Derivative Report

Sep 06, 2012

Comments
The Nifty futures open interest decreased by 0.42% while

Nifty Vs OI

BankNifty futures open interest is increased by 9.73% as market closed at 5225.70 levels.
The Nifty Sept. future closed at premium of 27.65 point

against premium of 25.40 points. The Oct. series closed at a premium of 56.35 points.
The Implied Volatility of at the money options is

increased from 15.10% to 15.68%.

Nifty PCR-OI has decreased from 0.91 to 0.90 levels. The total OI of the market is `1,16,560/- cr. and the

stock futures OI are `27,877/- cr.

Few of the liquid counters where we have seen high

Cost-of Carry are COREEDUTEC, VIDEOIND, CROMPGREAV and MTNL.

TATACOFFEE,

View OI Gainers
SCRIP SRTRANSFIN GLAXO BHEL ROLTA AXISBANK OI 741000 6875 19223000 1732000 7034500 OI CHANGE (%) 52.94 30.95 14.40 13.95 12.31 PRICE 628.15 2100.30 207.65 65.20 930.25 PRICE CHANGE (%) 0.84 0.03 -5.22 -2.01 -4.89 FIIs were net sellers in cash market segment; they

were net sellers worth of `189/- cr. On derivatives front they were net sellers in index futures, while in index option they were net buyers in yesterdays trading session.
On options front 5300 and 5500 call option has

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

seen significant amount of buildup in open interest followed by some unwinding in 5600 strike price. While in put option not much of buildup was observed except in 5000 and 5200 strike price where some buildup was seen, however decent unwinding was seen in 5300 put option in yesterdays trading session.
The recent fall in DLF was mainly due to long

JPPOWER TECHM PETRONET ABAN CUMMINSIND

10240000 1646000 1816000 946000 167000

-11.72 -10.69 -10.63 -10.54 -10.22

26.60 831.90 158.00 414.75 446.95

1.71 1.19 -0.41 -1.95 -2.81

unwinding and has not seen much of the short positions getting buildup. The counter has seen good amount of long positions getting buildup at higher level and majority of them are still intact. The stock also has decent support at around `190 and hence we feel the counter could resume its upside move which could take the stock to around `204. Go long at around `191-192 levels with the stop loss of `186.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN AXISBANK TATASTEEL PCR-OI 0.90 0.78 0.48 0.39 0.44 PCR-VOL 0.82 0.52 0.51 0.42 0.48

Historical Volatility
SCRIP AXISBANK BHEL ICICIBANK BATAINDIA TATASTEEL HV 38.43 41.62 31.22 23.13 35.05

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Derivative Report
Sep 06, 2012

FII Statistics for 05-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9833.63 38432.19 24179.91 1067.47 73513.21 Change (%) 0.86 2.62 1.31 18.07 2.14

Turnover on 05-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1324.95 7701.40 1047.36 708.12

1712.36 7189.41 1561.05 784.64

(387.42) 511.99 (513.69) (76.52) (465.64)

382434 1473454 944294 40670 2840852

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,22,271 22,43,195 4,19,842 2,00,546 31,85,854

7943.21 59728.11 10899.01 5535.17 84105.50

16.62 15.47 7.26 15.94 14.47

10781.82 11247.46

Nifty Spot =5225.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 110.65 58.55 110.65 25.30 58.55 25.30 33.25 66.75 5333.25 85.35 114.65 5285.35 Risk 52.10 Reward 47.90 BEP 5252.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 59.25 30.95 59.25 15.35 30.95 15.35 15.60 84.40 5084.40 43.90 156.10 5156.10 Risk 28.30 Reward 71.70 BEP 5171.70

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

Nifty Put-Call Analysis

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Derivative Report
Sep 06, 2012

Strategy Date 03-Sep-2012

Symbol AXISBANK

Strategy Long Call Ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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