Derivative Report

July 11, 2012

Comments
The Nifty futures open interest increased by 3.90% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.86% as market closed at 5345.35 levels.
The Nifty July future closed at premium of 12.80 point

against premium of 4.25 points. The August series closed at a premium of 39.60 points.
The Implied Volatility of at the money options is

decreased from 16.30% to 15.50%.

Nifty PCR-OI has increased from 1.17 to 1.21 levels. The total OI of the market is `1,29,508/-cr. and the

stock futures OI are `31,660/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are TTML, TVSMOTORS, HCC, LITL and VIDEOIND.

OI Gainers
SCRIP FEDERALBNK TATACOFFEE JETAIRWAYS RELCAPITAL VOLTAS OI 369500 790000 2840000 4724000 3160000 OI CHANGE (%) 80.68 17.17 15.21 14.97 14.91 PRICE 444.85 961.00 387.60 384.05 115.70 PRICE CHANGE (%) 0.43 1.36 0.31 4.09 4.78

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `607/- cr. On derivatives front they were net sellers in index futures with decent buildup, indicating some short buildup by them and in index options also they were net buyers with significant amount of buildup in open interest.
On options front not much of buildup was seen in

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

call option except 5500-5600 strike price where some buildup was observed and 5300 strike price have seen some unwinding, while in put option significant amount of buildup was seen in 50005400 put option followed by decent unwinding in 4900 strike price in yesterdays trading session.
Yesterdays bounce back in the counter of LT was

GESHIP HDIL JINDALSAW TVSMOTOR HINDZINC

141000 30304000 1974000 9080000 1476000

-10.19 -7.25 -6.18 -4.86 -4.28

257.20 88.20 136.00 40.20 122.00

1.14 4.90 3.43 0.76 2.10

mainly due to short covering. The stock has seen decent short buildup in last few trading session and since the counter is quite heavy in terms of open interest indicating lot of long positions are also intact in this stock. Hence we expect the mix of short buildup and long unwinding pressure which could take the stock to around `1360. Go short with the stop loss of `1452.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY ICICIBANK PCR-OI 1.21 1.12 0.70 0.90 0.72 PCR-VOL 1.09 1.21 0.51 0.82 0.63

Historical Volatility
SCRIP KTKBANK RCOM PUNJLLOYD HAVELLS AXISBANK HV 45.91 51.52 65.13 38.61 37.69

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Derivative Report
July 11, 2012

FII Statistics for 10-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14436.63 42973.30 26009.66 1301.53 84721.12 Change (%) 3.61 5.52 1.38 17.07 4.05

Turnover on 10-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1445.11 11247.43 1368.40 851.17

1652.47 9813.14 1277.70 874.77

(207.35) 1434.29 90.69 (23.61) 1294.02

558427 1607785 953046 44692 3163950

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,99,418 27,50,957 4,45,239 1,66,677 37,62,291

10038.05 73043.29 12431.70 4878.53 1,00,391.57

22.11 14.17 17.74 19.23 15.49

14912.11 13618.09

Nifty Spot =5345.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 64.80 28.35 64.80 10.25 28.35 10.25 18.10 81.90 5518.10 54.55 145.45 5454.55 Risk 36.45 Reward 63.55 BEP 5436.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 85.00 44.65 85.00 22.20 44.65 22.20 22.45 77.55 5177.55 62.80 137.20 5237.20 Risk 40.35 Reward 59.65 BEP 5259.65

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
July 11, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012

Symbol INFY NIFTY ICICIBANK

Strategy Long Strangle Long Call Long Call Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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