Derivative Report

May 17, 2012

Comments
The Nifty futures open interest increased by 1.99% while

Nifty Vs OI

Minifty futures open interest is increased by 5.19% as market closed at 4858.25 levels.
The Nifty May future closed at a discount of 1.35 point

against a discount of 0.55 points. The June series closed at a premium of 15.25 points.
The Implied Volatility of at the money options is

increased from 21.35% to 22.25%.

The PCR-OI has being decreased from 0.94 to 0.89

points.
The total OI of the market is `1,23,770/-cr. and the

stock futures OI are `24,982/-cr.

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

of-carry are ABGSHIP, KTKBANK and IBREALEST. OI Gainers

SCRIP NMDC BPCL KOTAKBANK YESBANK ABIRLANUVO OI 884000 1660500 4265000 7043000 525500

ALOKTEXT,

SKUMARSYNF,

View
OI CHANGE (%) 18.18 17.31 13.98 11.95 11.45 PRICE 166.35 752.10 553.20 303.55 762.65 PRICE CHANGE (%) -4.86 3.20 1.61 -4.17 -5.39 FIIs were net sellers in cash market segment; they

were net sellers worth of `547/- cr. On derivatives front they were net sellers in index futures worth of `756/- cr. with significant buildup of open interest indicating some shorts buildup by them, while in index options they were net buyers worth of `1080/cr. with decent buildup in open interest.
On options front we have observed good amount of

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

activity in yesterdays trading session. In call option 4800-4900 have seen decent buildup in open interest, while in put option 4500 and 4700 strike price have seen maximum buildup and 4800-5000 put option have seen considerable amount of unwinding in yesterdays trading session.

TATAMTRDVR APOLLOTYRE EDUCOMP DIVISLAB SIEMENS

9672000 6916000 3080000 737500 321250

-12.41 -9.99 -9.54 -8.21 -8.15

146.15 83.20 156.75 886.70 707.40

-7.00 -1.89 -1.32 -1.19 -2.29

The counter of HEROMOTOCO have seen significant amount of short positions getting buildup since the start of the May expiry. However in last 2-3 trading session the stock has seen taking support at around `1840-1850 and seen some short covering around that level. We feel the stock could see more short covering bounce back from the current level which could take the counter to around `1980. Go long with the stop loss of `1840. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.89 0.51 0.37 0.44 0.41 PCR-VOL 0.89 0.62 0.33 0.46 0.66

SCRIP HDFC TATAMOTORS ABIRLANUVO SRTRANSFIN TATAMTRDVR

HV 25.49 51.38 48.77 46.86 64.00

www.angelbroking.com

Derivative Report
May 17, 2012

FII Statistics for 16-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11862.12 42269.53 21049.76 1267.05 76448.46 Change (%) 6.52 6.95 1.72 4.05 5.30

Turnover on 16-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1623.07

2379.08

(756.01) 1080.04 91.97 (38.11) 377.89

512641 1741638 906997 52935 3214211

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

523890 3848831 509833 197134 5079688

11872.59 95164.97 11890.40 4844.49 123772.45

19.04 24.36 8.17 7.94 21.37

18165.39 17085.35 1885.59 810.52 1793.62 848.63

22484.57 22106.68

Nifty Spot =4858.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 65.65 31.35 65.65 13.35 31.35 13.35 18.00 82.00 5018.00 52.30 147.70 4952.30 Risk 34.30 Reward 65.70 BEP 4934.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 64.80 35.50 64.80 18.20 35.50 18.20 17.30 82.70 4682.70 46.60 153.40 4753.40 Risk 29.30 Reward 70.70 BEP 4770.70

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

www.angelbroking.com

Derivative Report
May 17, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012

Symbol NIFTY NIFTY RELIANCE

Strategy Long Put Long Put Ladder Long Call

Status Profit booked on 04-05-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: www.angelbroking.com INB 010996539