Arbitrage positions

Previous 
week

Tata Steel2.75-10.45 GE Shipping0.85-2.85 Cochi Ref1.6-1.6 Jindal Stainless0.85-1 Star Paper0.56-3.15 Divi's Lab18.558.5 Colgate1.80.15 BPCL-4.35-7.25 HLL-0.4-1.3 Infosys7.45-5.45 *Prem/(disc) as a % of cash prices  Reliance Energy has a big potential upside from the current spot of 572 - it could, if things go right, hit 635 levels. A long 580c (11) versus short 600c (4) offers a maximum potential return of 13 for an outlay of 7. However there may be a liquidity shortage in the 600c series.  Among other F&O stocks, Corporation Bank, HDFC, Polaris Software, Shipping Corporation and Titan look bullish enough to ignore the overall trend. These could all be reasonable long futures positions. 
 

Stocks with highest changes in options OI
Stocks	% change	PCR
Videocon	363.7	0.04
Nagarjuna Fert	339.56	0.05
Vijaya Bank	323.53	0.21
IFCI	322.56	0.18
Bongaigaon Ref	275.24	0.08
GE Shipping	262.86	0.03
Reliance Cap	196.17	0.27
Indian Hotels	162.79	0.1
Ashok Leyland	160.87	0.12
HDFC Bank	157.35	0.05

 However, liquidity in the options segment isn't that good except for Polaris and SCI. In Polaris with spot at 109, a long 110c (4.35) versus short 120c (1.45) costs about 3 and could pay a maximum of 7.  In SCI, with spot at 160, the technical position is such that the stock will probably move between 150-175 on an intra-day basis without displaying a clear long-term trend. 
 

Stocks with highest changes in futures OI
Stocks	% change	Future  1-m price
SRF	687.14	172.75
Jindal Stainless	439.67	110.6
Mphasis BFL	360.92	273.5
CESC	343.8	202.9
Corporation Bank	300	361.2
Videocon	264.13	74.1
India Cements	253.87	83.2
Escorts	232.67	88.9
TVS Motors	225.42	74.2
Bongaigaon Ref	211.23	100

 We could consider a spread with long 165c (3.75) and long 155p (3) - this costs about 6.75 and it could pay off in a series of intra-day moves where both legs of the spread turn profitable at different moments.  Speculative long positions could be contemplated in freshers to the F&O segment such as SRF and Videocon. While the technical position is not great in Videocon, there has been a big build-up in OI. SRF has also seen a buildup of volumes in both derivatives and spot segments and it has a decent technical pattern.