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NIFTY Derivatives Outlook

Nifty future closing at higher levels on expiry


basis from last three consecutive months (Oct :
5805.30, Nov : 5825, Dec : 5870.10).
Open interest at the beginning of month is
declining from last three months.
Put Call Ratio is not able to move above 1.17
levels in past three months. If it moves above
1.17 then only strong momentum may be seen in
the market.
Historical Volatility is moving in a range of
12.42 to 18.35 levels and Implied Volatility is
moving in a range of 11.85 to 16.69 levels.
Declining Put Call Ratio with Volatility is
indicating that market may consolidate before
taking a decisive move on either side.
Maximum Put OI is at 5800 strike followed by
5500 strike. Maximum Call OI is at 6000 followed
by 6100 strike.

NIFTY Derivatives Outlook


S&P CNX Nifty has been taking strong support at
rising trend line. (4770, 5032, 5218, 5548),
According to that now important support would be
near to 5780-5800 zones.
S&P CNX Nifty is facing sustained selling pressure
near 5950 levels. If it fails to cross 5950 zone this
time then positive momentum and market rally may
fizzle out.
NIFTY DAILY

Immediate action : Market has been


consolidating from last 20 trading sessions and a
range breakout on either side may give momentum
to the market. January 2013 series is the longest
series of 25 trading sessions so there are chances of
breaking the trading range. One can go for Nifty
Long Strangle : By Buying 5800 strike Put and
6100 strike Call at Premium of around 70 points.
In case of sustainable move above 6000
levels : Now if Nifty future sustains above 6000
zone the one can go for Ratio Bull Call Spread, by
buying 6000 strike Call and selling 6200 strike Call.

NIFTY WEEKLY

In Case of decline near 5800 zone : We are


expecting market to take support near 5780-5800

BANK NIFTY
Bank Nifty future closing at higher levels on
expiry basis from last three consecutive months.
Bank Nifty has outperformed the Nifty index in
December 2012 series.
Bank Nifty is trading near to two year high
levels. It is finding hurdle at around 12625 levels
from last five consecutive weeks. if it sustains
above 12625 then only next leg of rally may be
seen towards 12800-12900 levels.
Implied and Historical volatility are declining in
banking index.
Bank Nifty to Nifty ratio usually remains at 2
times but now the ratio is at 2.12 times. we are
expecting ratio to go to its mean of 2 times
(Expected return of 5% if comes to mean level).
One can Sell the Banknifty Future and Buy the
Nifty Future.
If Bank Nifty sustains above 12625 then one
can initiate 12600-13000 Ratio Bull Call Spread
Strategy (By Buying one lot of 12600 strike Call
and Selling two lots of 13000 Strike Call.)

Sector & Stocks Rollovers


Stocks which are showing strength as per
Rollover data

Stocks which are showing weakness as per


Rollover data

Sector & Stocks Rollovers


In December 2012 series, we have observed better rolls in Telecom, Infrastructure,
Pharma, Cement, Textile, Finane, Meida, etc.
NSE F&O : 150 Stocks Future (152 2 Excluded stock future) Mphasis and PEL) + 9
Index Future (Nifty, Bank Nifty, CNXIT, CNXINFRA, NFTYMCAP50, S&P500, Mininifty, DJIA)
Market wide Rollover : 82.44% compared to 83.67% in the previous (November) expiry.
Stock wise better rolls seen in Jain Irrigation, Raymond, Biocon, Punjlloyd, Bataindia,
Mcdowell, Federlbank, Ivrclinfra, Ucobank, Jswsteel, Ibrealest, OFSS, Lichsgfin
Rollover laggards are Gail, Bhusanstel, Techm, Bankbaroda, NMDC, PFC, Hindunilvr,
Bankindia, Canbank and Tatapower.

DISCLAIMER: This report has been issued by Anand Rathi Share and Stock Broker Limited (ARSSBL), which is regulated by SEBI. The information
herein was obtained from various sources; we do not guarantee its accuracy or completeness. Neither the information nor any opinion expressed
constitutes an offer, or an invitation to make an offer, to buy or sell any securities, options, future or other derivatives related to such securities (related
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investment strategies discussed or recommended in this report and should understand that statements regarding future prospects may not be realized.
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