Derivative Report

India Research
Oct 05, 2011 Comments
The Nifty futures open interest increased 5.95% while

Nifty Vs OI

Minifty futures open interest increased by 18.35% as market closed at 4772.15 levels.
The Nifty Oct. future closed at a Premium of 2.85 point

against a Premium of 8.25 points. The November Series closed at a Premium of 16.30 points.
The Implied Volatility of at the money options is

increased from 34.46% to 36.38%.

The PCR-OI has decreased from 1.42 to 1.39 points. The total OI of the market is `1,04,882.30cr. And the

stock futures OI are `24,865.65cr.

Stocks where cost of carry is positive are GUJFLUORO,

RUCHISOYA, BEL, PRAJIND and TECHM.

OI Gainers
SCRIP TITAN COALINDIA JUBLFOOD TULIP PETRONET OI 12112500 6534000 549000 546000 4832000 OI CHANGE (%) 18.84 17.58 16.25 12.35 11.08 PRICE 197.35 319.90 668.35 152.90 160.85 PRICE CHANGE (%) -3.28 -5.02 -11.23 -2.27 0.09

View
Cash base selling to the tune of `971/- crores was

done by FII's. In FNO segment fresh shorting has been observed by them and they continue to buy index options in this falling market.
The manner in which 4300 put is adding open

interest along with significant rise in implied volatility is denting our confidence of not to short. However, we are sticking to it. Market may widened the range and may remain highly volatile.
SAIL in last three trading session have added huge

OI Losers
SCRIP IOB GLAXO MARUTI BPCL BOMDYEING OI 1610000 29750 2047500 734500 288000 OI CHANGE (%) -14.09 -12.82 -12.66 -10.81 -8.86 PRICE 89.10 2100.40 1107.85 674.00 359.65 PRICE CHANGE (%) -1.33 0.07 2.79 -0.82 0.42

open interest and needless to say that these are short positions. However looking at the quantum and price movement we believe counter is in oversold zone. Short covering though not very big is quite likely at current levels. Very short term traders can go long with stop loss of `96 and target of `109.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.39 0.60 0.68 1.24 0.34 PCR-VOL 1.12 0.79 0.68 0.85 1.01

Historical Volatility
SCRIP
JUBLFOOD ALBK M&M COALINDIA DCB

HV
84.99 45.39 40.81 51.34 60.25 For Private Circulation Only 1

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FII Statistics for 04-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12839.39 39867.70 25618.38 746.15 79071.63 Change (%) 4.24 3.99 0.41 15.34 2.91

Turnover on 04-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2322.24

2911.40

(589.16) 328.82 (271.01) 5.98 (525.37)

544181 1670983 1112692 31309 3359165

Index Futures Stock Futures Index Options Stock Options Total

748867 508935 3283660 125169 4666631

16637.93 11971.34 80201.63 3052.94 111863.83

37.08 31.78 39.19 32.57 37.85

12287.13 11958.31 1496.46 444.59 1767.47 438.61

16550.42 17075.79

Nifty Spot =4772.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 150.55 102.25 150.55 66.20 102.25 66.20 36.05 63.95 4936.05 84.35 115.65 4884.35 Risk 48.30 Reward 51.70 BEP 4848.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 138.00 104.10 138.00 77.05 104.10 77.05 27.05 72.95 4572.95 60.95 139.05 4639.05 Risk 33.90 Reward 66.10 BEP 4666.10

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 03-10-2011

Scrip NIFTY

Strategy Long Put Ladder

Status Continue

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