Derivative Report

India Research
Comments
The Nifty futures open interest increased by 18.87% while

Nifty Vs OI

Feb 23, 2012

Minifty futures open interest in decreased by 11.69% as market closed at 5505.35 levels.
The Nifty Feb. future closed at a Premium of 12.75 point

against a Premium of 15.00 points. The March series closed at a Premium of 57.30 points.
The Implied Volatility of at the money options is

increased from 21.92% to 25.32%.

The PCR-OI has being decreased from 1.80 to 1.62

points.
The total OI of the market is `1,58,335/-cr. and the

stock futures OI are `36,624/-cr.

Few of the large cap stocks where we have seen low

rollovers are UNITECH, HINDUNILVR and M&M.

SESAGOA,

ONGC,

OI Gainers
SCRIP ESSAROIL ADANIPORTS MCDOWELL-N ITC STER OI 13988000 8392000 2810250 31660000 30626000 OI CHANGE (%) 35.81 25.97 20.92 17.16 15.59 PRICE 69.35 143.85 574.00 208.55 119.55 PRICE CHANGE (%) 1.39 -5.76 -13.61 0.55 -6.82

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `830/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front 5500-5700 call option have seen

good amount of buildup in open interest, while in put option 5500 and 5600 strike price have seen maximum unwinding in open interest in yesterdays trading session.
Rollovers in NIFTY futures are at 57.83% and that of

OI Losers
SCRIP VIPIND 3IINFOTECH SOUTHBANK BOMDYEING OIL OI 2561250 6016000 10140000 534000 137000 OI CHANGE (%) -37.01 -24.19 -23.53 -22.50 -22.27 PRICE 111.10 18.70 26.85 458.65 1305.75 PRICE CHANGE (%) -10.98 -9.44 -3.76 -3.32 -0.05

BANKNIFTY futures are at 54.61%.

We have seen good amount of short covering

followed by some long buildup in the counter of GESHIP in past few trading sessions. The counter has seen some long unwinding in last two trading session, however we have not seen much of volume in cash market segment while the stock going down. Hence we recommend to buy on dips at around `245-248 levels with the target price of `274 and stop loss at `233.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.62 1.80 1.08 0.82 1.07 PCR-VOL 1.16 0.94 0.69 0.47 0.61

Historical Volatility
SCRIP
VIJAYABANK MCDOWELL-N GMRINFRA SYNDIBANK DCB

HV
55.80 98.71 91.29 64.16 64.13 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 22-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 22164.72 51403.51 32719.63 1771.67 108059.53 Change (%) 21.59 4.59 -0.46 -1.89 6.05

Turnover on 22-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

6881.00

7227.98

(346.98) 643.74 (696.08) (11.88) (411.21)

802087 1867790 1096786 60367 3827030

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

918957 5312176 1449197 255681 7936011

24698.93 147922.69 43918.08 7873.02 224412.72

28.07 60.14 21.81 36.58 46.22

18331.01 17687.27 9859.25 10555.34 151.82 163.70

35223.09 35634.29

Nifty Spot =5505.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 40.60 4.95 40.60 0.75 4.95 0.75 4.20 95.80 5604.20 39.85 160.15 5539.85 Risk 35.65 Reward 64.35 BEP 5535.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 23.75 4.05 23.75 1.00 4.05 1.00 3.05 96.95 5396.95 22.75 177.25 5477.25 Risk 19.70 Reward 80.30 BEP 5480.30

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. 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 30-01-2012 06-02-2012 13-02-2012 21-02-2012

Scrip NIFTY SBIN ICICIBANK M&M

Strategy Long Call Ladder Short Strangle Ratio Call Spread Bull Call Spread

Status Open Open Open Open

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