Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 0.94% while

Nifty Vs OI

March 21, 2012

Minifty futures open interest in decreased by 1.86% as market closed at 5274.85 levels.
The Nifty March future closed at a premium of 22.15

point against a premium of 20.25 points. The April series closed at a premium of 63.50 points.
The Implied Volatility of at the money options is

decreased from 22.32% to 21.80%.

The PCR-OI has being decreased from 1.06 to 1.05

points.
The total OI of the market is `1,44,417/-cr. and the

stock futures OI are `32,684/-cr.

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

of-carry are VIDEOIND, HCC, SRTRANSFIN, JPPOWER and BALRAMCHIN.

OI Gainers
SCRIP IRB TTKPRESTIG JETAIRWAYS MARUTI BPCL OI 1586000 80375 1388000 3784000 1723000 OI CHANGE (%) 31.07 19.29 17.33 14.03 12.58 PRICE 196.80 2780.35 337.85 1358.20 685.30 PRICE CHANGE (%) 5.24 5.05 5.23 -0.29 2.97

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `111/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front some buildup was observed in

5300-5400 call option, while in put option 4900 strike price have seen maximum buildup and in-themoney put option of 5500-5600 strike price have seen some unwinding in yesterdays trading session.
The correction in the counter of ESSAROIL was mainly

OI Losers
SCRIP OIL NMDC BAJAJHLDNG IDFC INDIAINFO OI 93750 1864000 32500 23396000 2268000 OI CHANGE (%) -11.14 -10.13 -8.45 -7.64 -6.44 PRICE 1245.65 163.65 810.55 138.80 70.05 PRICE CHANGE (%) 2.60 3.87 0.95 0.73 4.16

due to unwinding in open interest. The counter has seen some bounce back on back of some short covering in yesterdays trading session. We feel the negativity in the stock is moving out and can see further upside to around `64. Hence go long with the stop loss of `51.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.05 0.49 0.71 0.40 0.76 PCR-VOL 0.97 0.41 0.64 0.50 0.81

Historical Volatility
SCRIP
TECHM BATAINDIA TATAMOTORS INDUSINDBK BRFL

HV
44.73 47.56 46.30 48.57 39.15 For Private Circulation Only 1

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FII Statistics for 20-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 16178.74 48938.10 29968.83 1627.00 96712.67 Change (%) -1.06 -1.02 -0.35 -0.91 -0.83

Turnover on 20-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1572.64

1765.96

(193.32) 648.24 240.54 (6.17) 689.29

612730 1855650 1045598 57563 3571541

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

541530 3801186 536345 157818 5036879

13472.02 101701.59 15778.15 4839.73 135791.5

3.72 1.53 17.96 -8.45 3.01

21777.06 21128.82 2445.78 536.04 2205.24 542.21

26331.52 25642.23

Nifty Spot =5274.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 68.05 29.30 68.05 10.45 29.30 10.45 18.85 81.15 5418.85 57.60 142.40 5357.60 Risk 38.75 Reward 61.25 BEP 5338.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 71.35 34.10 71.35 14.90 34.10 14.90 19.20 80.80 5180.80 56.45 143.55 5243.55 Risk 37.25 Reward 62.75 BEP 5262.75

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 27-02-2012 05-03-2012 12-03-2012 20-03-2012

Scrip NIFTY HINDALCO DLF M&M

Strategy Ratio Bull Call Spread Long Put Ladder Covered Call Long Call Ladder

Status Open Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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