Derivative Report

India Research
Sep 29, 2011 Comments
The Nifty futures open interest increased 5.59% while

Nifty Vs OI

Minifty futures open interest increased by 0.69% as market closed at 4945.90 levels.
The Nifty Sep future closed at a Discount of 9.25 point

against a Premium of 6.10 points. The October Series closed at a Discount of 2.95 points.
The Implied Volatility of at the money options is

decreased from 29.88% to 29.86%.

The PCR-OI has decreased from 1.27 to 1.24 points. The total OI of the market is `1, 45,821cr. and the stock

futures OI is `30,362cr.
Stocks where cost of carry is positive are RUCHISOYA,

AREVAT&D, SKUMARSYNF, BOSCHLTD and NHPC.

OI Gainers
SCRIP GLAXO INDIANB DHANBANK TECHM TITAN OI 35875 739000 2002000 544000 12017500 OI CHANGE (%) 36.02 25.25 24.35 16.12 14.67 PRICE 2093.95 217.40 75.50 581.60 207.20 PRICE CHANGE (%) 1.41 2.14 -2.20 -4.73 -2.56

View
FII's bought in cash market in a falling market though

quantum was very less. In index futures their net activity is muted but open interest has gone up by 12% indicating some volatility in market for today.
4900 call was the only option strike in this series

which added substantial open interest to comment on. We believe its more of buying then selling.
Nifty rollovers are at 48.95% which is slightly on

OI Losers
SCRIP OIL MOSERBAER IRB TRIVENI IOB OI 35000 5808000 2298000 2152000 2242000 OI CHANGE (%) -18.13 -16.65 -15.45 -14.26 -12.69 PRICE 1339.30 22.25 162.90 21.95 94.75 PRICE CHANGE (%) 1.76 -0.45 -3.92 -4.57 -0.11

the lower side; however rollover of 67.27% in BankNifty is on higher side. DJIA and S&P500 futures have shown no rollovers indicating that its only market makers who are active in it.
ZEEL has been consolidating in the range of `112-

116 for quite some time. There is addition of 10% in OI with significant volumes in futures and cash segment. Form long positions with target price of `124 and stop loss of `111.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.24 0.55 1.61 0.85 0.52 PCR-VOL 1.00 0.56 1.10 0.62 0.78

Historical Volatility
SCRIP
MAX BALRAMCHIN ROLTA BPCL MCLEODRUSS

HV
57.45 49.16 52.91 24.77 39.21 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 28-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 19288.69 58170.58 30602.32 1433.60 109495.20 Change (%) 12.07 -1.67 1.29 -7.05 1.28

Turnover on 28-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

6637.98

6696.33

(58.35) 429.41 16.91 27.77 415.74

786975 2352634 1269429 58543 4467581

Index Futures Stock Futures Index Options Stock Options Total

862424 1081087 5199295 144037 7286843

20297.51 26040.51 129506.68 3610.68 179455.38

4.92 18.03 6.58 -0.18 7.76

14026.49 13597.08 8232.44 275.66 8215.52 247.89

29172.57 28756.82

Nifty Spot =4945.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 8.60 0.95 8.60 0.45 0.95 0.45 0.50 99.50 5100.50 8.15 191.85 5008.15 Risk 7.65 Reward 92.35 BEP 5007.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 16.95 3.05 16.95 1.00 3.05 1.00 2.05 97.95 4797.95 15.95 184.05 4884.05 Risk 13.90 Reward 86.10 BEP 4886.10

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

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

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

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com
For Private Circulation Only SEBI Registration No: INB 010996539 3