Derivative Report

India Research
Comments
The Nifty futures open interest increased by 3.25% while

Nifty Vs OI

Jan 16, 2012

Minifty futures open interest increased by 2.48% as market closed at 4866 levels.
The Nifty Jan. future closed at a Premium of 12.20 point

against a Premium of 20.95 points. The February Series closed at a Premium of 32.50 points.
The Implied Volatility of at the money options is

decreased from 23.60% to 22.95%.

The PCR-OI has being increased from 1.23 to 1.26

points.
The total OI of the market is `1,20,705.10cr. and the

stock futures OI are `29,770/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

INDIACEM, TTML, ABGSHIP and LITL.

OI Gainers
SCRIP PETRONET IGL PATNI GAIL JPPOWER OI 4510000 282000 418000 2382000 9872000 OI CHANGE (%) 79.54 46.49 29.41 29.14 28.27 PRICE 156.55 350.05 471.60 373.45 39.25 PRICE CHANGE (%) -5.03 -8.04 0.79 -3.06 11.35

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `294/-cr. on Fridays trading session. On Derivatives front they were net buyers in index futures indicating some long buildup by them and also they were net buyers in index options.
On Options front not much of buildup was visible in

OI Losers
SCRIP OIL MCDOWELL-N VIPIND CESC IOB OI 82750 1142500 4128750 692000 954000 OI CHANGE (%) -31.75 -19.89 -16.12 -13.93 -12.80 PRICE 1159.20 599.35 93.30 227.50 84.00 PRICE CHANGE (%) 3.11 3.95 -0.59 0.75 1.14

call options except deep-out-of the money call option of 5200 strike price where some buildup was visible and some unwinding was visible in 4900 strike price, while in put option 4700-4900 strike price have seen good amount of buildup in open interest.
Despite recent bounce back in the counter of MARUTI

we have not seen good amount of long buildup happening at higher levels. On Fridays trading session we have seen some amount of short positions getting buildup in this counter. Hence we recommend to go short on this counter with the target price of `935 and stop loss at `1010.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.26 0.30 1.90 1.07 0.90 PCR-VOL 1.00 0.42 1.16 0.87 0.90

Historical Volatility
SCRIP
IGL JPPOWER JSWISPAT PETRONET BEL

HV
49.17 64.70 76.36 37.84 32.93 For Private Circulation Only 1

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FII Statistics for 13-Jan-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12217.31 34298.64 26764.33 1301.69 74581.97 Change (%) 2.35 0.61 1.39 6.75 1.27

Turnover on 13-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1672.15

1276.30

395.85 145.57 328.40 (25.79) 844.02

505103 1411039 1065401 50020 3031563

Index Futures Index Options Stock Futures Stock Options Total

548968 3240359 679279 249687 4718293

12452.63 79068.01 16883.75 6533.18 114937.57

-4.39 8.52 7.25 -17.48 4.92

15090.68 14945.11 2735.84 882.49 2407.45 908.29

20381.16 19537.14

Nifty Spot =4866.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 66.20 29.10 66.20 9.85 29.10 9.85 19.25 80.75 5019.25 56.35 143.65 4956.35 Risk 37.10 Reward 62.90 BEP 4937.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 48.75 24.10 48.75 11.80 24.10 11.80 12.30 87.70 4687.70 36.95 163.05 4763.05 Risk 24.65 Reward 75.35 BEP 4775.35

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 09-Jan-2012

Scrip TATASTEEL DLF

Strategy Ratio Bull Call Spread Long Call

Status Loss Booked on 12-01-2012 Profit Booked on 11-01-2012

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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