Derivative Report

May 07, 2012

Comments
The Nifty futures open interest increased by 2.33% while

Nifty Vs OI

Minifty futures open interest is increased by 15.21% as market closed at 5086.85 levels.
The Nifty May future closed at a premium of 11.10 point

against a premium of 11.40 points. The June series closed at a premium of 29.00 points.
The Implied Volatility of at the money options is

increased from 18.18% to 19.86%.

The PCR-OI has being decreased from 1.08 to 1.04

points.
The total OI of the market is `99,989/-cr. and the stock

futures OI are `25,330/-cr.

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

of-carry are ABGSHIP, TATACOFFEE, IOC, GVKPIL and ALOKTEXT. OI Gainers

SCRIP IRB HEROMOTOCO BGRENERGY ZEEL JETAIRWAYS OI 7506000 1450375 1232000 2496000 1214000 OI CHANGE (%) 52.62 14.01 13.13 12.13 12.10 PRICE 128.75 1977.55 312.05 126.25 307.25 PRICE CHANGE (%) -13.99 -4.61 -4.57 0.76 -1.17

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `428/- cr. On derivatives front they were net sellers in index futures with significant amount of build-up in open interest indicating shorts build-up by them, while in index options they were net buyers and here also we have seen decent build-up of open interest.
On options front

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

5200 put option have seen significant amount of unwinding its much of the short covering and simultaneously saw decent build-up in 5000 put option, while in call option 5100 and 5200 strike price have also seen significant amount of build-up of open interest. We have also observed decent build-up in 4600 put option in Fridays trading session. the counter of IFCI in last 3-4 expiry and seen most of the positions have being carried forward from series to series. Recently the stock has seen some long unwinding pressure and has breached its crucial support of `39-40 with cost-of-carry also going down. We feel the counter could see a mix of short buildup and long unwinding pressure which could take the stock to around `35. Hence go short with the stop loss of `41. Historical Volatility
SCRIP MRF IRB PANTALOONR BANKBARODA ULTRACEMCO HV 54.08 104.26 99.43 44.47 29.06

We have seen significant amount of long positions in

LUPIN GESHIP SUNTV ARVIND PETRONET

522000 173000 569000 4464000 4652000

-16.14 -15.61 -15.07 -13.82 -13.21

552.25 248.90 288.55 85.85 132.75

2.39 -1.72 -1.52 -4.45 1.34

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCR-OI 1.04 0.67 0.50 0.60 0.61 PCR-VOL 0.92 0.67 0.51 1.27 0.86

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Derivative Report
May 07, 2012

FII Statistics for 04-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8961.48 29224.98 20194.69 740.28 59121.43 Change (%) 7.56 8.76 1.20 3.44 5.76

Turnover on 04-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1578.48

2616.61

(1038.13) 745.25 (177.85) 16.68 (454.04)

359890 1149255 822093 29388 2360626

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

514892 3190368 473942 178221 4357423

12400.91 83237.13 11720.19 4602.35 111960.57

30.59 45.87 9.22 17.46 37.87

15959.61 15214.36 1263.03 633.50 1440.88 616.82

19434.62 19888.67

Nifty Spot =5086.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 108.60 64.70 108.60 34.60 64.70 34.60 30.10 69.90 5230.10 74.00 126.00 5174.00 Risk 43.90 Reward 56.10 BEP 5143.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 111.25 71.95 111.25 43.70 71.95 43.70 28.25 71.75 4971.75 67.55 132.45 5032.45 Risk 39.30 Reward 60.70 BEP 5060.70

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

Nifty Put-Call Analysis

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Derivative Report
May 07, 2012

Strategy Date 30-04-2012

Symbol NIFTY

Strategy Long Put

Status Profit booked on 04-05-12

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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