Derivative Report

India Research
April 11, 2012 Comments
The Nifty futures open interest decreased by 1.32% while

Nifty Vs OI

Minifty futures open interest is increased by 2.05% as market closed at 5243.60 levels.
The Nifty April future closed at a premium of 22.55 point

against a premium of 18.60 points. The May series closed at a premium of 59.10 points.
The Implied Volatility of at the money options is

decreased from 21.45% to 20.94%

The PCR-OI was unchanged at 1.14. The total OI of the market is `1,00,895/-cr. and the

stock futures OI are `26,174/-cr.

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

of-carry are ABGSHIP.

ZEEL,

IDBI,

UNITECH,

GVKPIL

and

OI Gainers
SCRIP IGL ASHOKLEY DENABANK GODREJIND BATAINDIA OI 2215500 12288000 5472000 1380000 1092000 OI CHANGE (%) 354.00 22.49 22.03 17.25 15.13 PRICE 229.15 29.30 94.70 280.40 822.75 PRICE CHANGE (%) -33.90 -2.98 5.34 6.09 2.18

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `329/- cr. On derivatives front they were net sellers in index futures indicating a mix of long unwinding and some shorts buildup by them, while in index options there was extremely muted performance by them.
On options front no significant amount of buildup

OI Losers
SCRIP BOSCHLTD TATAPOWER DIVISLAB PATNI SRTRANSFIN OI 9125 8056000 564000 560000 327500 OI CHANGE (%) -50.00 -20.55 -14.42 -11.95 -9.90 PRICE 8455.60 104.50 771.20 505.15 602.70 PRICE CHANGE (%) 2.93 4.24 1.89 2.16 0.90

was seen in both call and put options in yesterdays trading session. On call option front 5500 strike price have seen maximum buildup, while in put option the buildup was quite scattered, however maximum buildup was seen in deep-out-of the money put option of 4600 strike price.
The

open interest in NIFTY future has being continuously reducing indicating long unwinding while simultaneously we have observed significant amount of buildup in BANKNIFTY futures since last few trading session. Yesterday too the BANKNIFTY future have seen significant amount of buildup in open interest of around 8%, though the price have moved up a bit we feel majority of the short position have buildup at higher levels. Hence we recommend to go short in BANKNIFTY future with the target price of 9600 and stop loss at 10400.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.14 0.46 0.67 0.49 0.71 PCR-VOL 0.91 0.48 0.52 0.61 0.67

Historical Volatility
SCRIP
IGL GSPL PRAJIND COREEDUTEC HINDUNILVR

HV
199.79 50.42 52.48 22.38 26.14 For Private Circulation Only 1

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FII Statistics for 10-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 8916.44 32653.17 22402.20 801.88 64773.69 Change (%) 0.65 3.71 -0.53 10.54 1.91

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

Instrument

981.78

1669.03

(687.25) 0.51 245.67 2.02 (439.05)

342191 1245541 798477 29124 2415333

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

373701 2184105 427028 130998 3115832

9205.18 58064.82 11522.56 3768.57 82561.13

2.80 2.25 22.48 20.85 5.48

11138.43 11137.92 1159.84 489.65 914.17 487.62

13769.69 14208.74

Nifty Spot =5243.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 74.60 36.95 74.60 15.15 36.95 15.15 21.80 78.20 5421.80 59.45 140.55 5359.45 Risk 37.65 Reward 62.35 BEP 5337.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 65.55 37.50 65.55 20.65 37.50 20.65 16.85 83.15 5083.15 44.90 155.10 5155.10 Risk 28.05 Reward 71.95 BEP 5171.95

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 02-04-2012 09-04-2012

Scrip NIFTY TATAMOTORS

Strategy Ratio Put Spread Ratio Put Spread

Status Open Open

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Email Id : - derivatives.desk@angelbroking.com

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