Derivative Report

Oct 11, 2012

Comments
The Nifty futures open interest decreased by 2.36% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.75% as market closed at 5652.15 levels.
The Nifty Oct. future closed at premium of 20.30 point

against a premium of 19.30 points. The Nov. series closed at a premium of 54.95 points.
The Implied Volatility of at the money options is

increased from 15.51% to 15.75%.

Nifty PCR-OI has decreased from 1.03 to 0.99 levels. The total OI of the market is `1,48,186/- cr. and the

stock futures OI are `34,030/- cr.

Few of the liquid counter where we have seen high Cost-

of-Carry are GRASIM, ALBK, NHPC, INDIACEM and PANTALOONR. View OI Gainers
SCRIP INDUSINDBK SIEMENS LICHSGFIN JPASSOCIAT PANTALOONR OI 1986000 1129000 7385000 64360000 14370000 OI CHANGE (%) 20.00 16.63 15.21 12.99 11.40 PRICE 357.70 683.35 259.50 87.40 188.70 PRICE CHANGE (%) -2.42 -4.15 -3.08 2.06 -5.54 FIIs continue to buy in cash market segment; they

were net buyers worth of `408/- cr. On derivatives front significant amount of long unwinding was observed by them in index futures, while in index options they were net buyers with decent buildup in open interest in yesterdays trade.
On options front 5700 and 5900 call option has

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

seen significant amount of buildup in open interest with IVs going up we feel majority of the buildup is on the longer side, while in put option 5400-5500 strike price has seen maximum buildup followed by decent unwinding in 5700-5800 put option in yesterdays trading session.
RELIANCE has seen good amount of long positions

SYNDIBANK HDIL IBREALEST MPHASIS ABIRLANUVO

1842000 29120000 21444000 525000 694500

-16.04 -12.32 -11.04 -9.33 -9.27

114.00 99.60 60.60 409.15 930.20

-2.27 -4.48 -8.64 -0.99 -2.63

getting buildup since the end of the last expiry and start of this series and majority of them are still intact. Off late the stock has seen considerable amount of short positions in last 2-3 trading session. We feel `800-805 could act as the psychological support for this stock and hence short covering could come in this counter which could take the stock to around `865. Go long with the stop loss of `798.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN TATASTEEL PCR-OI 0.99 0.89 1.10 0.88 0.39 PCR-VOL 0.96 0.81 0.91 0.72 0.30

Historical Volatility
SCRIP UNIPHOS GMRINFRA UNITECH SIEMENS IBREALEST HV 36.06 78.18 56.82 36.24 78.83

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Derivative Report
Oct 11, 2012

FII Statistics for 10-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15422.53 48136.67 29599.29 2448.60 95607.10 Change (%) (3.40) 2.03 0.37 22.05 0.95

Turnover on 10-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1211.69

2224.05

(1012.37) 239.58 (424.31) (39.21) (1236.30)

576368 1703342 1013906 79277 3372893

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,49,364 29,89,553 4,46,215 2,64,476 40,49,608

9328.28 85795.76 13756.44 8687.89 117568.37

3.70 6.90 -7.91 2.14 4.32

13341.27 13101.70 909.86 1587.53 1334.17 1626.74

17050.36 18286.66

Nifty Spot =5652.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 58.55 25.55 58.55 9.70 25.55 9.70 15.85 84.15 5815.85 48.85 151.15 5748.85 Risk 33.00 Reward 67.00 BEP 5733.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 41.85 18.30 41.85 7.50 18.30 7.50 10.80 89.20 5489.20 34.35 165.65 5565.65 Risk 23.55 Reward 76.45 BEP 5576.45

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

Nifty Put-Call Analysis

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Derivative Report
Oct 11, 2012

Strategy Date 01-Oct-2012 08-Oct-2012

Symbol SBIN ICICIBANK

Strategy Short Strangle Bull Call Spread

Status Profit booked on 08-Oct-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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