Derivative Report

India Research
Comments
The Nifty futures open interest increased by 2.40% while

Nifty Vs OI

Dec 07, 2011

Minifty futures open interest decreased by 3.52% as market closed at 5039.15 levels.
The Nifty Dec. future closed at a Premium of 26.45 point

against a Premium of 30.55 points. The January Series closed at a Premium of 46.40 points.
The Implied Volatility of at the money options is

increased from 21.80% to 22.94%.

The PCR-OI has decreased from 1.31 points to 1.25

points.
The total OI of the market is `1,17,680.64cr. and the

stock futures OI are `27,211.89cr.

Stocks were cost of carry is positive are GITANJALI,

RUCHISOYA, SKUMARSYNF, LITL and KSOILS.

OI Gainers
SCRIP IOB HINDZINC HINDOILEXP ABGSHIP COREEDUTEC OI 872000 1718000 2864000 3781000 2901000 OI CHANGE (%) 27.11 17.99 16.14 12.93 11.53 PRICE 92.15 127.45 131.10 424.85 289.15 PRICE CHANGE (%) -1.71 1.23 5.90 1.37 -0.16

View
FIIs were net buyers in cash market segment on

Mondays trading session; they were net buyers worth of `147/- cr. On Derivatives front they were net sellers indicating some short buildup by them, while in index options also they were net sellers.
On

OI Losers
SCRIP IBREALEST VIPIND PANTALOONR IRB DRREDDY OI 10790000 2892500 6537000 2448000 708500 OI CHANGE (%) -25.83 -11.10 -10.23 -7.13 -6.50 PRICE 62.85 117.75 186.35 155.90 1579.70 PRICE CHANGE (%) -4.34 -5.08 -12.90 2.43 0.15

Options front at-the-money and out-of-the money call options from 5100-5400 strike price have seen some buildup in open interest and in-the-money call option of 4800 and 5000 strike price have seen maximum unwinding, while in put options deep outof-the money put options of 4300 strike price have seen some unwinding while 4400 put options have seen maximum buildup. around the level of `430. Any dips till to support should be used to go long as there are lot of short positions standing in the counter. Fix a stop loss of `423 and expect counter to move up to `467.

RANBAXY has reached to a very strong support

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE TATAMOTORS PCR-OI 1.25 1.06 0.99 0.87 0.84 PCR-VOL 0.81 0.43 0.51 0.79 0.60

Historical Volatility
SCRIP
ASHOKLEY SRTRANSFIN PANTALOONR ADANIPOWER UNIPHOS

HV
42.53 48.21 150.73 43.72 52.29 For Private Circulation Only 1

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Derivative Report | India Research

FII Statistics for 05-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13747.69 46100.47 25770.59 669.26 86288.01 Change (%) 4.86 2.75 -0.94 0.64 1.86

Turnover on 05-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1292.03

1508.30

(216.28) (257.77) (283.41) 22.01 (735.45)

550092 1829716 1105238 27656 3512702

Index Futures Stock Futures Index Options Stock Options Total

472751 390353 2604279 122760 3590143

10982.78 8862.57 66132.39 2774.13 88751.86

-21.56 -23.99 -21.69 -19.05 -21.83

12532.19 12789.96 941.93 361.27 1225.34 339.27

15127.42 15862.88

Nifty Spot =5039.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 99.60 59.55 99.60 31.75 59.55 31.75 27.80 72.20 5227.80 67.85 132.15 5167.85 Risk 40.05 Reward 59.95 BEP 5140.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 91.30 61.55 91.30 41.45 61.55 41.45 20.10 79.90 4879.90 49.85 150.15 4950.15 Risk 29.75 Reward 70.25 BEP 4970.25

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 05-12-2011

Scrip RELINFRA TATAMOTORS

Strategy Long Call Long Put

Status Did not triggered Open

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