Derivative Report

Oct 23, 2012

Comments
The Nifty futures open interest increased by 8.36% while

Nifty Vs OI

BankNifty futures open interest is increased by 12.64% as market closed at 5717.15 levels.
The Nifty Oct. future closed at premium of 7.60 point

against a premium of 4.05 points. The Nov. series closed at a premium of 41.65 points.
The Implied Volatility of at the money options is

increased from 12.80% to 13.74%.

Nifty PCR-OI has increased from 1.01 to 1.03 levels. The total OI of the market is `1,65,027/- cr. and the

stock futures OI are `38,058/- cr.

Few of the liquid counters where we have seen high

rollovers are MCLEODRUSS, JSWENERGY, SUZLON, MCDOWELLL-N and PUNJLLOYD. View OI Gainers
SCRIP NHPC GMRINFRA JPPOWER PNB MCLEODRUSS OI 107140000 80096000 12056000 3751500 5570000 OI CHANGE (%) 37.94 19.23 17.09 15.69 15.27 PRICE 21.85 21.95 40.25 820.30 307.70 PRICE CHANGE (%) -1.13 -2.65 5.49 -0.43 -0.60 FIIs were net buyers in cash market segment; they

were net buyers worth of `242/- cr. On derivatives front good amount of long buildup was observed by them in index futures and in stock futures, while in index options they were net sellers in yesterdays trade.
On options front 5800 call option has seen some

buildup in open interest followed by some unwinding in 5700 strike price, while in put option 5600-5700 strike price has seen significant amount of buildup in yesterdays trading session.
Rollover in NIFTY future is bit on the lower side at

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

31%, while that of BANKNIFTY future rollover is in line at 27%.

DLF has seen good amount of short positions getting

SOUTHBANK HDIL SCI SUZLON NCC

3768000 24964000 4120000 122536000 4360000

-28.09 -10.50 -10.20 -8.60 -8.48

22.25 104.00 55.15 16.00 47.45

-5.32 1.56 -0.99 5.69 -0.31

buildup since start of this expiry. The counter in last few trading session has seen some long buildup and also has seen taking support at around `200-202 levels. Hence we feel short covering bounce could be seen in this stock as rollover in this counter is quite less. Go long at around `205-208 levels with the target price of `222 and stop loss at `198.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.03 0.98 0.50 0.94 0.47 PCR-VOL 1.15 1.14 0.58 0.66 0.54

Historical Volatility
SCRIP SOUTHBANK PEL TCS ADANIPORTS SUZLON HV 35.44 27.86 27.50 44.88 58.56

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Derivative Report
Oct 23, 2012

FII Statistics for 22-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17986.52 52699.12 32402.93 2731.43 105820.00 Change (%) 12.59 (0.89) 2.91 (7.29) 2.37

Turnover on 22-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4786.38

4550.37

236.01 (176.29) 294.66 74.97 429.35

701013 1842582 1103828 85560 3732983

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,02,728 41,64,493 9,91,769 3,09,790 59,68,780

13939.15 119054.61 29469.88 10443.22 172906.86

25.08 -3.19 28.86 -1.28 3.18

17505.10 17681.39 8994.65 1680.97 8699.99 1606.01

32967.11 32537.76

Nifty Spot =5717.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 42.45 6.30 42.45 0.85 6.30 0.85 5.45 94.55 5805.45 41.60 158.40 5741.60 Risk 36.15 Reward 63.85 BEP 5736.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 18.80 2.90 18.80 0.75 2.90 0.75 2.15 97.85 5597.85 18.05 181.95 5681.95 Risk 15.90 Reward 84.10 BEP 5684.10

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 23, 2012

Strategy Date 01-Oct-2012 08-Oct-2012 15-Oct-2012 22-Oct-2012

Symbol SBIN ICICIBANK RELIANCE BANKNIFTY

Strategy Short Strangle Bull Call Spread Long Call Ladder Ratio Put Spread

Status Profit booked on 08-Oct-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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