Derivative Report

Sep 10, 2012

Comments
The Nifty futures open interest increased by 6.43% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.67% as market closed at 5358.70 levels.
The Nifty Sept. future closed at premium of 21.50 point

against premium of 22.70 points. The Oct. series closed at a premium of 45.00 points.
The Implied Volatility of at the money options is

decreased from 16.04% to 12.97%.

Nifty PCR-OI has increased from 0.94 to 0.96 levels. The total OI of the market is `1,22,155/- cr. and the

stock futures OI are `28,494/- cr.

Few of the liquid counters where we have seen high

Cost-of Carry are VIDEOIND, ONMOBILE and TTML.

ASHOKLEY,

LITL,

View OI Gainers
SCRIP IRB CENTRALBK FINANTECH HDIL SYNDIBANK OI 5356000 2336000 1178000 38696000 1078000 OI CHANGE (%) 20.63 19.79 17.86 13.78 13.71 PRICE 128.70 64.15 871.40 71.85 95.25 PRICE CHANGE (%) 5.02 0.16 4.03 4.64 1.27 FIIs were net buyers in cash market segment worth

of `502/- cr. On derivatives front good amount of long buildup was observed in index futures, while in index option significant amount of short covering was seen by them in Fridays trade.
On options front 5300-5400 put option has seen

good amount of buildup in open interest, while in call option 5600 strike price has seen maximum buildup. Significant amount of unwinding was seen in 5200-5300 call option and 4800-4900 put option in Fridays trading session.
We have seen good amount of short positions getting

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

INDIANB TATASTEEL MRPL ORIENTBANK EXIDEIND

105000 13398500 928000 605000 1276000

-18.60 -15.30 -9.38 -9.02 -8.33

163.75 373.85 62.55 229.75 144.10

5.50 6.63 1.13 4.95 1.05

buildup in SAIL in last 2-3 expiry and have being rolled over. However in last few trading session the counter has seen some long buildup, hence we feel a mix of long buildup and short covering bounce could come in this counter which could take the stock to around `85. Go long at around `77-78 levels with the stop loss of `74.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATASTEEL AXISBANK PCR-OI 0.96 0.92 0.47 0.54 0.47 PCR-VOL 1.10 0.68 0.52 0.48 0.48

Historical Volatility
SCRIP BHARATFORG TATASTEEL INDIANB DRREDDY ULTRACEMCO HV 33.20 40.58 44.69 17.58 20.91

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Derivative Report
Sep 10, 2012

FII Statistics for 07-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10218.70 41128.76 24687.64 1309.75 77344.84 Change (%) 8.61 (0.04) (0.66) 4.46 0.91

Turnover on 07-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2046.36 10700.13 1600.37 956.89

1394.50 8731.07 925.34 955.07

651.86 1969.06 675.02 1.82 3297.76

393757 1542195 942534 48566 2927052

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,76,764 29,68,918 4,30,547 2,36,315 40,12,544

9456.87 78961.47 11565.97 6776.39 1,06,760.72

32.90 35.21 17.72 30.81 32.59

15303.75 12005.98

Nifty Spot =5358.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 50.85 17.70 50.85 5.25 17.70 5.25 12.45 87.55 5512.45 45.60 154.40 5445.60 Risk 33.15 Reward 66.85 BEP 5433.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 34.35 15.20 34.35 6.80 15.20 6.80 8.40 91.60 5191.60 27.55 172.45 5272.45 Risk 19.15 Reward 80.85 BEP 5280.85

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

Nifty Put-Call Analysis

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Derivative Report
Sep 10, 2012

Strategy Date 03-Sep-2012

Symbol AXISBANK

Strategy Long Call Ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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