Derivative Report

India Research
Sep 27, 2011 Comments
The Nifty futures open interest decreased 1.12% while

Nifty Vs OI

Minifty futures open interest increased by 2.22% as market closed at 4835.40 levels.
The Nifty Sep future closed at a premium of 8.90 point

against a premium of 2.95 points. The October Series closed at a Premium of 18.85 points.
The Implied Volatility of at the money options is

increased from 29.22% to 32.50%.

The PCR-OI has decreased from 1.27 to 1.20 points. The total OI of the market is `1, 44,047.80cr. and the

stock futures OI is `30,508.53cr.

Stocks where cost of carry is positive are RUCHISOYA,

NMDC, STRTECH, ADANIPOWER and GVKPIL.

OI Gainers
SCRIP TATAPOWER TECHM AREVAT&D COALINDIA GMRINFRA OI 13565000 441500 714000 4553000 46320000 OI CHANGE (%) 20.15 18.84 18.41 15.73 15.71 PRICE 96.90 603.95 220.05 346.50 26.90 PRICE CHANGE (%) -2.19 -3.53 -1.81 -5.22 -5.11

View
Relentless cash base selling continues by FIIs in a

falling market, however, index and stock futures activity is quite muted. They are active in index options but there too we are not seeing any clear trend.
Yesterday, relatively options market did see less

change in open interest compared to last 2-3 trading sessions. Some unwinding was visible in 4900 put while in calls 4700 and 4800 saw rise in OI.
Way implied volatility has increased and short

OI Losers
SCRIP TATAMTRDVR HINDUNILVR HINDOILEXP DLF GTL OI 6527500 13407000 3254000 26747000 2432500 OI CHANGE (%) -21.36 -8.26 -7.71 -7.68 -7.61 PRICE 88.20 328.90 107.55 201.45 60.15 PRICE CHANGE (%) 0.80 -0.68 -8.00 2.00 -4.45

positions formed in system, we continue to believe that market may not correct significantly from current levels, so hold on to long positions created in a range of 4800-4850.
ICICIBANK has witnessed huge formation of short

positions in last 3 trading sessions. Yesterday prices rebound with good volumes in cash but no short covering was visible. In anticipation of it, go long with stop loss of Rs.843 and target of Rs.898.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.20 0.52 1.58 0.73 0.48 PCR-VOL 0.96 0.66 0.79 0.56 0.73

Historical Volatility
SCRIP
TITAN COALINDIA HINDOILEXP MCLEODRUSS PETRONET

HV
58.37 43.56 69.42 34.78 53.62 For Private Circulation Only 1

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FII Statistics for 26-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 17697.90 58416.80 29816.62 1581.64 107512.95 Change (%) 1.30 -0.17 1.57 -5.41 0.47

Turnover on 26-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

5867.08

5980.26

(113.18)

735397 2416524 1253460 66634 4472015

Index Futures Stock Futures Index Options Stock Options Total

995558 918010 5903947 154139 7971654

22713.67 22142.30 144721.32 3826.85 193404.14

3.80 16.78 -6.12 -22.68 -3.27

20429.27 21629.98 (1,200.71) 6493.39 426.16 6583.12 442.20 (89.73) (16.04)

33215.90 34635.56 (1,419.66)

Nifty Spot =4835.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 31.85 8.40 31.85 2.60 8.40 2.60 5.80 94.20 5005.80 29.25 170.75 4929.25 Risk 23.45 Reward 76.55 BEP 4923.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 41.75 18.05 41.75 7.35 18.05 7.35 10.70 89.30 4689.30 34.40 165.60 4765.60 Risk 23.70 Reward 76.30 BEP 4776.30

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 12-Sep-2011 19-Sep-2011 26-Sep-2011

Scrip ITC NIFTY BANKNIFTY IFCI L&T

Strategy Covered Call Writing Ratio Put Spread Short Straddle Long Call Long Call

Status Continue Continue Continue Continue Continue

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