Derivative Report

Sep 21, 2012

Comments
The Nifty futures open interest increased by 1.95% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.16% as market closed at 5554.25 levels.
The Nifty Sept. future closed at premium of 16.75 point

against a premium of 12.20 points. The Oct. series closed at a premium of 40.50 points.
The Implied Volatility of at the money options is

increased from 15.50% to 17.40%.

Nifty PCR-OI has decreased from 1.17 to 1.16 levels. The total OI of the market is `1,53,281/- cr. and the

stock futures OI are `32,806/- cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are COREEDUTEC, SUZLON and MTNL.

JSWISPAT,

SCI,

View OI Gainers
SCRIP ADANIPORTS IDEA GMDCLTD KTKBANK ANDHRABANK OI 9980000 10052000 222000 12368000 1656000 OI CHANGE (%) 28.58 22.11 13.27 12.44 10.84 PRICE 115.50 87.95 188.10 96.25 108.20 PRICE CHANGE (%) -1.53 2.50 0.72 6.56 1.53 FIIs were net sellers in cash market segment worth of

`74/- cr. On derivatives front there activity in index futures was quite muted however in open interest terms they formed significant amount of positions in yesterdays trade, while in index options they were net sellers.
On options front 5600 call option has seen good

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

amount of buildup in open interest followed by some unwinding in 5800 strike price which was much of a long unwinding, while in put option not much of buildup was observed except in 5500 strike price however significant amount of unwinding was seen in 5600 put option in yesterdays trade.
The counter of CROMPGREAV is quite heavy in terms

AIL ONMOBILE PATELENG HINDPETRO BOSCHLTD

177000 6568000 1228000 6558000 2000

-22.03 -13.94 -13.52 -11.65 -11.11

395.05 43.50 72.95 296.45 8487.15

3.90 3.46 -0.55 3.10 -1.04

of open interest indicating good amount of short positions standing in this stock. The stock has also seen decent amount of long positions getting buildup at lower level. Hence we feel the counter could see some short covering rally which could take the stock to around `122. Go long with the stop loss of `108.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.16 1.56 1.12 0.90 1.14 PCR-VOL 1.19 0.97 0.63 1.03 0.85

Historical Volatility
SCRIP ABB TTKPRESTIG AIL HINDOILEXP KTKBANK HV 33.60 59.83 34.91 44.37 58.51

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Derivative Report
Sep 21, 2012

FII Statistics for 20-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13669.78 53030.68 28335.26 2297.68 97333.40 Change (%) 5.27 (1.23) 0.53 3.74 0.27

Turnover on 20-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1518.66

1523.52

(4.86) (428.66) (429.48) 75.76 (787.24)

498223 1910637 1020706 78038 3507604

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,33,553 32,21,395 6,34,414 3,37,004 45,26,366

8918.84 89712.00 17648.05 9980.52 126259.52

14.96 14.18 -3.69 -13.72 8.63

12398.41 12827.07 2625.20 1819.64 3054.69 1743.87

18361.91 19149.15

Nifty Spot =5554.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 38.50 10.50 38.50 2.50 10.50 2.50 8.00 92.00 5708.00 36.00 164.00 5636.00 Risk 28.00 Reward 72.00 BEP 5628.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 28.20 11.60 28.20 6.15 11.60 6.15 5.45 94.55 5394.55 22.05 177.95 5477.95 Risk 16.60 Reward 83.40 BEP 5483.40

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 21, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012

Symbol AXISBANK NIFTY BHEL

Strategy Long Call Ladder Long Call Ratio Call Spread

Status Open Profit booked on 12-Sep-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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