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Derivative Report

India Research
Comments
The Nifty futures open interest increased by 2.50% while

Nifty Vs OI

Feb 10, 2012

Minifty futures open interest increased by 6.77% as market closed at 5412.35 levels.
The Nifty Feb. future closed at a Premium of 24.70 point

against a Premium of 20.55 points. The March Series closed at a Premium of 54.25 points.
The Implied Volatility of at the money options is

decreased from 21.64% to 19.80%.


The PCR-OI has being increased from 1.41 to 1.45

points.
The total OI of the market is `1,36,375.9/-cr. and the

stock futures OI are `33,220/-cr.


Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, TATAPOWER and APIL.

JSWISPAT,

JPPOWER,

OI Gainers
SCRIP DHANBANK TATAGLOBAL BHUSANSTL HOTELEELA TATACOFFEE OI 4828000 8940000 592000 2912000 373250 OI CHANGE (%) 45.25 41.63 38.97 36.33 35.97 PRICE 67.50 123.05 397.05 39.20 866.80 PRICE CHANGE (%) 16.98 4.50 9.11 11.36 3.62

View
FIIs continue to buy in cash market segment; they

were net buyers worth of `1200/- cr. On derivatives front they were net sellers in index futures while in index options they were net buyers.
On options front 5400 call option have seen some

unwinding, while in put option 4900 and 5200 strike price have seen unwinding in open interest and 5300 and 5400 put option have seen continuous buildup of open interest in yesterdays trading session.
In recent past we have seen good amount of open

OI Losers
SCRIP INDIANB VIPIND PATNI ORIENTBANK BAJAJHLDNG OI 358000 2627500 210000 842000 70000 OI CHANGE (%) -18.08 -14.73 -14.29 -13.37 -13.04 PRICE 241.60 120.40 470.65 298.15 753.00 PRICE CHANGE (%) 0.46 2.08 0.15 -0.40 1.94

interest getting buildup in the counter of BIOCON and we believe it is a blend of long and short position getting buildup in this stock. In last few trading session we have seen some long position in this stock and we can also see some short covering rally in this counter which could take the counter to `318. Hence go long with the stop loss of `276.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.45 1.74 0.84 0.93 0.85 PCR-VOL 1.13 1.14 0.45 0.73 0.53

Historical Volatility
SCRIP
DHANBANK BHUSANSTL HOTELEELA HCC JSWSTEEL

HV
99.48 60.71 79.49 86.29 67.63 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 10-Feb-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15466.98 40595.69 30347.32 1619.16 88029.15 Change (%) 0.90 1.96 2.20 4.99 1.90

Turnover on 10-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1787.95

1845.50

(57.54) 250.09 (259.17) (30.74) (97.36)

571584 1500589 1040861 56707 3169741

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

480034 2842171 621380 194393 4137978

12145.27 76248.08 17976.66 5849.45 112219.47

-15.22 -9.34 -0.15 4.25 -8.05

14334.10 14084.01 1919.52 670.35 2178.69 701.09

18711.92 18809.28

Nifty Spot =5412.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 54.20 23.80 54.20 8.60 23.80 8.60 15.20 84.80 5615.20 45.60 154.40 5545.60 Risk 30.40 Reward 69.60 BEP 5530.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 68.80 38.60 68.80 20.80 38.60 20.80 17.80 82.20 5282.20 48.00 152.00 5352.00 Risk 30.20 Reward 69.80 BEP 5369.80

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 30-01-2012 06-02-2012

Scrip NIFTY SBIN

Strategy Long Call Ladder Short Strangle

Status Open Open

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Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com

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SEBI Registration No: INB 010996539

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