Derivative Report

July 26, 2012

Comments
The Nifty futures open interest decreased by 0.35% while

Nifty Vs OI

BankNifty futures open interest is increased by 12.55% as market closed at 5109.60 levels.
The Nifty July future closed at premium of 2.95 point

against premium of 7.15 points. The August series closed at a premium of 29.60 points.
The Implied Volatility of at the money options is

increased from 17.01% to 17.06%.

Nifty PCR-OI decreased from 1.01 to 0.98 levels. The total OI of the market is `1,49,198/-cr. and the

stock futures OI are `33,649/-cr.

Few of the big names where we have seen less rollovers

are AMBUJACEM, RANBAXY, TATAPOWER, ONGC and ACC. View OI Gainers

SCRIP ZEEL SUZLON SUNTV INDUSINDBK NHPC OI 3582000 128832000 1196000 3347000 52530000 OI CHANGE (%) 26.39 19.42 14.78 12.66 12.41 PRICE 160.75 17.30 286.45 332.05 18.10 PRICE CHANGE (%) 4.45 -1.71 -0.38 0.05 -0.55 FIIs were net sellers in cash market segment; they

were net sellers worth of `372/- cr. On derivatives front they were net sellers in index futures, while in index options they were net buyers in yesterdays trade. On options front not much of buildup was observed except in 5200 call option, however significant amount of unwinding was seen in 5100-5300 put option followed by 5300 call option. In August series 5000 put option have seen maximum buildup in yesterdays trading session. is at 57%.

Rollover in BANKINIFTY is at 67%, while that in NIFTY

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

The counter of HINDALCO has seen significant

JETAIRWAYS CUMMINSIND IGL FORTIS KTKBANK

1654000 284500 2471000 5060000 7508000

-29.07 -27.88 -24.32 -18.70 -17.89

327.30 425.65 234.80 97.10 101.45

-5.56 0.59 0.77 -1.37 -0.64

amount of short positions getting buildup since last few trading session. `108-110 is the good support for this stock and hence we expect some short covering in this counter and also the rollover in this stock is comparatively less compared to its last series indicating short positions are not getting carried forward. Hence we recommend to go long at around `112-115 with the target price of `125 and stop loss at `107. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 0.98 0.78 0.40 0.41 0.58 PCR-VOL 0.89 0.81 0.82 0.67 0.86

SCRIP HCLTECH EDUCOMP RUCHISOYA LITL ZEEL

HV 40.62 66.82 30.37 66.03 35.68

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Derivative Report
July 26, 2012

FII Statistics for 25-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16413.96 47203.08 27904.55 1881.54 93403.14 Change (%) (0.70) 1.26 (0.09) (1.78) 0.44

Turnover on 25-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4143.69

4591.32

(447.63) 347.40 74.54 52.19 26.51

658768 1847445 1077251 69815 3653279

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

6,17,922 51,86,561 10,40,978 2,07,435 70,52,896

15254.81 1,33,689.02 27181.03 5841.62 1,81,966.47

2.67 27.06 9.66 -10.45 20.20

15296.72 14949.31 7532.37 809.05 7457.83 756.85

27781.82 27755.32

Nifty Spot =5109.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 25.55 1.30 25.55 0.25 1.30 0.25 1.05 98.95 5201.05 25.30 174.70 5125.30 Risk 24.25 Reward 75.75 BEP 5124.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 84.45 13.05 84.45 1.00 13.05 1.00 12.05 87.95 5087.95 83.45 116.55 5116.55 Risk 71.40 Reward 28.60 BEP 5128.60

Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

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Derivative Report
July 26, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012 16-July-2012 24-July-2012

Symbol INFY NIFTY ICICIBANK DLF BANKNIFTY

Strategy Long Strangle Long Call Long Call Ladder Bull Call Spread Long Call

Status Profit booked on 11-July-2012 Open Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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