Derivative Report

India Research
Aug 18, 2011 Comments
The Nifty futures open interest decreased 4.16% while

Nifty Vs OI

Minifty futures open interest decreased by 1.97% as market closed at 5056.60 levels.
The Nifty Aug future closed at a premium 10.15 point

against a discount of 8.10 points, while the Sep futures closed at a premium of 20.95 points.
The Implied Volatility of at the money options decreased

from 28.00% to 25.25%.

The PCR-OI has increased from 1.03 to 1.07 points. The total OI of the market is `139,905cr and the stock

futures OI is `29,930cr.
Few liquid stocks where CoC is positive are KSOILS,

TTML, SKUMARSYNF, GTOFFSHORE and DCHL.

OI Gainers
SCRIP AXISBANK CANBK JETAIRWAYS JUBLFOOD INDUSINDBK OI 2924000 2357500 1325500 364500 3867000 OI CHANGE (%) 17.83 16.39 16.07 13.91 13.57 PRICE 1169.80 432.50 304.55 947.25 246.05 PRICE CHANGE (%) -3.52 -3.35 -12.96 4.45 -4.09

View
FIIs formed some long positions in the Stock futures

and unwound some of their longs in the Index futures. They were net sellers of `408cr in the cash market segment.
In the last trading session, the 4800 Put option added

highest open interest and some unwinding was observed in the 5000 Put option. However, there was not much change observed in call options.
IDFC has significant short positions and stock is

OI Losers
SCRIP COLPAL KSOILS SUZLON SAIL ARVIND OI 214500 33512000 90152000 9876000 2496000 OI CHANGE (%) -9.78 -9.35 -7.01 -6.19 -6.02 PRICE 931.90 7.95 37.10 106.55 72.20 PRICE CHANGE (%) 2.55 -8.09 -3.39 1.43 -0.82

trading around very low levels. Yesterday, the cost of carry has turned from negative to positive. We may see a positive move up to `118-120. Traders can trade with positive bias with a stop loss of `109.
BAJAJHIND has corrected significantly but significant

short build up was not observed in the counter. Yesterday some buying was observed and cost of carry has increased significantly. We may see a positive move up to `58. Trading with positive bias is advisable with a stop loss of `52.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN ICICIBANK BANKNIFTY PCR-OI 1.06 0.31 0.54 0.40 0.96 PCR-VOL 1.00 0.41 0.80 0.52 1.55

Historical Volatility
SCRIP
JETAIRWAYS BEL BFUTILITIE ASHOKLEY DCB

HV
89.41 29.91 83.63 49.70 56.00

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FII Statistics for 17-Aug-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 14670.63 48496.52 29297.02 573.95 93038.11 Change (%) -1.23 0.08 0.33 4.27 3.45

Turnover on 17-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2627.00

2766.78

(139.78) (240.63) 190.36 13.12 (176.93)

582196 1918303 1209107 24740 3734346

Index Futures Stock Futures Index Options Stock Options Total

698669 576185 4104209 147821 5526884

16557.13 14155.89 105228.41 3660.98 139602.40

38.50 15.16 21.56 -6.12 21.70

12840.24 13080.88 2346.44 397.56 2156.08 384.44

18211.25 18388.18

Nifty Spot = 5056.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 61.75 26.75 61.75 10.15 26.75 10.15 16.60 83.40 5216.60 51.60 148.40 5151.60 Risk 35.00 Reward 65.00 BEP 5135.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 53.65 28.55 53.65 14.75 28.55 14.75 13.80 86.20 4886.20 38.90 161.10 4961.10 Risk 25.10 Reward 74.90 BEP 4974.90

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

Nifty Put-Call Analysis

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Derivative Report | India Research

Strategy Date 01-Aug-2011 08-Aug-2011 16-Aug-2011

Scrip HINDALCO NIFTY M&M

Strategy Bull Call Spread Short Strangle Long Put

Status Loss booked on 09-Aug-2011 Loss booked on 09-Aug-2011 Continue

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