Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 0.23% while

Nifty Vs OI

Feb 15, 2012

Minifty futures open interest increased by 4.57% as market closed at 5416.05 levels.
The Nifty Feb. future closed at a Premium of 24.30 point

against a Premium of 27.80points. The March series closed at a Premium of 56.55 points.
The Implied Volatility of at the money options is

decreased from 19.60% to 18.90%.

The PCR-OI has being increased from 1.42 to 1.47

points.
The total OI of the market is `1,40,985/-cr. and the

stock futures OI are `34,582/-cr.

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

of-carry are ABGSHIP, HINDOILEXP, TTML, GVKPIL and VIDEOIND.

OI Gainers
SCRIP VOLTAS SOUTHBANK HAVELLS MCDOWELL-N INDIAINFO OI 4618000 13150000 907000 1897750 3044000 OI CHANGE (%) 51.71 50.11 29.57 28.16 27.68 PRICE 94.60 27.55 507.65 675.85 71.35 PRICE CHANGE (%) -3.12 5.56 4.41 3.98 4.85

View
Good amount of buying was visible by FIIs in

yesterdays trading session; they were net buyers worth of `1030/- cr. On Derivatives front they were net buyers in index futures, while in index options they were net sellers.
On Options front not much of buildup was seen in

call option, however some unwinding was seen in 5400 strike price, while in put option 5400 strike price have seen maximum buildup of open interest in yesterdays trading session.
The counter of JPASSOCIAT has seen good amount

OI Losers
SCRIP HOTELEELA JINDALSAW ARVIND MRPL HEROMOTOCO OI 2024000 1566000 4020000 2000000 1839500 OI CHANGE (%) -13.95 -10.21 -7.63 -7.06 -5.66 PRICE 35.95 154.55 101.45 72.40 2081.80 PRICE CHANGE (%) -2.18 0.82 -1.60 -0.34 3.43

of buildup in open interest in yesterdays trading session. The stock has also seen good amount of accumulation in the past few trading session and have given closing above its resistance of `78-79. Hence we recommend to go long on this stock with the target price of `86 and stop loss at `76.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.47 1.85 1.03 0.95 0.84 PCR-VOL 1.07 1.34 0.73 0.55 0.70

Historical Volatility
SCRIP
LITL CIPLA TATACOMM AREVAT&D ANDHRABANK

HV
96.17 39.22 47.57 52.25 51.65 For Private Circulation Only 1

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FII Statistics for 14-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15219.19 42324.29 31318.80 1811.96 90674.25 Change (%) -0.91 -0.79 1.17 5.33 -0.07

Turnover on 14-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1548.89

1357.96

190.93 (353.41) (444.89) (34.94) (642.30)

561833 1563328 1067130 62499 3254790

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

361700 2562352 616051 204080 3744183

9305.68 69163.42 18496.96 6289.06 103255.13

-13.91 -11.32 4.06 -10.13 -9.08

13483.42 13836.83 2451.84 793.78 2896.73 828.71

18277.93 18920.23

Nifty Spot =5416.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 82.65 34.95 82.65 10.70 34.95 10.70 24.25 75.75 5524.25 71.95 128.05 5471.95 Risk 47.70 Reward 52.30 BEP 5447.70

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 47.00 20.40 47.00 8.50 20.40 8.50 11.90 88.10 5288.10 38.50 161.50 5361.50 Risk 26.60 Reward 73.40 BEP 5373.40

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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