Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.57% while

Nifty Vs OI

Dec 15, 2011

Minifty futures open interest increased by 6.50% as market closed at 4763.25 levels.
The Nifty Dec. future closed at a Premium of 0.95 point

against a Premium of 10.75 points. The January Series closed at a Premium of 24.75 points.
The Implied Volatility of at the money options is

increased from 27.05% to 27.83%.

The PCR-OI has decreased from 1.05 points to 1.04

points.
The total OI of the market is `1,27,649.70cr. and the

stock futures OI are `25,928/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

ABGSHIP, ASHOKLEY, SKUMARSYNF and GITANJALI.

OI Gainers
SCRIP BIOCON JISLJALEQS ASIANPAINT CHAMBLFERT PUNJLLOYD OI 807000 1594000 222125 3460000 31716000 OI CHANGE (%) 22.46 21.68 18.47 13.74 11.75 PRICE 290.45 97.60 2782.95 79.05 42.65 PRICE CHANGE (%) -4.06 -7.27 -0.74 -6.73 -6.78

View
FIIs were net sellers in cash market segment in

yesterdays trading session; they were net sellers worth `140/- cr. On Derivatives front they were net sellers in index futures indicating some shorts buildup by them, while in index options they were net buyers.
On Options front deep out-of-the money put option

of 4200 strike price have some unwinding in open interest and 4300 put options have seen maximum buildup, while in call options 4800 strike price have seen descent buildup in open interest.
We

OI Losers
SCRIP AREVAT&D MPHASIS BOMDYEING BOSCHLTD PANTALOONR OI 319000 486500 237000 3750 6616000 OI CHANGE (%) -68.82 -18.10 -15.66 -11.76 -11.65 PRICE 150.20 339.95 372.15 6901.00 142.10 PRICE CHANGE (%) -23.83 1.93 -3.79 0.88 -9.78

have witnessed huge short positions in ASHOKLEY in last one week and the stock has corrected from the higher level of `27. `24-24.50 is a very strong support zone for this stock and this support zone may be breached in coming trading sessions. Hence we recommend to go short on this counter with the target price of `23 and stop loss at `25.50.

Put-Call Ratio
SCRIP NIFTY SBIN ICICIBANK BANKNIFTY RELIANCE PCR-OI 1.04 0.63 0.37 0.63 0.49 PCR-VOL 0.91 0.46 0.37 0.47 0.46

Historical Volatility
SCRIP
GAIL 3IINFOTECH JISLJALEQS BIOCON BALRAMCHIN

HV
34.66 94.67 64.56 37.65 71.93 For Private Circulation Only 1

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FII Statistics for 14-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12118.21 48546.31 24783.98 920.23 86368.73 Change (%) 6.69 2.01 -0.20 5.94 1.99

Turnover on 14-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1583.25

1894.00

(310.75) 127.14 (23.10) 16.63 (190.08)

518478 2038596 1136185 41454 3734713

Index Futures Index Options Stock Futures Stock Options Total

749419 4086919 505218 148969 5490525

16469.43 99600.06 11269.79 3408.81 130748.08

2.30 -0.39 -2.32 -8.79 -0.47

19188.52 19061.38 1499.53 551.77 1522.64 535.14

22823.07 23013.15

Nifty Spot =4763.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 88.90 50.45 88.90 26.80 50.45 26.80 23.65 76.35 4923.65 62.10 137.90 4862.10 Risk 38.45 Reward 61.55 BEP 4838.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 82.70 51.10 82.70 30.00 51.10 30.00 21.10 78.90 4578.90 52.70 147.30 4647.30 Risk 31.60 Reward 68.40 BEP 4668.40

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 12-12-2011

Scrip RELINFRA TATAMOTORS NIFTY

Strategy Long Call Long Put Short Strangle

Status Did not triggered Open Open

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