Derivative Report

India Research
Comments
The Nifty futures open interest increased by 2.95% while

Nifty Vs OI

Jan 06, 2012

Minifty futures open interest increased by 1.88% as market closed at 4749.95 levels.
The Nifty Jan. future closed at a Premium of 8.15point

against a Premium of 10.55 points. The February Series closed at a Premium of 26.90 points.
The Implied Volatility of at the money options is

decreased from 25.10% to 24.93%.

The PCR-OI has being increased from 1.14 to 1.16

points.
The total OI of the market is `98,750.44/-cr. and the

stock futures OI are `25,262/-cr.

Stocks

were cost of carry is positive are LITL, RUCHISOYA, JSWISPAT, ABGSHIP and TATAGLOBAL.

OI Gainers
SCRIP CESC DIVISLAB PATNI CIPLA GAIL OI 750000 381500 266000 3577000 1617500 OI CHANGE (%) 28.64 23.06 19.82 18.68 18.28 PRICE 209.65 772.40 466.60 335.00 381.00 PRICE CHANGE (%) -0.87 -1.47 3.65 1.25 -3.39

View
Yesterday FIIs were net buyers in cash market

segment; they were net buyers worth of `381/- cr. On Derivatives front they were net buyers in index futures indicating some long buildup by them and in index options also they were net buyers.
On Options front 4800 call option has seen some

buildup in open interest, while in put option 4300 and 4700 strikes have seen buildup in open interest and 4200 put option have seen some unwinding in yesterdays trade.
Entire rise in L&T was mainly because of short

OI Losers
SCRIP SRTRANSFIN ORIENTBANK VIPIND SYNDIBANK RECLTD OI 651000 810000 2481250 1302000 3614000 OI CHANGE (%) -19.23 -15.01 -13.32 -8.70 -8.09 PRICE 489.60 216.75 80.70 75.85 162.75 PRICE CHANGE (%) 9.52 1.76 -0.74 -0.65 2.10

covering. We dont anticipate any fresh longs building in this counter. Hence we recommend to go short on this counter up to `1100, with the target price of `1030 and stop loss at `1132.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.16 0.66 0.60 2.09 0.52 PCR-VOL 1.02 0.50 0.56 1.11 0.57

Historical Volatility
SCRIP
SRTRANSFIN GSPL PATNI WELCORP GAIL

HV
62.69 42.85 37.75 73.23 32.36 For Private Circulation Only 1

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FII Statistics for 05-Jan-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11059.83 27441.27 23616.06 927.46 63044.62 Change (%) 5.16 7.09 1.17 6.03 4.45

Turnover on 05-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1294.75 8417.26 1294.84 325.90

981.20 8295.69 1215.42 325.17

313.55 121.57 79.42 0.73 515.27

471387 1156856 992696 37666 2658605

Index Futures Index Options Stock Futures Stock Options Total

402452 2036818 423002 122346 2984618

8869.18 48745.32 10127.27 2991.01 70732.78

-21.15 -20.57 -5.98 -0.13 -18.12

11332.74 10817.47

Nifty Spot =4749.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 89.20 50.00 89.20 25.00 50.00 25.00 25.00 75.00 4925.00 64.20 135.80 4864.20 Risk 39.20 Reward 60.80 BEP 4839.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 86.55 55.20 86.55 34.10 55.20 34.10 21.10 78.90 4578.90 52.45 147.55 4647.55 Risk 31.35 Reward 68.65 BEP 4668.65

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 02-Jan-2012

Scrip TATASTEEL

Strategy Ratio Bull Call Spread

Status Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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