Derivative Report

Sep 25, 2012

Comments
The Nifty futures open interest increased by 6.44% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.53% as market closed at 5669.60 levels.
The Nifty Sept. future closed at premium of 12.05 point

against a premium of 15.90 points. The Oct. series closed at a premium of 33.20 points.
The Implied Volatility of at the money options is

increased from 17.90% to 17.95%.

Nifty PCR-OI has decreased from 1.25 to 1.23 levels. The total OI of the market is `1,66,788/- cr. and the

stock futures OI are `35,341/- cr.

Few of the liquid counters where we have seen high

rollovers are JSWENERGY, SUZLON, MCDOWELL N, JSWSTEEL and MCLEODRUSS. View OI Gainers
SCRIP INDIANB TATACHEM ABB MCDOWELL-N NMDC OI 139000 1521000 229750 13906500 1066000 OI CHANGE (%) 40.40 29.01 24.69 18.65 14.38 PRICE 193.80 320.25 785.35 1054.40 189.60 PRICE CHANGE (%) 1.88 -0.97 0.83 6.33 -2.74 FIIs continue to buy heavily in cash market segment;

they were net buyer worth of `1,596/- cr in yesterdays trade. On derivatives front they were net sellers in index futures however in open interest terms they formed significant amount of positions, while in index options they were net buyers.
On options front 5800-5900 call option has seen

significant amount of buildup in open interest followed by some unwinding in 5500 call option, while in put option 5500 strike price has seen maximum buildup in yesterdays trading session.
Rollover

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

in NIFTY futures is at 25% and in BANKNIFTY future it is 20%, more or less inline with last three month average rollover. getting buildup in NTPC in last 5-6 trading session which is much of long and short both. The stock has seen trading in the narrow price band of `164-174 levels since last few trading session. Since the stock is trading at its lower price band short covering bounce is expected in this counter which could take the stock to around `180. Go long at around 165-167 levels with the stop loss of `160. Historical Volatility

We have seen significant amount of open interest

GMDCLTD TATACOFFEE MAX CROMPGREAV VIPIND

164000 322750 388000 5726000 1280000

-37.40 -35.55 -27.61 -25.52 -23.54

196.55 976.85 196.80 123.55 85.85

-0.46 -0.66 -2.25 5.24 4.81

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.23 1.51 1.17 1.08 1.10 PCR-VOL 1.01 0.92 0.76 0.80 1.10

SCRIP RUCHISOYA EXIDEIND SUZLON BEL ADANIPOWER

HV 56.22 33.29 55.42 30.19 64.22

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Derivative Report
Sep 25, 2012

FII Statistics for 24-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16727.67 57295.41 30822.69 2572.46 107418.23 Change (%) 14.04 (0.66) 2.22 (3.39) 2.19

Turnover on 24-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3063.70

3193.58

(129.87) 338.20 (387.84) 68.65 (110.87)

602924 2020645 1066797 85424 3775790

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,33,163 41,51,994 10,14,969 3,94,262 59,94,388

11998.06 117942.13 29464.43 12144.60 171549.22

-36.43 -36.72 15.82 -11.55 -29.81

15593.33 15255.13 5766.57 2258.91 6154.41 2190.27

26682.51 26793.38

Nifty Spot =5669.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 30.15 6.25 30.15 1.65 6.25 1.65 4.60 95.40 5804.60 28.50 171.50 5728.50 Risk 23.90 Reward 76.10 BEP 5723.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 46.05 10.95 46.05 2.30 10.95 2.30 8.65 91.35 5591.35 43.75 156.25 5656.25 Risk 35.10 Reward 64.90 BEP 5664.90

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 25, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012 24-Sep-2012

Symbol AXISBANK NIFTY BHEL BHARTIARTL

Strategy Long Call Ladder Long Call Ratio Call Spread Bull Call Spread

Status Strategy close with no profit no loss on 21-Sep-2012 Profit booked on 12-Sep-2012 Strategy close with no profit no loss on 21-Sep-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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