Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 1.02% while

Nifty Vs OI

Feb 14, 2012

Minifty futures open interest increased by 2.46% as market closed at 5390.20 levels.
The Nifty Feb. future closed at a Premium of 27.80 point

against a Premium of 16.05 points. The March series closed at a Premium of 59.15 points.
The Implied Volatility of at the money options is

decreased from 20.43% to 19.60%.

The PCR-OI has being increased from 1.41 to 1.42

points.
The total OI of the market is `1,38,892/-cr. and the

stock futures OI are `33,567/-cr.

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

of-carry are ABGSHIP, ESSAROIL, TTML, GVKPIL and INDUSINDBK.

OI Gainers
SCRIP BOSCHLTD BHUSANSTL FEDERALBNK CHAMBLFERT IFCI OI 8500 695000 1135000 3752000 66888000 OI CHANGE (%) 183.33 35.21 33.84 21.11 18.43 PRICE 7695.50 393.40 407.15 91.45 40.85 PRICE CHANGE (%) 3.94 -0.48 -2.34 4.39 5.01

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `470/- cr. in yesterdays trading session. On derivatives front they were net buyers in index futures, while in index option they were net sellers.
Not much of activity was visible on options front in

OI Losers
SCRIP BEML COALINDIA OPTOCIRCUI ROLTA MAX OI 178000 8090000 2215000 1960000 649000 OI CHANGE (%) -16.04 -9.35 -8.96 -8.41 -7.81 PRICE 572.70 336.60 275.65 89.90 173.05 PRICE CHANGE (%) -0.89 1.43 2.38 -2.34 1.29

yesterdays trading session. On Call option front 5500 strike price have seen some buildup and 5300 call option have seen some unwinding, while in put option 5200 strike price have seen some unwinding and 5400 put option have seen maximum buildup of open interest in yesterdays trading session.
In the recent past the counter of TATAMOTORS have

seen good amount of upside on back of significant long positions buildup into this stock. We feel the momentum is getting weak and can see some long unwinding pressure in the counter which can bring the stock down to around `239. Hence we recommend to go short with the stop loss of `264.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.42 0.91 1.78 0.91 0.83 PCR-VOL 1.20 0.76 1.33 0.69 0.58

Historical Volatility
SCRIP
BOSCHLTD BAJAJHLDNG MCLEODRUSS POWERGRID SUZLON

HV
27.31 50.89 55.09 29.77 87.31 For Private Circulation Only 1

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FII Statistics for 13-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15288.38 42458.64 30625.09 1683.26 90055.37 Change (%) -3.04 1.41 0.50 0.91 0.30

Turnover on 13-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1509.06

1470.58

38.48 (329.61) (98.97) (3.86) (393.96)

566970 1575854 1054823 59337 3256984

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

424352 2900105 619884 244946 4189287

10808.80 77990.01 17775.12 6997.78 113571.71

-28.88 -19.36 -5.61 10.57 -17.14

16250.49 16580.10 2375.32 1077.94 2474.29 1081.80

21212.80 21606.76

Nifty Spot =5390.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 79.80 35.15 79.80 11.95 35.15 11.95 23.20 76.80 5523.20 67.85 132.15 5467.85 Risk 44.65 Reward 55.35 BEP 5444.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 62.45 30.55 62.45 13.65 30.55 13.65 16.90 83.10 5283.10 48.80 151.20 5351.20 Risk 31.90 Reward 68.10 BEP 5368.10

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

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Derivative Report | India Research

Strategy Date 30-01-2012 06-02-2012 13-02-2012

Scrip NIFTY SBIN ICICIBANK

Strategy Long Call Ladder Short Strangle Ratio Call Spread

Status Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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