Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 0.42% while

Nifty Vs OI

March 26, 2012

Minifty futures open interest in decreased by 6.85% as market closed at 5278.20 levels.
The Nifty March future closed at a premium of 7.15 point

against a premium of 11.60 points. The April series closed at a premium of 48.20 points.
The Implied Volatility of at the money options is

decreased from 24.66% to 22.75%.

The PCR-OI has being increased from 1.02 to 1.09

points.
The total OI of the market is `1,47,613/-cr. and the

stock futures OI are `32,671/-cr.

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

of-carry are TTML, VIDEOIND, BHARATFORG, SCI and VIPIND.

OI Gainers
SCRIP PATNI GESHIP NCC HEROMOTOCO ADANIPORTS OI 383000 222000 3372000 2131500 9228000 OI CHANGE (%) 45.08 24.72 19.57 19.27 18.52 PRICE 511.70 251.85 50.05 2017.45 123.45 PRICE CHANGE (%) 2.72 3.17 -1.09 3.71 -1.95

View
FIIs were net buyers in cash market segment,

however the quantum of buying was quite minimal; they were net buyers worth of `9/- cr. only, in Fridays trading session. On derivatives front they were net sellers in index futures indicating some short buildup by them, while in index options they were net buyers.
On options front not much of buildup was visible in

OI Losers
SCRIP RECLTD BHARTIARTL AMBUJACEM GAIL ITC OI 3814000 17354000 6422000 2778000 34544000 OI CHANGE (%) -13.91 -8.53 -8.10 -7.18 -7.13 PRICE 207.70 336.00 173.10 369.90 222.45 PRICE CHANGE (%) 4.35 3.74 2.97 2.22 1.25

call option except 5200-5300 call option where we have seen some buildup in open interest, while in put option 5000-5200 strike price have seen significant amount of buildup in open interest in Fridays trading session.
The counter of JPASSOCIAT has seen decent amount

of long buildup since last few trading session. However the counter is finding it difficult to cross its resistance level of `82-84 levels and hence we expect some long unwinding pressure could some in this stock which could take the counter to around `72. Hence we recommend to go short with the stop loss of `84.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.09 0.46 0.66 0.34 0.66 PCR-VOL 1.20 0.58 0.94 0.53 0.76

Historical Volatility
SCRIP
CENTURYTEX POLARIS HEROMOTOCO GESHIP BHARTIARTL

HV
88.40 59.81 37.30 52.00 42.12 For Private Circulation Only 1

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FII Statistics for 23-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 16701.97 52339.02 30569.54 1527.81 101138.34 Change (%) 5.83 6.54 0.64 -1.72 4.54

Turnover on 23-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3382.38

3773.43

(391.05) 2,170.74 210.14 45.18 2,035.01

634598 1983336 1070341 54659 3742934

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

722261 4791110 681922 175601 6370894

17993.34 126896.89 19807.7 5133.71 169831.63

-5.92 -16.17 -7.49 -18.56 -14.32

25926.70 23755.96 3819.98 838.25 3609.84 793.07

33967.31 31932.30

Nifty Spot =5278.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 51.70 18.10 51.70 4.85 18.10 4.85 13.25 86.75 5413.25 46.85 153.15 5346.85 Risk 33.60 Reward 66.40 BEP 5333.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 69.30 34.75 69.30 17.20 34.75 17.20 17.55 82.45 5182.45 52.10 147.90 5247.90 Risk 34.55 Reward 65.45 BEP 5265.45

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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Derivative Report | India Research

Strategy Date 27-02-2012 05-03-2012 12-03-2012 19-03-2012

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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