Derivative Report

India Research
April 19, 2012 Comments
The Nifty futures open interest increased by 4.12% while

Nifty Vs OI

Minifty futures open interest is decreased by 1.63% as market closed at 5300.00 levels.
The Nifty April future closed at a premium of 29.90 point

against a premium of 22.70 points. The May series closed at a premium of 56.85 points.
The Implied Volatility of at the money options is

decreased from 18.91% to 17.85%

The PCR-OI has being increased from 1.10 to 1.12

points.
The total OI of the market is `1,22,174/-cr. and the

stock futures OI are `29,693/-cr.

Few of the liquid counters where we have seen high cost-

of-carry are TTML, GVKPIL, SKUMARSYNF and GODREJIND.

CHAMBALFERT,

View OI Gainers
SCRIP BEL EXIDEIND IGL HCLTECH IDEA OI 87000 1584000 2461000 2290000 14088000 OI CHANGE (%) 70.59 42.19 34.15 27.08 25.25 PRICE 1521.80 132.05 239.85 494.30 89.95 PRICE CHANGE (%) 1.42 -5.20 4.37 2.80 -3.80 FIIs were net buyers in cash market segment; they

were net buyers worth of `222/- cr. On derivatives front they were net buyers in index futures with decent buildup in open interest, while in index options also they were net buyers and the quantum of buying was quite significant however the buildup in open interest was just 2% indicating most of the buying done to cover their shorts.
On options front not much of buildup was visible in

OI Losers
SCRIP CESC COLPAL HINDOILEXP MAX DABUR OI 597000 84500 3510000 586000 1898000 OI CHANGE (%) -14.10 -11.29 -10.05 -9.85 -8.04 PRICE 270.45 1134.20 129.85 199.15 111.15 PRICE CHANGE (%) 2.74 0.35 -2.04 -0.18 0.36

call option except 5600 strike price and some unwinding was observed in 5200 call option, while in put option 4900 strike price have seen significant amount of unwinding and 5200-5400 put option have seen some buildup in yesterdays trading session.
The counter of JPASSO has seen trading in the range

of `76-88 in recent few trading sessions and also the counter has seen good amount of short buildup at higher level. In last 2-3 trading session the stock has seen some long buildup followed by some long unwinding around its resistance level. We anticipate a mix of long unwinding and shorts could buildup in the counter which could take the stock to around `75. Hence go short at around `82-84 with the stop loss of `87.

Put-Call Ratio
SCRIP NIFTY INFY SBIN BANKNIFTY RELIANCE PCR-OI 1.12 0.29 0.93 0.83 0.61 PCR-VOL 1.01 0.29 0.79 0.91 0.61

Historical Volatility
SCRIP
BHUSANSTL SUNTV IDEA EXIDEIND GVKPIL

HV
48.77 48.00 33.86 43.06 71.87 For Private Circulation Only 1

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FII Statistics for 18-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 10896.83 38697.26 23776.76 1387.93 74758.79 Change (%) 5.32 2.43 0.30 6.82 2.26

Turnover on 18-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1668.91

1079.45

589.47 1,405.34 (297.00) (77.66) 1,620.15

413041 1460313 834330 48804 2756488

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

349414 2863032 461038 188247 3861731

8769.72 76499.41 13888.22 5713.76 104871.12

-53.41 -37.09 -24.94 -31.36 -37.30

12489.39 11084.04 1315.60 639.00 1612.60 716.66

16112.90 14492.75

Nifty Spot =5300.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 69.20 25.65 69.20 6.20 25.65 6.20 19.45 80.55 5419.45 63.00 137.00 5363.00 Risk 43.55 Reward 56.45 BEP 5343.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 47.15 19.65 47.15 8.50 19.65 8.50 11.15 88.85 5188.85 38.65 161.35 5261.35 Risk 27.50 Reward 72.50 BEP 5272.50

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 02-04-2012 09-04-2012 16-04-2012

Scrip NIFTY TATAMOTORS HDFC

Strategy Ratio Put Spread Ratio Put Spread Call Hedge

Status Open Open Open

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