Derivative Report

Oct 26, 2012

Comments
The Nifty futures open interest decreased by 35.10%

Nifty Vs OI

while BankNifty futures open interest is decreased by 28.46% as market closed at 5705.30 levels.
The Nifty Nov. future closed at premium of 41.55 point

against a premium of 42.05 points. The Dec. series closed at a premium of 74.70 points.
The Implied Volatility of at the money options is

increased from 13.42% to 13.44%.

Nifty PCR-OI has decreased from 1.03 to 1.02 levels. The total OI of the market is Rs.1,03,820/- cr. and the

stock futures OI are Rs.30,824/- cr.

Few of the liquid counters where we have seen high cost

of carry are PANTALOONR, ALOKTEXT, WELCORP, GVKPIL and ASHOKLEY. View OI Gainers
SCRIP IRB SUZLON ORIENTBANK SUNTV HDIL OI 7072000 172728000 1362000 2803000 23088000 OI CHANGE (%) 42.47 22.30 12.01 3.97 1.25 PRICE 119.10 15.85 314.20 343.45 101.10 PRICE CHANGE (%) -15.57 0.68 6.96 -3.70 -1.74 FIIs were net sellers in cash market segment worth of

Rs.551/- cr. On derivatives front they were net buyers in both index futures and in index option with significant amount of unwinding in open interest, this was due to expiry. However In stock futures they were net sellers in yesterdays trade.
On options front in Nov. series significant amount of

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

buildup was observed in 5400 and 5900 call option, while in put option 5300,5400 and 5600 strike price saw huge buildup in open interest in yesterdays trading session. Highest buildup in open interest is at 5600 put option and 5900 call option as of now in this new series.
Rollover in NIFTY future was at 63%, while that of

BANKNIFTY future rollover was at 68%. Market wide rollover was at 83%.

HAVELLS HDFC AMBUJACEM LUPIN COLPAL

374000 9263500 6740000 2108000 79750

-38.08 -37.90 -36.97 -36.76 -35.03

619.35 765.75 206.10 572.80 1229.70

-4.11 2.05 1.29 1.57 -1.24

ICICIBANK has seen huge rollover of long positions and is near its strong resistance levels. As we expect market to show some correction, there could be a long unwinding pressure on this banking major counter which is long heavy. In this anticipation we would suggest to form some short positions in current month contract between Rs.1090-1100 with stop loss of Rs.1132 and target of Rs.1038. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY ICICIBANK PCR-OI 1.02 0.72 0.54 0.53 0.47 PCR-VOL 0.88 0.72 0.44 0.67 0.36

SCRIP IRB HAVELLS ORIENTBANK M&M GSPL

HV 95.41 36.13 59.68 31.65 32.87

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Derivative Report
Oct 26, 2012

FII Statistics for 25-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 6316.63 5412.74 903.89 398.93 (730.68) 51.50 623.65 406068 1295008 960142 3411 2664629 10171.95 36954.01 27932.70 105.83 75164.48 Change (%) (43.48) (29.68) (16.50) (95.80) (29.72)

Turnover on 25-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

6,65,604 55,95,932 13,09,386 3,36,038 79,06,960

17769.15 160013.51 38399.32 10981.53 227163.50

8.55 54.66 17.05 37.33 41.42

17616.94 17218.01 8429.41 1106.87 9160.09 1055.37

33469.86 32846.21

Nifty Spot =5705.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 120.70 69.80 120.70 35.75 69.80 35.75 34.05 65.95 5834.05 84.95 115.05 5784.95 Risk 50.90 Reward 49.10 BEP 5750.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 72.80 41.70 72.80 22.75 41.70 22.75 18.95 81.05 5581.05 50.05 149.95 5649.95 Risk 31.10 Reward 68.90 BEP 5668.90

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

Nifty Put-Call Analysis

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Derivative Report
Oct 26, 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 Loss on expiry Minor loss on expiry Loss on expiry

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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