Derivative Report

Oct 31, 2012

Comments
The Nifty futures open interest increased by 0.84% while

Nifty Vs OI

BankNifty futures open interest is increased by 6.23% as market closed at 5597.90 levels.
The Nifty Nov. future closed at premium of 30.10 point

against a premium of 36.50 points. The Dec. series closed at a premium of 62.90 points.
The Implied Volatility of at the money options is

increased from 13.83% to 13.87%.

Nifty PCR-OI has decreased from 1.10 to 1.03 levels. The total OI of the market is Rs.1,21,814/- cr. and the

stock futures OI are Rs.30,944/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, RENUKA, MCLEODRUSS, GUJFLUORO and NHPC. View OI Gainers
SCRIP COLPAL HAVELLS CANBK SBIN MCLEODRUSS OI 114500 531000 1240500 5894875 4899000 OI CHANGE (%) 46.33 15.94 14.70 11.48 9.60 PRICE 1284.90 568.20 397.45 2074.30 296.85 PRICE CHANGE (%) 4.26 -2.83 -5.86 -4.23 0.30 FIIs were net sellers in cash market segment worth of

`192/- cr. On derivatives front some long unwinding was observed by them in index futures, while in index options significant amount of long buildup was formed by them in yesterdays trading session.
On options front 5600-6000 call option has seen

significant amount of buildup in open interest, while in put option 5500 strike price has seen maximum buildup in yesterday trade.
We have seen decent amount of short positions

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

SYNDIBANK ALBK INDUSINDBK PETRONET SIEMENS

1344000 7250000 1458000 2066000 964000

-12.04 -11.22 -9.55 -9.31 -8.97

115.65 131.45 361.70 166.20 682.35

-3.28 -0.68 -1.34 0.36 -0.80

getting buildup in MCLEODRUSS since last few trading session. However in yesterdays trade the stock has seen some long buildup with increase in CoC. Around `295-296 the counter has decent support and hence we feel the stock could see some short covering bounce from current level. Hence we recommend to go long on this stock with the target price of `318 and stop loss at `288.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK RELIANCE PCR-OI 1.03 0.78 0.47 0.46 0.36 PCR-VOL 0.84 0.67 0.61 0.56 0.66

Historical Volatility
SCRIP COLPAL SBIN BANKBARODA CANBK VIJAYABANK HV 25.76 37.74 41.77 49.37 37.61

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Derivative Report
Oct 31, 2012

FII Statistics for 30-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9232.45 44775.88 27532.31 1425.47 82966.10 Change (%) (3.65) 3.92 0.74 13.97 1.99

Turnover on 30-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1641.50

2177.02

(535.52) 1207.06 (107.40) (36.65) 527.49

379422 1599702 1049068 51826 3080018

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,12,407 34,08,670 5,67,324 3,06,884 47,95,285

13937.56 97853.81 15814.20 8871.41 136476.97

106.13 88.48 26.46 46.81 76.72

16871.07 15664.01 1429.62 1906.27 1537.02 1942.93

21848.46 21320.98

Nifty Spot =5597.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 103.95 56.90 103.95 26.75 56.90 26.75 30.15 69.85 5730.15 77.20 122.80 5677.20 Risk 47.05 Reward 52.95 BEP 5647.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 76.15 43.25 76.15 23.45 43.25 23.45 19.80 80.20 5480.20 52.70 147.30 5547.30 Risk 32.90 Reward 67.10 BEP 5567.10

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

Nifty Put-Call Analysis

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Derivative Report
Oct 31, 2012

Strategy Date 29-Oct-2012

Symbol NIFTY

Strategy Long Put

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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