Derivative Report

India Research
Comments
The Nifty futures open interest increased by 0.38% while

Nifty Vs OI

Dec 27, 2011

Minifty futures open interest decreased by 0.72% as market closed at 4779 levels.
The Nifty Dec. future closed at a Premium of 8.70 point

against a Premium of 6.60 points. The January Series closed at a Premium of 28.45 points.
The Implied Volatility of at the money options is

increased from 24.10% to 25.08%.

The PCR-OI has being increased from 0.90 to 0.95

points.
The total OI of the market is `1,39,831cr. and the stock

futures OI are `29,523.72/-cr.

Few of the liquid counters where we have seen high

rollovers are COREEDUTEC, RUCHISOYA, GITANJALI, PUNJLLOYD and JSWSTEEL.

OI Gainers
SCRIP COREEDUTEC HOTELEELA BOMDYEING MTNL OIL OI 6066000 3448000 290000 16472000 56500 OI CHANGE (%) 26.56 23.85 20.33 19.64 19.58 PRICE 261.20 30.70 377.05 24.30 1168.35 PRICE CHANGE (%) 0.60 0.33 4.10 1.89 -0.10

View
FIIs were net buyers in cash market segment in

yesterdays trade; they were net buyers worth of `113/- cr. On derivatives front they were net buyers in index futures, while in index options they were net sellers.
On Options front Nifty 4700 and 4800 put option

OI Losers
SCRIP VIDEOIND DLF JSWENERGY CENTURYTEX ROLTA OI 7610000 25517000 6232000 2988000 2106000 OI CHANGE (%) -11.35 -10.68 -9.84 -9.26 -6.98 PRICE 177.00 196.55 38.95 236.80 56.05 PRICE CHANGE (%) -0.42 1.34 -0.13 2.89 3.51

have added significant amount of open interest and 4400 put option have seen some unwinding, while in call options some unwinding was seen in 4600 and 4700 strikes and buildup was seen in 4800 call option.
In the range of `120-125 level the counter of

HINDALCO has seen good amount of position getting buildup, we believe its much of a short position getting buildup in this counter and in absence of global cues and positive momentum we expect some short covering in this counter. Hence we recommend to go long at around `119-120 levels with the target price of `127 and stop loss at `116.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY ICICIBANK RELIANCE PCR-OI 0.95 0.41 0.91 0.48 0.59 PCR-VOL 0.92 0.58 0.83 0.97 0.60

Historical Volatility
SCRIP
GVKPIL INFY HEROMOTOCO TCS HEXAWARE

HV
74.23 31.55 41.96 32.72 42.63 For Private Circulation Only 1

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FII Statistics for 26-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12005.07 47755.24 27538.96 1073.83 88373.10 Change (%) 0.99 -1.52 -0.95 -3.97 -1.04

Turnover on 26-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1645.48

1373.45

272.03 (29.64) 121.35 31.98 395.71

508943 2000504 1225055 48922 3783424

Index Futures Index Options Stock Futures Stock Options Total

457268 3739103 626234 115116 4937721

10071.30 89567.95 13573.76 2588.14 115801.15

-16.32 -8.95 -16.82 -27.73 -11.13

16751.85 16781.50 3980.02 254.99 3858.67 223.01

22632.34 22236.63

Nifty Spot =4779.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 39.10 10.40 39.10 2.60 10.40 2.60 7.80 92.20 4907.80 36.50 163.50 4836.50 Risk 28.70 Reward 71.30 BEP 4828.70

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 17.00 5.10 17.00 1.90 5.10 1.90 3.20 96.80 4596.80 15.10 184.90 4684.90 Risk 11.90 Reward 88.10 BEP 4688.10

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

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Derivative Report | India Research

Strategy Date 28-11-2011 05-12-2011 12-12-2011 19-12-2011 26-12-2011

Scrip RELINFRA TATAMOTORS NIFTY NIFTY TATASTEEL

Strategy Long Call Long Put Short Strangle Long Call Long Call

Status Did not triggered Open Book Profit Did not triggered Open

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Email Id : - derivatives.desk@angelbroking.com

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