Derivative Report

Dec 24, 2012

Comments
The Nifty futures open interest increased by 1.19% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.12% as market closed at 5847.70 levels.
The Nifty Dec. future closed at premium of 5.70 point

against a premium of 14.75 points. The Jan. series closed at a premium of 56.75 points.
The Implied Volatility of at the money options is

increased from 12.15% to 13.04%.

Nifty PCR-OI has decreased from 1.08 to 1.03 levels. The total OI of the market is Rs.1,66,627/- cr. and the

stock futures OI are Rs.41,457/- cr.

Few of the liquid counters where we have seen rollovers

are SUZLON, PANTALOONR, HEROMOTOCO and TCS.

JPASSOCIAT,

View OI Gainers
SCRIP GMRINFRA INDUSINDBK ADANIPORTS BHARTIARTL CAIRN OI 106816000 2837000 8230000 16745000 21204000 OI CHANGE (%) 17.52 10.22 9.06 8.94 8.10 PRICE 18.45 427.20 135.65 307.35 312.00 PRICE CHANGE (%) -3.13 -1.45 -3.21 -3.50 -2.34 Despite of sharp fall in Fridays trade, FIIs were still

net buyers in cash market segment; they were net buyers worth of `115/- cr. On derivatives front they were net sellers in index futures, while in index options good amount of buying was observed by them in Fridays trade.
On options front 5800-5900 call option has seen

decent amount of buildup in open interest. While in put option 5700 strike price saw maximum buildup in open interest and considerable amount of unwinding was seen in 5800-6000 put option in Fridays trading session.
Rollover in both NIFTY and BANKNIFTY future is on

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

SYNDIBANK UNIONBANK COLPAL HDIL ZEEL

2100000 3495000 161750 30364000 5936000

-14.77 -12.25 -12.21 -11.58 -9.57

127.90 263.25 1485.80 107.00 222.40

-3.43 -3.83 -0.64 -5.92 -0.11

the higher side at 33% and 22% respectively, indicating most of the long positions formed in November series which is still intact has being rolled over in January series.
The Fridays fall in DLF was mainly due to long

unwinding. The counter has seen good amount of long positions getting buildup in this series and majority of them are still intact and also the stock has seen taking support at around `215-216 levels. Hence we feel the counter could resume its uptrend which could take the stock to around `234. Go long with the stop loss of `213. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY DLF PCR-OI 1.03 0.85 0.82 0.42 0.24 PCR-VOL 0.89 0.82 0.64 0.47 0.42

SCRIP RPOWER IGL DIVISLAB PUNJLLOYD BIOCON

HV 37.88 27.51 32.49 52.22 34.88

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Derivative Report
Dec 24, 2012

FII Statistics for 21-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13268.40 48412.55 36066.82 2336.35 100084.11 Change (%) 4.81 1.98 0.03 (1.63) 1.54

Turnover on 21-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3700.83

3823.86

(123.03) 1014.12 (55.70) (1.67) 833.72

457316 1653287 1235576 83814 3429993

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,95,679 44,26,502 9,22,096 3,36,423 61,80,700

14362.76 131223.65 27619.37 10338.59 183544.36

38.75 6.24 12.09 -7.52 8.17

17692.83 16678.71 6189.24 1325.21 6244.94 1326.88

28908.11 28074.39

Nifty Spot =5847.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 19.30 4.20 19.30 1.30 4.20 1.30 2.90 97.10 6002.90 18.00 182.00 5918.00 Risk 15.10 Reward 84.90 BEP 5915.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 18.00 3.40 18.00 1.20 3.40 1.20 2.20 97.80 5697.80 16.80 183.20 5783.20 Risk 14.60 Reward 85.40 BEP 5785.40

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 24, 2012

Strategy Date 03-Dec-2012 07-Dec-2012 17-Dec-2012

Symbol TATASTEEL RELINFRA BHEL

Strategy Long Call Bull Call Spread Long Call Ladder

Status Profit booked on 19-Dec-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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