Derivative Report

June 8, 2012

Comments
The Nifty futures open interest increased by 5.50% while

Nifty Vs OI

BankNifty futures open interest is increased by 5.40% as market closed at 5049.65 levels.
The Nifty June future closed at a discount of 20.30 point

against a discount of 18.50 points. The July series closed at a discount of 3.95 points.
The Implied Volatility of at the money options is

decreased from 22.28% to 21.63%.

The PCR-OI was unchanged at 1.35 levels. The total OI of the market is `1,05,950/-cr. and the

stock futures OI are `24,588/-cr.

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

of-carry are ABGSHIP, BALRAMCHIN, TVSMOTOR, JSWISPAT and ADANIENT.

OI Gainers
SCRIP POLARIS MRPL CUMMINSIND BHUSANSTL GODREJIND OI 2710000 2588000 124500 518000 724000 OI CHANGE (%) 28.07 18.72 16.90 15.88 15.65 PRICE 115.95 53.75 431.70 452.95 250.90 PRICE CHANGE (%) 7.96 1.99 -0.84 1.71 -0.54

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `676/- cr. On derivatives front they were net buyers in index futures with significant buildup in open interest indicating some long buildup by them, while in index option also they were net buyers.
On options front most of the call option have seen

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

some unwinding except 5400 strike price where we have seen good amount of buildup, while in put option decent unwinding was observed in 4300 strike price and 4900 put option have seen maximum buildup in yesterdays trading session.
The

VOLTAS JETAIRWAYS UNIONBANK JUBLFOOD ASHOKLEY

1984000 1760000 2826000 947250 8024000

-18.35 -17.45 -13.18 -12.55 -9.56

103.05 339.90 206.70 1201.95 26.80

3.99 1.57 3.04 1.08 2.49

recent bounce back in the counter of TATAMOTORS was mainly due to short covering and has not seen much of the long position getting buildup. The stock has good amount of short position and could continue to see selling pressure at higher levels. Hence we recommend to go short with the target price of `218 and stop loss at `248.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE TATAMOTORS PCR-OI 1.35 0.76 1.19 0.72 0.40 PCR-VOL 1.03 0.84 0.77 0.64 0.46

Historical Volatility
SCRIP POLARIS ZEEL BAJAJHIND DELTACORP RELCAPITAL HV 64.04 40.87 48.61 77.26 60.69

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Derivative Report
June 8, 2012

FII Statistics for 7-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8543.52 38044.09 22150.14 938.79 69676.54 Change (%) 8.36 (0.08) 1.18 13.27 1.47

Turnover on 7-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2165.35

1033.84

1131.51 246.46 641.12 35.83 2054.91

346146 1507125 918645 37672 2809588

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

427933 2578291 495334 180604 3682162

10046.77 64422.34 11661.37 4374.73 90505.21

-15.95 -19.04 -6.79 -9.13 -16.85

13032.55 12786.09 1640.05 870.62 998.94 834.80

17708.58 15653.67

Nifty Spot =5049.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 67.15 34.05 67.15 15.65 34.05 15.65 18.40 81.60 5218.40 51.50 148.50 5151.50 Risk 33.10 Reward 66.90 BEP 5133.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 92.30 59.60 92.30 37.65 59.60 37.65 21.95 78.05 4878.05 54.65 145.35 4945.35 Risk 32.70 Reward 67.30 BEP 4967.30

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

Nifty Put-Call Analysis

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Derivative Report
June 8, 2012

Strategy Date 04-06-2012

Symbol NIFTY

Strategy Ratio Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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