Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 4.89% while

Nifty Vs OI

Dec 09, 2011

Minifty futures open interest decreased by 7.34% as market closed at 4943.65 levels.
The Nifty Dec. future closed at a Premium of 12.95 point

against a Premium of 23.50 points. The January Series closed at a Premium of 32.35 points.
The Implied Volatility of at the money options is

increased from 24.65% to 27.16%.

The PCR-OI has decreased from 1.23 points to 1.14

points.
The total OI of the market is `1,20,982.20cr. and the

stock futures OI are `27,147.36cr.

Stocks were cost of carry is positive are GITANJALI,

COREEDUTEC, UNIONBANK, ROLTA and NHPC.

OI Gainers
SCRIP CESC IBREALEST VIPIND LUPIN ASHOKLEY OI 670000 10648000 3401250 1117500 22368000 OI CHANGE (%) 20.29 18.52 10.65 10.64 9.39 PRICE 241.80 52.65 103.80 443.95 25.70 PRICE CHANGE (%) -7.23 -6.81 -9.34 -1.45 -4.28

View
FIIs were net buyers in cash market segment, but the

quantum of buying was quite minimal; they were net buyers of worth `26/- cr. On Derivatives front they were net sellers in index futures indicating some long unwinding by them, while in index options they were net buyers.
On

OI Losers
SCRIP BRFL RCOM SREINFRA DABUR INDIANB OI 2844000 21618000 5104000 2174000 252000 OI CHANGE (%) -14.36 -13.95 -12.60 -12.55 -10.95 PRICE 234.10 75.70 28.30 97.55 197.95 PRICE CHANGE (%) 3.33 -5.73 3.47 1.19 -1.79

Options front at-the-money and out-of-the money call options of 4900-5200 strike price have seen some buildup in open interest, while in put options most of the strike price have seen some unwinding but amongst them 5000-5100 put option have seen maximum unwinding in yesterdays trading session. which resulted a good upside in recent past. We feel `1200 could act as the resistance for this stock and can expect some more long unwinding in this counter. Hence we recommend to go short with the target price of `1110 and stop loss at `1201.

There was a significant build of long position in TCS

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.14 0.88 0.83 0.66 0.47 PCR-VOL 1.01 0.87 0.70 0.75 0.61

Historical Volatility
SCRIP
NATIONALUM DHANBANK GMRINFRA LT GSPL

HV
49.68 69.80 64.29 45.63 38.87 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 08-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12589.83 46656.92 25546.71 714.05 85507.50 Change (%) -6.35 1.94 0.39 5.50 0.20

Turnover on 08-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1687.71

2768.25 (1,080.55) 102.73 (313.40) (0.67)

515868 1887635 1120596 30420 3554519

Index Futures Stock Futures Index Options Stock Options Total

749473 500546 3869283 155423 5274725

17197.46 11548.03 97725.73 3677.52 130148.74

25.27 1.70 16.98 22.66 16.60

20221.05 20118.32 1167.41 455.95 1480.81 456.62

23532.11 24824.00 (1,291.89)

Nifty Spot =4943.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 106.60 66.25 106.60 37.95 66.25 37.95 28.30 71.70 5128.30 68.65 131.35 5068.65 Risk 40.35 Reward 59.65 BEP 5040.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 106.20 73.85 106.20 51.25 73.85 51.25 22.60 77.40 4777.40 54.95 145.05 4845.05 Risk 32.35 Reward 67.65 BEP 4867.65

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 28-11-2011 05-12-2011

Scrip RELINFRA TATAMOTORS

Strategy Long Call Long Put

Status Did not triggered Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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