Derivative Report

July 13, 2012

Comments
The Nifty futures open interest increased by 0.43% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.48% as market closed at 5235.25 levels.
The Nifty July future closed at premium of 16.15 point

against premium of 16.60 points. The August series closed at a premium of 42.10 points.
The Implied Volatility of at the money options is

decreased from 16.20% to 15.78%.

Nifty PCR-OI has decreased from 1.20 to 1.15 levels. The total OI of the market is `1,33,560/-cr. and the

stock futures OI are `32,187/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are UNITECH, GRASIM and JPPOWER.

HCC,

SKUMARSYNF,

OI Gainers
SCRIP WIPRO HEXAWARE SOBHA ONMOBILE FEDERALBNK OI 5098500 5086000 424000 11240000 541500 OI CHANGE (%) 20.72 16.76 16.16 16.16 14.24 PRICE 361.25 115.80 339.10 38.10 433.10 PRICE CHANGE (%) -4.02 -4.56 0.78 5.69 -0.50

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `269/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures indicating some short buildup by them, while in index options they were net buyers with decent buildup in open interest.
On options front 5200-5300 call option have seen

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

good amount of buildup in open interest and in put option not much of buildup was observed except 4900-5000 strike price, however decent unwinding was seen in 5200-5400 put option in yesterdays trading session.
The counter of BHARTIARTL has seen good amount of

INDIANB BFUTILITIE BOMDYEING PETRONET AMBUJACEM

250000 1124000 436500 2902000 10050000

-10.07 -9.28 -7.03 -6.75 -6.06

185.95 468.85 543.70 147.00 169.65

-0.35 -2.26 -1.61 0.38 -0.67

buildup in last few trading session. We feel its the mix of long and short both as CoC has being quite healthy. `303-305 is the good support for the stock and hence can expect some short covering bounceback which can take the stock to around `326. Go long with the stop loss of `298.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY TCS SBIN PCR-OI 1.15 0.66 1.00 0.71 0.62 PCR-VOL 0.92 0.73 1.06 0.65 0.61

Historical Volatility
SCRIP INFY WIPRO HEXAWARE GODREJIND BHARTIARTL HV 45.39 31.05 43.55 39.90 32.49

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Derivative Report
July 13, 2012

FII Statistics for 12-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14633.56 43794.70 26100.53 1819.80 86348.59 Change (%) 2.84 3.64 0.74 9.89 2.74

Turnover on 12-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1501.54

1917.06

(415.52) 1976.85 (479.76) (83.86) 997.71

577086 1672779 972309 63721 3285895

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,66,714 35,87,309 4,91,423 4,16,504 49,61,950

11583.99 95094.55 13801.03 12506.52 1,32,986.11

55.24 58.51 17.97 47.60 51.77

15857.36 13880.51 1130.63 1806.49 1610.39 1890.35

20296.02 19298.31

Nifty Spot =5235.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 44.25 16.40 44.25 4.80 16.40 4.80 11.60 88.40 5411.60 39.45 160.55 5339.45 Risk 27.85 Reward 72.15 BEP 5327.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 44.55 19.85 44.55 8.25 19.85 8.25 11.60 88.40 5088.40 36.30 163.70 5163.70 Risk 24.70 Reward 75.30 BEP 5175.30

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 13, 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 Profit booked on 11-July-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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