Derivative Report

India Research
Oct 18, 2011 Comments
The Nifty futures open interest increased by 2.93% while

Nifty Vs OI

Minifty futures open interest decreased by 5.98% as market closed at 5118.25 levels.
The Nifty Oct. future closed at a Discount of 2.40 point

against a Premium of 11.05 points. The November Series closed at a Premium of 14.20 points.
The Implied Volatility of at the money options is

increased from 22.67% to 23.05%.

The PCR-OI has decreased from 1.56 to 1.48 points. The total OI of the market is `1,28,706.60cr. And the

stock futures OI are `30,596.81/-cr.

Stocks where cost of carry is positive are ONMOBILE,

TRIVENI, COREEDUTEC, HAVELLS and VIDEOIND.

OI Gainers
SCRIP IRB IGL PETRONET BATAINDIA BANKBARODA OI 3828000 309000 7006000 1794000 1950750 OI CHANGE (%) 28.54 28.22 22.35 12.34 12.26 PRICE 172.80 395.80 163.90 692.25 759.90 PRICE CHANGE (%) 1.74 -3.26 5.06 1.07 -1.39

View
Though market was lacklusture yesterday FII's were

more on the buying side. They bought in cash and formed some long positions in index futures. But in index options and stock futures they were sellers.
5100 call has seen maximum activity in terms of

addition of open interest. IV's of calls are now around 22%, which makes us believe that this OI addition is blend of buyers and some sellers.
TATAMOTORS has seen huge built-up of long

OI Losers
SCRIP LUPIN ARVIND JETAIRWAYS RELCAPITAL TATAPOWER OI 1213000 4336000 1430000 6062000 10270000 OI CHANGE (%) -13.05 -10.56 -10.15 -9.16 -8.47 PRICE 464.05 104.70 235.75 336.35 100.00 PRICE CHANGE (%) 1.98 -1.60 -2.78 -3.72 -0.15

positions when it bounced from sub `150 levels. We are anticipating some long unwinding along with formation of short positions. Short the stock with target price of `173 with stop loss of `196.
BANKBARODA has seen very less volume in cash

market yesterday, however activity in FNO was high and we are assuming lot of long positions building up. Buy on dips around `753-755 with target of `798 and stop loss of `738.

Put-Call Ratio
SCRIP NIFTY SBIN INFY RELIANCE BANKNIFTY PCR-OI 1.48 0.55 1.66 0.78 1.29 PCR-VOL 1.06 0.52 1.80 0.55 1.37

Historical Volatility
SCRIP
IOC IGL HINDPETRO BPCL WELCORP

HV
29.68 31.39 34.02 33.73 63.96 For Private Circulation Only 1

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FII Statistics for 17-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13726.69 47068.53 28215.61 1201.32 90212.15 Change (%) 4.33 0.68 1.34 -0.91 1.41

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

Instrument

1832.99 8973.04 2329.71 418.00

1692.43 9132.08 2635.29 400.15

140.56 (159.04) (305.58) 17.85 (306.21)

542709 1839447 1150556 46882 3579594

Index Futures Stock Futures Index Options Stock Options Total

456792 496093 3157466 145813 4256164

10890.82 12477.62 80785.58 3761.66 107915.68

-13.49 10.31 -4.61 -2.22 -4.02

13553.74 13859.94

Nifty Spot =5118.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 76.90 33.30 76.90 11.00 33.30 11.00 22.30 77.70 5222.30 65.90 134.10 5165.90 Risk 43.60 Reward 56.40 BEP 5143.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 63.30 32.80 63.30 16.60 32.80 16.60 16.20 83.80 4983.80 46.70 153.30 5053.30 Risk 30.50 Reward 69.50 BEP 5069.50

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

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Strategy Date 03-10-2011 10-10-2011 17-10-2011

Scrip NIFTY SBIN RCOM

Strategy Long Put Ladder Long Call Long Call

Status Continue Book Profit Continue

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