Derivative Report

India Research
Sep 23, 2011 Comments
The Nifty futures open interest increased 11.96% while

Nifty Vs OI

Minifty futures open interest decreased by 0.04% as market closed at 4923.65 levels.
The Nifty Sep future closed at a discount of 9.75 point

against a premium of 8.05 points. The October Series closed at a Premium of 9.25 points.
The Implied Volatility of at the money options is

increased from 24.69% to 30.67%.

The PCR-OI has decreased from 1.55 to 1.37 points. The total OI of the market is `1, 41,276.40 cr. and the

stock futures OI is `30634.31cr.

Stocks where cost of carry is positive are ABGSHIP,

RUCHISOYA, TULIP, KFA, and SREINFRA .

OI Gainers
SCRIP PETRONET ITC BHARTIARTL TRIVENI ICICIBANK OI 5156000 21566000 12568000 2672000 10783000 OI CHANGE (%) 18.97 16.35 14.34 13.80 10.81 PRICE 166.85 190.95 372.80 22.75 862.35 PRICE CHANGE (%) -6.24 -3.37 -5.20 -7.71 -4.31

View
After

yesterdays fall it was obvious that FII's participation would be high and indeed it was. They sold `1305 crores worth of shares in cash market segment. Significant short positions are formed in index futures by them and index options there is substantial buying. unwinding in most of the put options especially 5000 put and in calls it was 4900 strike which added huge OI. Looking at the rise in IV's and more that of call, we believe its blend of call buying and selling.

Again the way market corrected yesterday there was

OI Losers
SCRIP ARVIND BOMDYEING MAX CHAMBLFERT MRF OI 2972000 354000 780000 4772000 35875 OI CHANGE (%) -25.48 -21.85 -17.37 -15.75 -14.58 PRICE 95.30 345.00 199.90 107.10 6737.20 PRICE CHANGE (%) -2.90 -3.83 -4.74 -2.64 -4.20

We believe market is disappointed due to not much

been delivered in form of quantitative easing and FED agreeing that there are serious problems in economy and recessions probability is quite high. According to us all these things were already known to market since quite some time. SGXNIFTY suggests that market may open somewhere around 4850. At these levels we suggest to square-off short positions if formed and form some contra long as we expect bounce back in market.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.37 0.51 1.71 0.96 0.48 PCR-VOL 1.19 0.68 0.95 0.80 1.03

Historical Volatility
SCRIP
BHARTIARTL GODREJIND SIEMENS TATAGLOBAL PETRONET

HV
38.34 63.61 36.60 54.59 47.91 For Private Circulation Only 1

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FII Statistics for 22-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 17044.84 59145.31 29696.28 1690.75 107577.18 Change (%) 14.68 0.04 1.57 -0.52 2.54

Turnover on 22-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3390.62

5203.78 (1,813.16) 1,698.58 (395.82) (6.39) (516.79)

698609 2402827 1229339 70575 4401350

Index Futures Stock Futures Index Options Stock Options Total

870171 670420 5826476 189374 7556441

20297.13 16692.76 146524.12 4809.36 188323.36

72.36 20.36 76.61 42.50 68.17

22449.81 20751.23 2934.04 564.47 3329.86 570.86

29338.94 29855.73

Nifty Spot =4923.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 49.25 20.85 49.25 7.85 20.85 7.85 13.00 87.00 5113.00 41.40 158.60 5041.40 Risk 28.40 Reward 71.60 BEP 5028.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 82.65 50.10 82.65 28.75 50.10 28.75 21.35 78.65 4778.65 53.90 146.10 4846.10 Risk 32.55 Reward 67.45 BEP 4867.45

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 05-Sep-2011 12-Sep-2011 19-Sep-2011

Scrip ITC NIFTY BANKNIFTY IFCI

Strategy Covered Call Writing Ratio Put Spread Short Straddle Long Call

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