Derivative Report

Dec 05, 2012

Comments
The Nifty futures open interest increased by 0.23% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.80% as market closed at 5889.25 levels.
The Nifty Dec. future closed at premium of 34.40 point

against a premium of 40.65 points. The Jan. series closed at a premium of 66.75 points.
The Implied Volatility of at the money options is

increased from 13.69% to 14.07%.

Nifty PCR-OI has decreased from 1.10 to 1.07 levels. The total OI of the market is Rs.1,31,056/- cr. and the

stock futures OI are Rs.34,487/- cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are PUNJLLOYD, RENUKA and CROMPGREAV.

NHPC,

DISHTV,

View OI Gainers
SCRIP TATACHEM RPOWER ZEEL JPPOWER HAVELLS OI 2812000 24648000 11010000 11400000 863000 OI CHANGE (%) 70.22 27.25 23.87 22.42 21.21 PRICE 352.55 98.00 209.25 43.25 602.05 PRICE CHANGE (%) 5.26 0.41 4.87 9.67 3.05 FIIs continues to buy in cash market segment they

were net buyers worth of `540/- cr. On derivatives front long unwinding was observed by them in index futures, while in index options and stock futures they formed some short buildup in yesterdays trade.
On options front 6000-6200 call option has seen

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

good amount of buildup in open interest, followed by some unwinding in 5800 strike price. While in put option, interestingly 5500 strike price saw maximum buildup in open interest and is now highest in terms of open interest buildup in put option, however in call option 6000 continues to have maximum open positions.
The counter of RELINFRA is very much heavy in terms

KTKBANK ADANIPOWER DENABANK HINDZINC CESC

20488000 11272000 9104000 1724000 2737000

-17.71 -6.56 -6.03 -5.90 -5.75

172.80 55.10 112.70 140.90 315.00

-6.31 0.91 -0.66 -0.84 -0.67

of open interest and majority of the buildup is on the shorter side. The recent bounce in this stock was mainly due to long buildup including yesterdays trading session where we have seen decent long buildup in this stock with increase in CoC. This will force the shorts to cover their positions which could take the stock to around `540. Go long with the stop loss of `482.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE TATAMOTORS PCR-OI 1.07 0.99 0.70 0.48 0.66 PCR-VOL 0.76 0.86 0.51 0.42 0.64

Historical Volatility
SCRIP TATACHEM JPPOWER TATAPOWER BHUSANSTL RELIANCE HV 35.14 66.86 32.75 23.56 23.38

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Derivative Report
Dec 05, 2012

FII Statistics for 04-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10933.47 40730.09 30570.09 1331.72 83565.37 Change (%) (0.61) 3.53 0.95 6.41 2.05

Turnover on 04-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

584.25 7799.95 1032.15 1039.37

893.19 8296.73 1183.10 1113.45

(308.93) (496.78) (150.95) (74.08) (1030.74)

374647 1382264 1068945 48036 2873892

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,06,571 19,18,148 5,23,214 2,45,698 28,93,631

5969.64 56998.87 15836.54 7409.47 86214.52

0.09 -4.66 7.46 13.74 -0.90

10455.73 11486.47

Nifty Spot =5889.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 95.10 50.70 95.10 23.60 50.70 23.60 27.10 72.90 6027.10 71.50 128.50 5971.50 Risk 44.40 Reward 55.60 BEP 5944.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 72.40 39.50 72.40 20.80 39.50 20.80 18.70 81.30 5781.30 51.60 148.40 5848.40 Risk 32.90 Reward 67.10 BEP 5867.10

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

Nifty Put-Call Analysis

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Derivative Report
Dec 05, 2012

Strategy Date 03-Dec-2012

Symbol TATASTEEL

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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