Derivative Report

June 18, 2012

Comments
The Nifty futures open interest increased by 5.99% while

Nifty Vs OI

BankNifty futures open interest is increased by 2.73% as market closed at 5139.05 levels.
The Nifty June future closed at premium of 8.65 point

against a discount of 0.65 points. The July series closed at a premium of 28.90 points.
The Implied Volatility of at the money options is

increased from 24.41% to 24.90%.

The PCR-OI has increased from 1.44 to 1.51 levels. The total OI of the market is `1,21,965/-cr. and the

stock futures OI are `26,220/-cr.

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

of-carry are COREEDUTEC, JSWISPAT, GMRINFRA, TTML and GVKPIL.

OI Gainers
SCRIP TECHM BAJAJ-AUTO ITC GMDCLTD IFCI OI 380000 1090750 13346000 362000 82896000 OI CHANGE (%) 35.96 19.08 15.99 13.84 13.83 PRICE 701.00 1527.30 248.00 182.60 37.25 PRICE CHANGE (%) 3.44 -1.46 1.35 4.40 1.64

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `339/- cr. On derivatives front they were net buyers in index futures of just `197/- cr. with decent buildup in open interest indicating a mix of long and short both and in index options also they were net buyers.
On options front not much of buildup was visible in

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

call option except 5500 strike price and 5100 call option have seen some unwinding, while in put option 5000-5200 strike price have seen significant amount of buildup followed by 4600 put option which have observed maximum buildup in Fridays trading session.
The counter of CIPLA have seen significant amount of

SUNTV CIPLA PFC ALBK BGRENERGY

1125000 2470000 3680000 4672000 1179000

-17.88 -7.53 -7.21 -7.15 -7.09

264.25 308.45 168.30 141.35 296.00

0.78 0.59 3.92 3.14 1.25

buildup since last few trading session and we feel majority of the buildup were on the shorter side. However in last 2-3 trading session the stock has seen decent amount of short covering around its support of `305. The counter could resume its upward trend with the mix of both long buildup and short covering which could take the stock to around `324. Go long with the stop loss of `303.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE LT PCR-OI 1.51 0.94 1.13 0.79 1.20 PCR-VOL 0.94 0.72 0.60 0.65 0.75

Historical Volatility
SCRIP GRASIM GMDCLTD INDIACEM COALINDIA BHUSANSTL HV 41.28 37.35 63.35 27.97 27.61

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Derivative Report
June 18, 2012

FII Statistics for 15-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10529.23 44075.19 23174.19 1350.98 79129.59 Change (%) 6.24 2.04 1.67 (0.50) 2.43

Turnover on 15-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1486.87

1289.40

197.47 284.97 (192.93) (31.36) 258.16

419010 1715918 946876 52239 3134043

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

469998 2922493 454080 194979 4041550

11306.72 74735.28 11350.93 5123.63 102516.56

-5.14 -1.99 -0.22 -8.26 -2.48

16743.85 16458.88 1225.57 1180.63 1418.50 1211.99

20636.92 20378.76

Nifty Spot =5139.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 69.00 33.50 69.00 14.55 33.50 14.55 18.95 81.05 5318.95 54.45 145.55 5254.45 Risk 35.50 Reward 64.50 BEP 5235.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 76.10 47.50 76.10 29.60 47.50 29.60 17.90 82.10 4982.10 46.50 153.50 5053.50 Risk 28.60 Reward 71.40 BEP 5071.40

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 18, 2012

Strategy Date 04-06-2012 11-06-2012

Symbol NIFTY TATAMOTORS

Strategy Ratio Put Spread Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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