Derivative Report

Nov 12, 2012

Comments
The Nifty futures open interest increased by 0.53% while

Nifty Vs OI

BankNifty futures open interest is decreased by 5.05% as market closed at 5686.25 levels.
The Nifty Nov. future closed at premium of 34.35 point

against a premium of 26.45 points. The Dec. series closed at a premium of 68.00 points.
The Implied Volatility of at the money options is

decreased from 12.72% to 12.28%.

Nifty PCR-OI has decreased from 1.11 to 1.06 levels. The total OI of the market is Rs.1,47,234/- cr. and the

stock futures OI are Rs.34,115/- cr.

Few of the liquid counters where we have seen high cost

of carry are OFSS, JISLJALEQS, NHPC, ALOKTEXT and ONGC. View OI Gainers
SCRIP ASHOKLEY IDEA ONGC SBIN UNIPHOS OI 16692000 9448000 12665000 6047625 7076000 OI CHANGE (%) 20.02 18.34 12.38 11.52 9.67 PRICE 25.70 93.20 257.15 2155.05 113.35 PRICE CHANGE (%) 6.58 2.74 -2.72 -4.06 -2.94 FIIs were net sellers in cash market segment worth of

`204/- cr. On derivatives front long unwinding was observed by them in index futures, while in index options they were net buyers with some buildup in open interest in Fridays trading session.
On options front 5700-5800 call option has seen

good amount of buildup in open interest and the same strike price put option has seen considerable amount of unwinding. 5500 put option has also seen some buildup in open interest in Fridays trade.
BPCL has seen significant amount of short positions

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

SYNDIBANK MCDOWELL-N DENABANK HDIL ALBK

1624000 10284250 10044000 26852000 5898000

-17.14 -11.76 -11.21 -8.57 -7.12

124.15 1360.50 111.75 104.35 143.70

-1.66 1.18 -2.68 -1.83 -3.06

getting buildup since last few trading session. Around `335-336 the counter has decent support and also crude oil price has seen coming down which is quite positive for this stock. Hence we feel the stock could see short covering bounce which could take the counter to around `354. Go long with the stop loss of `333.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE TATAMOTORS PCR-OI 1.06 0.80 0.55 0.36 1.74 PCR-VOL 1.01 0.82 0.71 0.59 0.95

Historical Volatility
SCRIP ASHOKLEY ONGC TATASTEEL SBIN TATACOMM HV 40.64 23.26 30.36 37.97 25.94

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Derivative Report
Nov 12, 2012

FII Statistics for 09-November-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11106.89 53150.32 29846.83 2567.49 96671.54 Change (%) (0.68) 2.30 0.88 12.68 1.72

Turnover on 09-November-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1235.11

1518.86

(283.75) 423.05 (372.56) (28.85) (262.11)

439783 1868860 1094747 92949 3496339

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,41,381 31,73,347 5,94,435 5,23,969 46,33,132

9339.96 91544.93 16651.04 14757.47 132293.41

17.83 18.01 2.79 41.98 18.02

14500.63 14077.58 1130.94 2650.35 1503.50 2679.21

19517.03 19779.14

Nifty Spot =5686.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 74.40 31.85 74.40 11.10 31.85 11.10 20.75 79.25 5820.75 63.30 136.70 5763.30 Risk 42.55 Reward 57.45 BEP 5742.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 53.30 22.45 53.30 8.95 22.45 8.95 13.50 86.50 5586.50 44.35 155.65 5655.65 Risk 30.85 Reward 69.15 BEP 5669.15

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
Nov 12, 2012

Strategy Date 29-Oct-2012 05-Nov-2012

Symbol NIFTY TATAMOTORS

Strategy Long Put Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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