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Derivative Report

Aug 29, 2012

Comments
The Nifty futures open interest increased by 8.20% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.17% as market closed at 5334.60 levels.
The Nifty Aug. future closed at premium of 11.45 point

against premium of 12.85 points. The Sept. series closed at a premium of 43.50 points.
The Implied Volatility of at the money options is

increased from 15.26% to 15.40%.


Nifty PCR-OI has decreased from 1.27 to 1.23 levels. The total OI of the market is `1,58,605/- cr. and the

stock futures OI are `33,550/- cr.


Few of the

liquid counters where we have seen low rollovers are DABUR, PETRONET, HEXAWARE, JETAIRWAYS and MTNL. View

OI Gainers
SCRIP FEDERALBNK SRTRANSFIN DIVISLAB ZEEL GSPL OI 723500 485000 704500 4550000 3388000 OI CHANGE (%) 91.91 53.24 33.05 21.79 19.30 PRICE 403.15 618.50 1130.80 164.75 80.30 PRICE CHANGE (%) -2.69 2.32 -4.46 -1.67 4.55

FIIs were net buyers in cash market segment; they

were net buyers worth of `93/- cr. On derivatives front they were net buyers in index futures with significant amount of buildup in open interest indicating some long buildup by them, while in index options they were net sellers in yesterdays trade.
On options front 5300-5400 call option has seen

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

good amount of buildup in open interest followed by some unwinding in 5500 strike price, while in put option 5200 strike price has seen decent amount of buildup in open interest and 5300-5400 put option have observed significant amount of unwinding in yesterdays trade.
Rollover in NIFTY futures is at 38%, while that of

BANKNIFTY futures continues to remain low at 35%.


The counter of HDIL has seen good amount of short

OIL TATACOMM ALOKTEXT NAGAROIL HINDZINC

101500 2417000 82180000 1740000 1884000

-28.27 -23.97 -18.70 -15.94 -14.91

485.60 227.05 12.55 5.05 124.10

0.99 -0.31 -19.29 -6.48 -4.51

positions getting buildup in last few trading session. The stock off late has seen some short covering followed by long buildup in yesterdays trade with positive CoC. Hence we recommend to go long on this stock with the target price of `79 and stop loss at `69.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY BHARTIARTL PCR-OI 1.23 0.54 0.29 1.07 0.21 PCR-VOL 1.04 0.67 0.63 0.82 0.36

Historical Volatility
SCRIP ALOKTEXT WELCORP DIVISLAB TTML ARVIND HV 104.49 55.41 34.33 34.33 38.36

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Derivative Report
Aug 29, 2012

FII Statistics for 28-August-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 19818.33 54263.65 27203.48 2161.94 103447.39 Change (%) 9.77 1.69 1.73 (4.11) 3.07

Turnover on 28-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4678.31

4244.66

433.65 (877.99) (581.88) 135.83 (890.39)

775179 2037126 1040289 79420 3932014

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,64,218 46,86,532 10,08,221 2,67,503 65,26,474

14503.43 1,25,599.32 26274.66 7285.81 1,73,663.23

49.07 48.26 40.70 16.38 45.47

14513.64 15391.63 6387.78 1149.17 6969.65 1013.34

26728.90 27619.29

Nifty Spot =5334.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 7.65 0.65 7.65 0.40 0.65 0.40 0.25 99.75 5500.25 7.25 192.75 5407.25 Risk 7.00 Reward 93.00 BEP 5407.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 8.80 1.00 8.80 0.50 1.00 0.50 0.50 99.50 5199.50 8.30 191.70 5291.70 Risk 7.80 Reward 92.20 BEP 5292.20

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 29, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012 21-08-2012 27-08-2012

Symbol AXISBANK NIFTY DLF TATASTEEL ICICIBANK

Strategy Long Call ladder Bull Call Spread Ratio Call Spread Long Call Bull Call Spread

Status Open Profit booked on 23-Aug-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539


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