Derivative Report

India Research
Sep 02, 2011 Comments
The Nifty futures open interest decreased 0.47% while

Nifty Vs OI

Minifty futures open interest decreased by 3.56% as market closed at 5001.00 levels.
The Nifty Sep future closed at a premium of 2.00 point

against a premium of 13.55 points. The October Series closed at a Premium of 14.20 points.
The Implied Volatility of at the money options is at

21.50%
The PCR-OI has increased from 1.28 to 1.34 points The total OI of the market is `1,10,598cr and the stock

futures OI is `38,480cr.
Stocks where cost of carry is positive are UNITECH,

GVKPIL, LITL, JSWENERGY, and DHANBANK.

OI Gainers
SCRIP MAX GITANJALI CHAMBLFERT IDEA DELTACORP OI 746000 7722000 4268000 13588000 3800000 OI CHANGE (%) 41.83 26.34 23.78 19.40 12.76 PRICE 194.35 315.00 106.45 99.95 89.95 PRICE CHANGE (%) 6.06 0.37 4.06 4.01 1.98 In the last trading session, some unwinding was

View
FIIs formed long positions in the Index Futures and

the Stock futures. They were net buyers of `621cr in the cash market segment. observed amongst call options and most of the put options added a considerable open interest. Amongst Stock options, INFY 2250 call has highest open interest.
Global

OI Losers
SCRIP TECHM AXISBANK JINDALSWHL IGL COALINDIA OI 298500 3768500 428250 254000 3368000 OI CHANGE (%) -15.92 -10.98 -10.08 -9.61 -8.83 PRICE 648.80 1072.75 646.05 429.30 375.60 PRICE CHANGE (%) 2.06 3.20 2.99 2.43 1.69

cues are little negative. SGX Nifty is suggesting an open around 5050 marks. We see some selling pressure may emerge in letter part of the trading session. trading move traders can trade with positive bias in this counter for the target of `440. Keep a stop loss of `418.

CANBK is showing some long formations. For small

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.34 1.75 0.55 0.67 0.52 PCR-VOL 0.94 1.48 0.39 0.45 0.44

Historical Volatility
SCRIP
SUNPHARMA SESAGOA ONGC HINDZINC MAX

HV
35.29 69.36 37.02 46.05 49.89

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FII Statistics for 30-Aug-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12631.94 47558.63 26940.28 510.54 87641.38 Change (%) 1.49 3.33 0.18 20.51 2.14

Turnover on 30-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2939.63 10242.38 2091.86 296.94

2424.62 8553.71 1627.85 287.25

515.01 1,688.67 464.01 9.69 2,677.39

507868 1902213 1113090 20850 3544021

Index Futures Stock Futures Index Options Stock Options Total

668461 522694 3107962 118391 4417508

15561.49 12786.30 77583.87 2869.95 108801.62

20.76 22.99 20.27 22.67 20.72

15570.80 12893.42

Nifty Spot =5001.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 123.80 76.80 123.80 44.00 76.80 44.00 32.80 67.20 5132.80 79.80 120.20 5079.80 Risk 47.00 Reward 53.00 BEP 5047.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 86.95 62.35 86.95 45.05 62.35 45.05 17.30 82.70 4782.70 41.90 158.10 4858.10 Risk 24.60 Reward 75.40 BEP 4875.40

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

Nifty Put-Call Analysis

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Derivative Report | India Research

Strategy Date 29-Aug-2011

Scrip ITC

Strategy Covered Call Writing

Status Continue

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