Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 0.59% while

Nifty Vs OI

Dec 28, 2011

Minifty futures open interest decreased by 4.51% as market closed at 4750.50 levels.
The Nifty Dec. future closed at a Premium of 0.40 point

against a Premium of 8.70 points. The January Series closed at a Premium of 16.80 points.
The Implied Volatility of at the money options is

increased from 25.08% to 27.42%.

The PCR-OI has being decreased from 0.95 to 0.93

points.
The total OI of the market is `1,38,636.50cr. and the

stock futures OI are `29,032.32/-cr.

Few of the liquid counters where we have seen high

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

OI Gainers
SCRIP JINDALSAW FORTIS MRF GLAXO HOTELEELA OI 1544000 7342000 45625 8875 3944000 OI CHANGE (%) 30.41 20.05 19.67 18.33 14.39 PRICE 126.20 83.15 6806.15 1926.05 29.60 PRICE CHANGE (%) -1.41 -6.52 -2.20 0.34 -3.58

View
FIIs were net buyers in cash market segment in

yesterdays trade; they were net buyers worth of `214/- cr. On Derivatives front they were net buyers in index futures and index options.
On Options front Nifty 4800 put option have seen

some unwinding, while in call options 4600 strike have seen unwinding and some buildup was visible in 4700 call option.
In recent past we have seen open position getting

OI Losers
SCRIP SYNDIBANK MTNL GMRINFRA JSWENERGY STER OI 1706000 14952000 61432000 5740000 33122000 OI CHANGE (%) -13.93 -9.23 -9.01 -7.89 -7.49 PRICE 75.65 23.95 19.65 38.60 91.55 PRICE CHANGE (%) 1.07 -1.44 -3.68 -0.90 -1.61

buildup in NHPC and we believe it is a blend of long and short position getting buildup in this counter. The stocks has yet to see the meaningful bounce back after very sharp correction. Hence we recommend to go long on this counter between `18.50-19 level with the target price of `21 and stop loss at `17.50.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 0.93 0.38 0.93 0.57 0.49 PCR-VOL 0.91 0.60 0.97 0.66 0.67

Historical Volatility
SCRIP
FORTIS BAJAJHLDNG MRPL CIPLA VOLTAS

HV
54.65 27.63 52.04 25.62 50.55 For Private Circulation Only 1

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FII Statistics for 27-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11816.95 46728.72 27166.30 992.77 86704.75 Change (%) -0.74 -1.56 -1.06 -7.36 -1.36

Turnover on 27-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2666.89

2349.57

317.32 108.92 (52.19) 13.22 387.27

505160 1969375 1212041 45322 3731898

Index Futures Index Options Stock Futures Stock Options Total

504494 4053284 648017 119683 5325478

11151.83 97580.90 13893.52 2653.52 125279.78

10.73 8.95 2.36 2.53 8.19

17228.01 17119.09 3843.08 228.68 3895.27 215.46

23966.66 23579.39

Nifty Spot =4750.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 18.40 3.15 18.40 1.00 3.15 1.00 2.15 97.85 4902.15 17.40 182.60 4817.40 Risk 15.25 Reward 84.75 BEP 4815.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 19.00 4.30 19.00 1.50 4.30 1.50 2.80 97.20 4597.20 17.50 182.50 4682.50 Risk 14.70 Reward 85.30 BEP 4685.30

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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