|
Previous
week |
Abs.
chg. |
|
1-m prem/(disc) |
1.35 |
-1.10 |
2.45 |
|
2-m prem/(disc) |
-14.20 |
-14.25 |
0.05 |
|
3-m prem/(disc) |
-22.30 |
-24.20 |
1.90 |
|
Futures OI * |
997.68 |
1147.08 |
^ -13.02 |
|
Options OI * |
617.85 |
617.19 |
^ 0.10 |
|
PCR |
0.91 |
1.12 |
-0.21 |
|
PVI |
1.17 |
1.03 |
0.14 |
|
* In lakhs ^ % change |
| |
| Index strategies: With the spot Nifty at 2383, the August future is at 2384.8 points and September Nifty future is at 2369. With settlement around the corner, a bear-spread seems natural.
|
| |
| Regardless of the direction of index movement, the differential between the two futures should narrow. Sell August and buy September. If , as we suspect, the spot market will fall, then this spread has chances of being highly profitable.
|
| |
| In the options market, there is always a reluctance to buy this close to settlement. Prices and liquidity in far from money options will disappear soon. Anyhow, for the sake of completeness, let's review current premiums and spread return-risk ratios.
|
| |
| A bull-spread with long 2390c (21.65) versus short 2410c (13.75) costs about 8 and pays a maximum of 12. A bear-spread with long 2370p (17) versus short 2350p (12.1) costs 5 and pays a maximum of 15. So, a conventional bear-spread has better risk-return ratios than a conventional bull-spread. Reversed spreads have adverse risk-return ratios and it's dangerous to take these when there isn't a clear market direction.
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| |
| A strangle of long 2390c plus long 2370p costs about 39 and this is profitable only if the market moves beyond 2330-2430. This is possible but it's not a very high probability event. A wider strangle of long 2410c (13.75) and long 2360p (15.35) costs 29 and is profitable if the market moves beyond 2330-2440. There doesn't seem to be very safe arbitrage opportunities either.
|
| |
Summing up, if you wish to take index positions, a calendar bear-spread in the futures market looks good and so do conventional bear-spread with puts close to money. Other positions seem too expensive or they have unattractive return-risk ratios.
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| STOCK FUTURES/OPTIONS
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| |
| Option positions in the stock F&O market this close to settlement are dangerous. Among the available population of stocks, there aren't too many with pronounced trends. So it would be better to simply wait for the next settlement before taking option-based positions.
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| |
There are not too many stocks with unusual OI situations in the options segment either. IDFC has a fairly high PCR of 0.41 - most stocks tend to have very low PCR. So, there's a case for believing a lot of people have short positions.
| Stocks with highest change in Options OI | | Company Name |
% change |
PCR | |
IDFC |
578.73 |
0.41 | |
ACC |
41.56 |
0.13 | |
Canara Bank |
38.67 |
0.07 | |
Neyveli Lignite |
20.12 |
0.05 | |
IOB |
15.20 |
0.27 | |
Gujarat Ambuja |
12.67 |
0.03 | |
ONGC |
10.50 |
0.12 | |
BHEL |
9.73 |
0.31 | |
HCL Technologies |
9.52 |
0.13 | |
Bharti Tele |
7.78 |
0.14 |
|
| |
| In the futures segment, too, IDFC has huge OI with August futures trading at 67.25 which is close to the spot price. Coupled to the OI signal, this could mean that there the stock has the possibility of surge driven by short-covering if the price doesn't fall in the next four sessions.
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| |
Among other stocks, PSU banks seem to be under selling pressure. OBC and BoI in particular could be shorts in the futures section. SBI and Syndicate Bank may also be worth short futures positions. Cement shares seem to be on an upmove. ACC and Grasim are worth buying.
| Stocks with highest change in Futures OI | | Company Name |
% change | 1-m futures
price | |
IDFC |
294.70 |
67.75 | |
Cadila Healthcare |
182.79 |
528.75 | |
Wockhardt Pharma |
90.32 |
537.25 | |
Indian Rayon |
30.88 |
578.30 | |
Bank of India |
13.31 |
128.20 | |
LIC Housing Finance |
5.12 |
212.50 | |
India Cements |
3.41 |
109.20 | |
Tata Tea |
2.18 |
828.60 | |
Andhra Bank |
0.58 |
99.65 | |
GE Shipping |
-1.61 |
180.95 |
|
| |
| The OI in Cadila Healthcare and Wockhardt has shot up. Cadila is neutral in terms of technical signals in the cash segment while Wockhardt appears mildly bullish. A long future in Wockhardt may work.
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When we examine futures premiums to cash prices, Divi
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