Derivative Report

India Research
April 17, 2012 Comments
The Nifty futures open interest increased by 0.15% while

Nifty Vs OI

Minifty futures open interest is increased by 0.54% as market closed at 5226.20 levels.
The Nifty April future closed at a premium of 22.25 point

against a premium of 13.65 points. The May series closed at a premium of 56.65 points.
The Implied Volatility of at the money options is

increased from 21.57% to 22.86%

The PCR-OI has being decreased from 1.09 to 1.07

points.
The total OI of the market is `1,15,058/-cr. and the

stock futures OI are `28,115/-cr.

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

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

OI Gainers
SCRIP TTKPRESTIG INDIANB EXIDEIND AUROPHARMA BATAINDIA OI 94250 186000 1094000 2906000 1003000 OI CHANGE (%) 52.32 19.23 17.63 16.52 15.62 PRICE 3456.45 231.15 135.55 126.40 845.40 PRICE CHANGE (%) 5.24 0.50 -1.45 8.45 2.93

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `510/- cr. On derivatives front they were net sellers in both index futures and in index options however in terms of open interest the buildup was quite flat.
On options front 5400 call option have seen good

OI Losers
SCRIP IVRCLINFRA UNIONBANK DRREDDY BGRENERGY HDFCBANK OI 26432000 1812000 727250 1021000 9437500 OI CHANGE (%) -10.82 -8.02 -5.15 -4.93 -4.84 PRICE 70.85 227.60 1759.45 351.15 529.75 PRICE CHANGE (%) -2.68 -1.45 1.41 1.25 0.08

amount of buildup in open interest and 5100 call option have seen some unwinding, while in put option there was not much of activity visible in yesterdays trading session. We have seen good amount of buildup in the counter of HCLTECH in yesterdays trading session and also the stock have fallen comparatively less compared to other major IT companies which suggest the strength in the counter. Hence we feel majority of the buildup in yesterdays trading session is on the longer side and hence can expect some short covering to follow in this stock which can take the counter to around `506. Go long with the stop loss of `476.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.07 0.30 0.79 0.70 0.59 PCR-VOL 0.88 0.46 0.53 0.59 0.62

Historical Volatility
SCRIP
AUROPHARMA TATAMOTORS HAVELLS ULTRACEMCO HEXAWARE

HV
63.72 38.63 47.53 25.61 63.03 For Private Circulation Only 1

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FII Statistics for 16-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 9683.55 37383.01 23112.70 1246.74 71425.99 Change (%) -0.11 0.46 0.00 7.96 0.35

Turnover on 16-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1335.69

1669.27

(333.58) (219.76) 101.86 (0.18) (451.66)

374404 1430611 821843 44509 2671367

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

378026 2429308 396206 201262 3404802

9313.75 64199.15 11877.97 6280.49 91671.36

-33.13 -32.50 -33.16 -38.95 -33.14

10780.61 11000.37 1533.71 1040.35 1431.85 1040.53

14690.36 15142.02

Nifty Spot =5226.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 105.55 54.35 105.55 22.90 54.35 22.90 31.45 68.55 5331.45 82.65 117.35 5282.65 Risk 51.20 Reward 48.80 BEP 5251.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 60.30 31.65 60.30 15.60 31.65 15.60 16.05 83.95 5083.95 44.70 155.30 5155.30 Risk 28.65 Reward 71.35 BEP 5171.35

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 17-04-2012

Scrip NIFTY TATAMOTORS HDFC

Strategy Ratio Put Spread Ratio Put Spread Call Hedge

Status Open Open Open

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