Tech: Longs continued in IT heavyweights like INFY, WIPRO, TCS while some of shorts booked profits in HCLTECH. Wipro looks more promising bet to go long (Positional).
¾
Metals: Shorts still continue to add positons in Metals. Positional shorts are getting rolled over in METALS since Aug ‐11. Outlook remains negative on the sector. Positional shorts are HINDALCO, STER, TATASTEEL, JINDALSTEL. Positional short levels of few stocks (Levels are based on OI & Price data): HINDALCO: 140 TATASTEEL: 400 ‐ 480 JINDALSTEL: 560 – 600 SAIL: 100 STER: 100 SESAGOA: 190 – 200 JSWSTEEL: 550
¾
Pharma: RANBAXY witnessed poor rolls (57% v/s 3 MAVG 85%) and roll spread of the same expanded to 60 bps from 30 bps of 3 MAVG. Weak rolls with widening of roll spread points out expiration of shorts in the stock. Longs continued in CIPLA while shorts got rolled over in BIOCON. Unwinding of shorts were seen in LUPIN and AUROPHARMA
¾
Telecom: Shorts got rolled over in IDEA where weakness is likely to persist. BHARTIARTL is likely to move in a range of 320 – 360.
¾
Oil & Gas: Fresh shorts were added in RELIANCE in Dec‐11 which got rolled over to Jan‐12. Short rolls picked up on last day in BPCL and HPCL. Shorts continued in GAIL as well which has a strong resistance at 400 levels.
¾
Capital Goods: Shorts continued to add positions in LT & BHEL in Dec‐11. Roll spread of BHEL slipped into discount mainly due to short roll pressure. Weakness is likely to persist in this sector.
NIFTY 50 Rolls Update
30 Dec 2011
NIFTY 50 OI and price & Rolls compared to previous month:
NIFTY 50 stock specific observation: ¾
¾
¾
Long Rolls: CIPLA, ITC, HUL, HDFC, WIPRO, TCS, INFY Short Rolls: AXISBANK, SBIN, PNB, IDFC, RELIANCE, MARUTI, TATAPOWER Weak Short Rolls: RANBAXY, SAIL, HCLTECH
¾ Stocks where shorts are rolling over since last 3 months inspite of holding heavy OI positions (Shorts): SBIN, AXISBANK, STER, DLF, BOI Other Stock where Longs expired: PFC, IFCI Sector Rolls: Short Rolls: BANKS, METALS, POWER, REAL ESTAT Long rolls: FMCG
Prachi Save Research Analyst ‐ Derivatives Tel: +91 22 4096 9733 Email:
[email protected]
This report contains a compilation of publicly available information, internally developed data and other sources believed to be reliable. While all reasonable care has been taken to ensure that the facts stated are accurate and the opinion given are fair and reasonable, we do not take any responsibility for inaccuracy or omission of any information and will not be liable for any loss or damage of any kind suffered by use of or reliance placed upon this information. For Pvt.Circulation & Research Purpose only.
