Derivative Report

India Research
Sep 16, 2011 Comments
The Nifty futures open interest decreased 3.70% while

Nifty Vs OI

Minifty futures open interest increased by 4.23% as market closed at 5075.70 levels.
The Nifty Sep future closed at a premium of 5.5 point

against a premium of 6.60 points. The October Series closed at a Premium of 16.20 points.
The Implied Volatility of at the money options is

decreased from 28.56% to 28.28%.

The PCR-OI has increased from 1.43 to 1.49 points. The total OI of the market is `1, 37,234.20cr. and the

stock futures OI is `30,145.92cr.

Stocks where cost of carry is positive are GITANJALI,

TTML, FEDERALBNK, GUJFLUORO and JPPOWER.

OI Gainers
SCRIP JSWENERGY TTKPRESTIG BGRENERGY SUNTV IOB OI 4544000 78375 1250000 665000 2034000 OI CHANGE (%) 67.06 32.28 29.13 20.36 17.17 PRICE 59.65 2790.00 367.40 280.90 102.15 PRICE CHANGE (%) 4.74 -6.54 14.10 -3.32 1.14

View
Yesterdays pull back was mainly due to short

covering and FII's too covered some of their short positions in index futures. However their activity was again muted in cash market segment.
This time one can say that its put writing which is

happening around 5000 strike as IV's too has come down. Interestingly call unwinding in not very meaningful to suggest that there can be a breakout rally.
In last two trading sessions CENTURYTEX has added

OI Losers
SCRIP OIL TITAN CHAMBLFERT JUBLFOOD GTL OI 30500 9175000 5996000 566250 3039500 OI CHANGE (%) -23.27 -7.07 -6.37 -5.47 -5.10 PRICE 1308.65 219.15 108.20 923.15 63.15 PRICE CHANGE (%) -0.48 3.35 -2.30 4.34 2.85

significant open interest and counter is near its very strong support zone of `275-280. Buy with target of `327/- and stop loss of `271/-.
IOB in last three sessions have seen huge jump in

open interest and its IV too has increased. This has happened in the range of `100-103. Go long with target of `109/- and stop loss of `98/-.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.49 0.42 1.23 1.80 0.52 PCR-VOL 1.05 0.37 0.59 1.24 0.80

Historical Volatility
SCRIP
BGRENERGY BRFL TVSMOTOR PFC GAIL

HV
99.72 13.95 57.01 63.83 34.2 For Private Circulation Only 1

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FII Statistics for 15-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 16661.50 57551.27 29268.91 1747.03 105228.71 Change (%) -7.31 -1.32 0.22 10.49 -1.72

Turnover on 15-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3098.93

2844.43

254.50 (483.01) 401.09 (49.37) 123.21

660767 2268168 1175326 71062 4175323

Index Futures Stock Futures Index Options Stock Options Total

780579 552914 3802606 151747 5287846

18294.59 13611.54 95798.81 3863.15 131568.09

1.75 1.80 0.15 -2.47 0.46

12526.68 13009.69 1898.50 539.25 1497.42 588.61

18063.36 17940.16

Nifty Spot =5075.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 97.15 54.00 97.15 26.85 54.00 26.85 27.15 72.85 5227.15 70.30 129.70 5170.30 Risk 43.15 Reward 56.85 BEP 5143.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 79.45 55.40 79.45 39.00 55.40 39.00 16.40 83.60 4883.60 40.45 159.55 4959.55 Risk 24.05 Reward 75.95 BEP 4975.95

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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Strategy Date 29-Aug-2011 05-Sep-2011 09-Sep-2011

Scrip ITC NIFTY BANKNIFTY

Strategy Covered Call Writing Ratio Put Spread Short Straddle

Status Continue Continue Continue

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