Derivative Report

June 29, 2012

Comments The Nifty futures open interest increased by 0.30% while BankNifty futures open interest is decreased by 1.10% as market closed at 5141.90 levels. The Nifty July future closed at premium of 2.25 point against premium of 6.60 points. The July series closed at a premium of 27.40 points. The Implied Volatility of at the money options is decreased from 19.70% to 19.13%. The PCR-OI is at 1.18 level. The total OI of the market is `85,056/-cr. and the stock futures OI are `24,334/-cr. Rollover in NIFTY futures is at 68.34% and that of BANKNIFTY futures is at 74.56%. Few of the liquid counters where we have seen high Cost-of-Carry are MTNL, ALOKTEXT, LITL, TTML and GVKPIL. OI Gainers
SCRIP ONMOBILE TATAMTRDVR MAX SUZLON ROLTA OI 4460000 9636000 536000 134248000 2288000 OI CHANGE (%) 18.62 10.45 2.29 2.22 0.70 PRICE 33.15 130.60 189.40 17.95 79.15 PRICE CHANGE CHANGE (%) -17.13 -1.92 -1.89 -0.83 4.63

Nifty Vs OI

View FIIs were net sellers in cash market segment; they were net sellers worth of `1112/- cr. On derivatives front they were net buyers in both index futures & index options worth of `31/- cr & `1163/- cr. with significant unwinding of positions, the unwinding of position is normal phenomena due to expiry of June contracts. On options front 5200-5500 call option have seen significant amount of buildup, while in put option 4600-5100 has also seen good amount of buildup. The highest build up is observed in 5300 call options & 5000 put options in July series. We have seen decent amount of short covering in AUROPHARMA since last few trading sessions. `105106 is acting as a good support for this counter and we expect some long build up around this level. Hence we recommend to go long with the target price of `118 and stop loss at `103.

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

DENABANK COLPAL FEDERALBNK SOBHA OIL

3880000 54500 144000 176000 113000

-51.35 -49.42 -47.35 -46.50 -45.57

96.40 1174.10 445.30 335.10 498.85

0.16 1.67 0.07 -4.73 0.23

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCR-OI PCR1.18 0.76 0.51 0.74 0.85 PCR-VOL PCR1.21 0.75 0.48 0.79 0.62

Historical Volatility
SCRIP ONMOBILE ABAN RUCHISOYA JPPOWER ULTRACEMCO PANTALOONR HV 115.71 76.04 28.63 41.29 31.47 79.19

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Derivative Report
June 29, 2012

FII Statistics for 28-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 5384.93 5353.70 31.23 432,335 Value (` in cr.) 10,982 28,935 21,369 36 61,322 Change (%) (36.19) (43.90) (16.82) (97.58) (35.96)

Turnover on 28-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

754804 6198392 1130276 256083 8339555

18638.37 159441.5 28261.56 6691.27 213032.69

52.76 44.21 32.43 65.87 43.81

18527.42 17363.84 6243.44 869.40 6197.61 780.65

1,163.58 1,123,929 45.83 88.75 826,196 1,152

29695.80 29695.80

1,329.38 2,383,612

Nifty Spot =5149.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 82.50 44.95 82.50 22.30 44.95 22.30 22.65 77.35 5322.65 60.20 139.80 5260.20 Risk 37.55 Reward 62.45 BEP 5237.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 86.45 55.95 86.45 33.95 55.95 33.95 22.00 78.00 4978.00 52.50 147.50 5047.50 Risk 30.50 Reward 69.50 BEP 5069.50

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

Nifty Put-Call Analysis

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Derivative Report
June 29, 2012

Strategy Date 04-0604-06-2012 11-0611-06-2012 18-0618-06-2012 25-0625-06-2012

Symbol NIFTY TATAMOTORS TATASTEEL INFY

Strategy Ratio Put Spread Long Put Ladder Bear Put Spread Bear Put Spread

Status No profit no loss on expiry No profit no loss on expiry Loss on expiry Loss on expiry

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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