Derivative Report

India Research
Comments
The Nifty futures open interest increased by 0.61% while

Nifty Vs OI

Dec 02, 2011

Minifty futures open interest increased by 0.85% as market closed at 4936.85 levels.
The Nifty Dec. future closed at a Premium of 26.90 point

against a Premium of 0.30 points. The January Series closed at a Premium of 45.80 points.
The Implied Volatility of at the money options is

decreased from 24.80% to 22.27%.

The PCR-OI has decreased from 1.25 points to 1.21

points.
The total OI of the market is `1,09,824.27cr. and the

stock futures OI are `25,729.62cr.

Stocks were cost of carry is positive are GITANJALI,

RUCHISOYA, HCLTECH, TTML and SRTRANSFIN.

OI Gainers
SCRIP RANBAXY BHEL GAIL IOB DRREDDY OI 4444500 10886125 1238000 632000 688000 OI CHANGE (%) 25.39 24.60 17.35 14.49 13.02 PRICE 443.15 276.45 397.15 92.10 1546.05 PRICE CHANGE (%) 1.96 -2.21 1.40 -0.70 -1.99

View
FII's are buying in cash market and are covering their

short positions in index futures which they had formed in November series and rolled over it to December. Fresh formation of long positions is what one should look at for continuation of this bounce back.
Deep out-of-money put buyers of 4100 strike have

OI Losers
SCRIP BAJAJHLDNG INDIANB SOUTHBANK GLAXO ALBK OI 55000 300000 1028000 12625 1571000 OI CHANGE (%) -15.38 -15.25 -12.96 -12.93 -10.84 PRICE 710.80 194.45 21.95 1900.15 158.60 PRICE CHANGE (%) 1.48 2.86 1.15 -0.88 4.72

covered their positions and strikes of 4300, 4900 and 5000 puts have seen significant built-up. 4800 call reduced open interest while 5100 call has added substantial OI in yesterdays trading session which we believe is strong resistance for this market for December series.
Most of the rally in SBIN from lower levels has been

due to short covering only. Counter has very strong resistance around 1850 odd levels. We suggest to form short position in counter near resistance with target price of 1745 and stop loss of 1873 as we expect fresh formation of short positions at higher levels.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.21 0.85 0.96 0.85 0.64 PCR-VOL 1.01 0.60 0.81 0.62 0.45

Historical Volatility
SCRIP
TATAGLOBAL JPPOWER IDEA ICICIBANK ABGSHIP

HV
39.98 44.56 50.08 59.18 33.23 For Private Circulation Only 1

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FII Statistics for 01-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13389.71 42115.38 25097.99 663.14 81266.21 Change (%) -1.88 -0.24 -1.36 21.87 -0.73

Turnover on 01-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2825.36

1789.48

1,035.87 1,559.53 311.93 16.09 2,923.42

548347 1706130 1107197 27735 3389409

Index Futures Stock Futures Index Options Stock Options Total

590052 540589 3394077 132076 4656794

13631.13 12606.34 84006.59 3119.93 113363.99

-19.41 -13.07 7.12 8.06 0.56

14328.45 12768.93 2048.07 329.86 1736.14 313.78

19531.75 16608.33

Nifty Spot =4936.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 101.10 59.75 101.10 32.00 59.75 32.00 27.75 72.25 5127.75 69.10 130.90 5069.10 Risk 41.35 Reward 58.65 BEP 5041.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 95.05 65.75 95.05 45.05 65.75 45.05 20.70 79.30 4779.30 50.00 150.00 4850.00 Risk 29.30 Reward 70.70 BEP 4870.70

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

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 28-11-2011

Scrip RELINFRA

Strategy Long Call

Status Did not triggered

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