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Derivative Report

Dec 20, 2012

The Nifty futures open interest increased by 0.35% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.45% as market closed at 5929.60 levels.
The Nifty Dec. future closed at premium of 17.30 point

against a premium of 32.10 points. The Jan. series closed at a premium of 56.80 points.
The Implied Volatility of at the money options is

increased from 12.62% to 12.85%.

Nifty PCR-OI has increased from1.07 to 1.08 levels. The total OI of the market is Rs.1,65,841/- cr. and the

stock futures OI are Rs.42,034/- cr.

Few of the liquid counters where we have seen high cost


View OI Gainers
SCRIP RPOWER KTKBANK BANKBARODA HEROMOTOCO GSPL OI 65526000 23128000 2828250 2121875 5504000 OI CHANGE (%) 30.54 26.85 25.37 20.85 20.60 PRICE 98.10 174.65 861.35 1916.30 77.70 PRICE CHANGE (%) 0.41 5.08 1.08 1.78 3.50 Good amount of buying is observed by FIIs in this

series in cash market segment, yesterday also they were net buyers worth of `1,245/- cr. On derivatives front they were net sellers in index futures, while in index options they were net buyers in yesterdays trade.
On options front 6100 call option has seen good

amount of buildup in open interest, followed by decent unwinding in 5800-6000 strike price. While in put option 6000 strike price saw maximum buildup in open interest in yesterdays trading session.
The counter of EXIDEIND has seen good amount of

OI Losers


6896000 6586000 456250 82128000 12594000

-11.32 -8.17 -6.17 -5.43 -4.64

96.15 219.30 3192.55 35.90 688.00

-0.52 -1.08 -1.82 -0.55 1.33

short positions getting buildup in last few trading session. The stock in this expiry saw very less rollover and has started this series with reduction in more than half of its open interest indicating most of the short positions formed in October series have not rolled over. In yesterdays trading session we have seen decent amount of long buildup around its support `138-140 levels. Hence a mix of long buildup and short covering rally can be seen in this stock which could take the counter to around `155. Go long with the stop loss of `137. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY DLF PCR-OI 1.08 0.99 1.05 0.41 0.31 PCR-VOL 0.95 0.93 0.79 0.35 0.36


HV 40.42 25.73 26.58 26.88 59.68

Derivative Report
Dec 20, 2012

FII Statistics for 19-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12914.90 47616.73 35921.53 2245.09 98698.25 Change (%) 1.28 0.16 2.30 3.65 1.16

Turnover on 19-December-2012
No. of Contracts Turnover (` in cr.) Change (%)




(166.47) 445.05 47.77 (39.37) 286.98

439343 1603840 1222251 79277 3344711


2,09,703 28,35,374 6,86,957 3,39,752 40,71,786

6156.66 84561.99 20891.06 10598.03 122207.70

-54.48 -40.40 -10.40 -23.90 -36.56

12355.27 11910.22 3153.68 1508.81 3105.91 1548.18

17742.46 17455.48

Nifty Spot =5929.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 24.15 5.60 24.15 1.75 5.60 1.75 3.85 96.15 6103.85 22.40 177.60 6022.40 Risk 18.55 Reward 81.45 BEP 6018.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 25.25 7.60 25.25 3.05 7.60 3.05 4.55 95.45 5795.45 22.20 177.80 5877.80 Risk 17.65 Reward 82.35 BEP 5882.35

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

Nifty Put-Call Analysis

Derivative Report
Dec 20, 2012

Strategy Date 03-Dec-2012 07-Dec-2012 17-Dec-2012


Strategy Long Call Bull Call Spread Long Call Ladder

Status Profit booked on 19-Dec-2012 Open Open

Research Team Tel: 022 - 39357800



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