Derivative Report

Oct 01, 2012

Comments
The Nifty futures open interest increased by 8.48% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.76% as market closed at 5703.30 levels.
The Nifty Oct. future closed at premium of 26.25 point

against a premium of 34.80 points. The Nov. series closed at a premium of 53.55 points.
The Implied Volatility of at the money options is

decreased from 15.67% to 14.58%.

Nifty PCR-OI has increased from 0.97 levels to 1.06

levels.
The total OI of the market is `1,17,933/- cr. and the

stock futures OI are `31,428/- cr.

Few of the liquid counter where we have seen high Cost-

of-Carry are WELCORP, KTKBANK, BIOCON, GRASIM and SCI. View OI Gainers
SCRIP HDIL KTKBANK PETRONET EXIDEIND DRREDDY OI 22424000 20072000 3584000 1694000 1414500 OI CHANGE (%) 32.75 25.76 25.31 23.47 21.27 PRICE 97.40 109.15 157.95 153.30 1645.65 PRICE CHANGE (%) -3.56 7.46 0.92 4.68 1.85 FIIs continue to buy in cash market segment; they

were net buyers worth of `1,230/- cr. On derivatives front significant amount of long buildup was observed by them in index futures and also in index options, however some shorts was also formed in stock futures in Fridays trade.
On options front 6000 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 5700 strike price, while in put option 5400-5700 strike price has seen significant amount of buildup in Fridays trading session. Highest open interest in October series is at 6000 call option and in 5300 put option.
ASHOKLEY (76.37%) is the only stock in the Auto

HINDZINC MPHASIS SYNDIBANK SRTRANSFIN ADANIPORTS

1424000 369000 2012000 379500 7258000

-8.37 -6.94 -6.59 -5.95 -5.64

136.00 402.40 108.75 619.85 127.50

4.33 2.98 1.91 2.85 4.51

space where we have seen reduction in open interest with rise in prices in last series. `21 to `24, stock rallied mainly due to short covering. We dont see much of the upside in this counter. Hence we recommend to go short at round `24-25 levels with the stop loss of `26 and target of `21.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATASTEEL TATAMOTORS PCR-OI 1.06 0.91 0.86 0.35 0.50 PCR-VOL 0.97 0.81 0.75 0.29 0.39

Historical Volatility
SCRIP TATAGLOBAL INDHOTEL SCI FINANTECH DABUR HV 51.16 39.06 51.16 35.38 27.46

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Derivative Report
Oct 01, 2012

FII Statistics for 28-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14245.70 39484.66 28821.47 756.50 83308.33 Change (%) 11.69 3.19 4.56 601.71 5.86

Turnover on 28-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2238.61 7912.20 1330.33 980.21

1239.94 7425.52 1909.88 937.06

998.67 486.67 (579.54) 43.15 948.96

513030 1384562 984982 25016 2907590

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,53,497 20,02,075 5,43,841 1,96,499 30,95,912

9476.73 57341.39 16689.24 6319.99 89827.35

-55.82 -72.00 -53.40 -44.35 -67.14

12461.35 11512.40

Nifty Spot =5649.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 91.40 52.60 91.40 27.00 52.60 27.00 25.60 74.40 5825.60 64.40 135.60 5764.40 Risk 38.80 Reward 61.20 BEP 5738.80

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 62.70 35.70 62.70 19.30 35.70 19.30 16.40 83.60 5583.60 43.40 156.60 5656.60 Risk 27.00 Reward 73.00 BEP 5673.00

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

Nifty Put-Call Analysis

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Derivative Report
Oct 01, 2012

Strategy Date

Symbol

Strategy

Status

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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