Derivative Report

Aug 16, 2012

Comments
The Nifty futures open interest increased by 3.02% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.38% as market closed at 5380.35 levels.
The Nifty Aug. future closed at premium of 26.50 point

against premium of 24.00 points. The Sept. series closed at a premium of 52.70 points.
The Implied Volatility of at the money options is

decreased from 13.48% to 12.60%.

Nifty PCR-OI increased from 1.20 to 1.21 levels. The total OI of the market is `1,43,319/- cr. and the

stock futures OI are `31,747/- cr.

Few of the

liquid counters where we have seen high Cost-of-Carry are TTML, COREEDUTEC, JSWISPAT, MTNL and RUCHISOYA. View

OI Gainers
SCRIP EXIDEIND OPTOCIRCUI INDIANB JETAIRWAYS CENTRALBK OI 1788000 4198000 186000 2199000 2552000 OI CHANGE (%) 56.29 39.93 33.81 15.62 11.93 PRICE 133.05 147.85 173.05 395.15 69.95 PRICE CHANGE (%) 1.63 -0.87 0.78 1.51 0.64

FIIs were net buyers in cash market segment; they

were net buyers worth of `258/- cr. On derivatives front they were net buyers in index futures with buildup in open interest indicating some long buildup by them, while in index options also they were net buyers in Tuesdays trading session.
On options front considerable amount of buildup

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

was seen in 5300-5400 put option and in call option some buildup was observed in 5500-5600 strike price, since the IVs came down significantly we feel most of the buildup is on the shorter side. Decent unwinding was seen in 5200-5400 call option and in put option 4900 strike price has seen maximum unwinding in Tuesdays trading session.
We have seen significant amount of short positions

FINANTECH TATAMTRDVR HINDZINC ONMOBILE HEXAWARE

1089000 5906000 1794000 8836000 5782000

-21.26 -11.05 -10.30 -9.95 -5.06

837.65 135.65 125.10 42.85 119.10

-0.75 5.81 -0.75 -0.58 0.38

getting buildup in HEROMOTOCO since last few trading session. However in Tuesdays trade the counter has seen some long buildup and also its CoC have jumped significantly indicating buying was observed at lower level. Hence very short term trader can trade with positive bias for short covering bounce on this counter and can go long with the target price of `1960 and stop loss at `1870. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN BHARTIARTL ICICIBANK PCR-OI 1.21 0.89 0.37 0.21 0.86 PCR-VOL 1.15 1.03 0.50 0.23 0.43

SCRIP TATAMTRDVR RANBAXY SUNPHARMA ADANIENT SYNDIBANK

HV 54.30 33.03 22.35 53.56 37.52

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Derivative Report
Aug 16, 2012

FII Statistics for 14-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16734.51 46605.61 25433.90 2245.09 91019.12 Change (%) 1.19 2.76 0.77 1.85 1.88

Turnover on 14-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1525.83

1236.35

289.48 411.31 (427.63) (113.31) 159.84

644478 1733654 935287 81664 3395083

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,36,621 30,01,804 4,56,336 2,73,140 40,67,901

8626.18 80190.86 12549.14 7574.39 1,08,940.57

37.39 38.83 5.14 1.33 30.54

13026.10 12614.79 965.00 1297.61 1392.63 1410.92

16814.53 16654.70

Nifty Spot =5380.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 60.70 21.65 60.70 5.65 21.65 5.65 16.00 84.00 5516.00 55.05 144.95 5455.05 Risk 39.05 Reward 60.95 BEP 5439.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 53.50 22.30 53.50 9.25 22.30 9.25 13.05 86.95 5286.95 44.25 155.75 5355.75 Risk 31.20 Reward 68.80 BEP 5368.80

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

Nifty Put-Call Analysis

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Derivative Report
Aug 16, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012

Symbol AXISBANK NIFTY DLF

Strategy Long Call ladder Bull Call Spread Ratio Call Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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