FUTURES & OPTIONS REPORT January 31, 2011

NIFTY FUTURE & OPEN INTEREST MOVEMENT ANALYSIS

Nifty Open Interest & Nifty future Change in Nifty Open Interest & Nifty future
330.00 6250.00 25.0
6350.00
310.00 6150.00 20.0 6250.00
290.00 6050.00 15.0 13.1 6150.00
245.07 5950.00 10.0 5.7 6050.00
270.00
5850.00 5.0 1.9 5950.00
250.00 5850.00
5750.00 0.0
230.00 5750.00
5650.00
213.09 -5.0 5650.00
210.00 5550.00 -10.0 5550.00
190.00 5450.00 -15.0 5450.00
30-Dec
3-Jan
5-Jan
7-Jan
11-Jan
13-Jan
17-Jan
19-Jan
21-Jan
25-Jan
28-Jan

3-Jan
5-Jan
7-Jan
30-Dec

11-Jan
13-Jan
17-Jan
19-Jan
21-Jan
25-Jan
28-Jan
OI in Lakhs Nifty Futures Change in OI in lakhs Nifty Futures

 On Friday, Nifty traded negative and crossed 5500 crucial mark in intraday trade, recovering back
from an intraday low of 5459.55 and closed 92.15 points down at 5512.15
 Nifty open interest saw an addition of 13.1 lakhs & stands at 213.09 lakhs
Nifty Future Premium / Discount Put Call Ratio of Nifty OI & Nifty Future
30.0 6400.0 2.10 6250
25.0 24.1 1.90 6150
6200.0
1.70 6050
20.0
6000.0 5950
15.0 1.50
5800.0 1.27 1.29 5850
10.0 1.30
6.6 5600.0 5750
5.0 1.10 5650
0.0 5400.0 0.90 5550
-5.0 -0.1 5200.0 0.89 0.87
0.70 5450
-0.6
11-Jan
13-Jan
17-Jan
19-Jan
21-Jan
25-Jan
28-Jan
30-Dec
3-Jan
5-Jan
7-Jan

3-Jan
5-Jan
7-Jan
30-Dec

11-Jan
13-Jan
17-Jan
19-Jan
21-Jan
25-Jan
28-Jan

Premium/Discount Nifty Put Call Ratio Nifty

 Nifty futures closed 24.1 points premium at 5536.55

 Put call ratio for Nifty increased from 0.83 to 1.29
NIFTY PUT CALL ANALYSIS
OI in various strike price of Nifty
100.00 95.18
90.00
80.00
70.89
70.00
60.00 Call OI(in
50.65 50.38 lakhs)
48.72 50.78
50.00 44.62
37.28 39.91
40.00 34.07 33.62
25.30 Put OI (in
30.00
lakhs)
20.00 17.77
13.77 13.43
10.00
0.00

Change OI in various strike price of Nifty

35.00 30.88
30.00
25.00 23.27 23.31
21.21
20.00 Change in
14.25 13.45 Call (in
15.00 11.25 12.40 lakhs)
10.00 7.40
3.93 4.63
5.00 1.58 2.94
0.06 Change in
0.00 Put (in
-5.00 lakhs)
-10.00 -6.01
4900
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400

 On Friday, we saw a net addition of 82.22 lakhs on the call side (first day of the series) with
addition seen at 5500,5600 & 5700 calls by 12.40, 23.31 & 13.45 lakhs respectively in OI
 On the put side we saw a net addition of 107.13 lakhs. The highest addition was seen at 5400 put
by 30.88 lakhs in OI. The addition was also seen at 5100,5200 & 5300 puts by 21.21, 23.27 &
14.25 lakhs respectively in OI whereas reduction was seen at 5600 put by 6.01 lakhs
 We expect markets to remain under pressure today.
Open Interest and Future Prices
Bank Nifty Open Interest & Bank Nifty future Reliance Open Interest & Reliance future
20.0 200.0
13100 1130
1110 190.0
12700 18.0 1090
1070 180.0
12300
16.0 1050 167.0 170.0
11900 1030
13.5 1010 160.0
11500 14.0 990
11100 970 150.0
141.6
11.0 12.0 950
10700 140.0
930
10300 10.0 910 130.0

Bank Nifty OI in Lakhs Fut close(Near) Reliance OI in Lakhs Fut close(Near)

Tata Steel Open Interest & Tata Steel future Tata Motors Open Interest & Tata Motors future
720 300.0 1340 126.0 130.0
700 280.0
120.0
680 260.0 1280
248.2
660 240.0 110.0
1220
640 220.0
100.0
620 200.0
182.8 1160 87.7 90.0
600 180.0
580 160.0 1100 80.0

Tata steel OI in Lakhs Fut close(Near) Tata Motors OI in Lakhs Fut close(Near)

(Rs. in Cr) FII Derivative FII

Date Index Future Index Option Stock Future Stock Option Cash
28-Jan-11 -321 3040 -412 -8 -707
27-Jan-11 -1172 1784 -40 10 -1651
25-Jan-11 85 1283 624 7 273
24-Jan-11 -261 183 549 -40 64
21-Jan-11 -922 -11 227 -20 -368
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