Derivative Report

India Research
April 20, 2012 Comments
The Nifty futures open interest increased by 5.25% while

Nifty Vs OI

Minifty futures open interest is increased by 4.06% as market closed at 5332.40 levels.
The Nifty April future closed at a premium of 23.80 point

against a premium of 29.90 points. The May series closed at a premium of 56.65 points.
The Implied Volatility of at the money options is

decreased from 17.85% to 17.13%

The PCR-OI has being increased from 1.12 to 1.15

points.
The total OI of the market is `1,25,380/-cr. and the

stock futures OI are `30,916/-cr.

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

of-carry are GMRINFRA, UNIONBANK, ABIRLANUVO, VIDEOIND and TATAGLOBAL.

OI Gainers
SCRIP GESHIP JSWENERGY BFUTILITIE BOSCHLTD BHEL OI 234000 24768000 894500 13875 18991000 OI CHANGE (%) 59.18 43.90 32.32 26.14 24.03 PRICE 262.70 56.70 441.75 8707.60 250.55 PRICE CHANGE (%) 6.33 -1.99 5.92 0.17 -3.93

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `102/- cr. On derivatives front they were net buyers in index futures worth of `653/- cr. with significant buildup in open interest of 11% indicating good amount of long buildup by them, while in index options also they were net buyers.
On options front most of the call options have seen

OI Losers
SCRIP JETAIRWAYS HCLTECH IGL TATAMTRDVR PATELENG OI 1174000 2062000 2257500 8928000 1490000 OI CHANGE (%) -11.73 -9.96 -8.27 -6.88 -6.88 PRICE 357.15 503.45 231.55 185.35 122.35 PRICE CHANGE (%) -2.36 1.85 -3.46 5.58 -0.41

unwinding and out of that 5200 strike price have seen maximum unwinding, while in put option 5300 strike price have seen good amount of buildup in open interest in yesterdays trading session.
We have seen significant amount of buildup in the

counter of WIPRO from last 5-6 trading session and we feel its the mix of long and short both. Since the counter has the decent support at around `316-318 we expect some short covering rally could come in this stock which could take the counter to around `336. Hence go long with the stop loss of `314.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.15 0.28 0.91 0.95 0.74 PCR-VOL 1.00 0.36 1.07 0.70 1.02

Historical Volatility
SCRIP
GESHIP DIVISLAB COALINDIA ESCORTS HDFCBANK

HV
52.89 29.74 34.03 52.76 27.73 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 19-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 11533.23 39115.50 23995.11 1452.12 76095.95 Change (%) 11.20 2.90 1.08 9.96 3.67

Turnover on 19-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1606.30

953.19

653.11 158.21 (371.46) (23.41) 416.45

436081 1467134 840882 50240 2794337

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

356158 2972258 512035 192725 4033176

8968.94 79485.3 15420.75 5777.89 109652.87

2.27 3.90 11.03 1.12 4.56

10369.06 10210.86 1820.50 703.56 2191.96 726.97

14499.42 14082.98

Nifty Spot =5332.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 82.15 30.15 82.15 6.65 30.15 6.65 23.50 76.50 5423.50 75.50 124.50 5375.50 Risk 52.00 Reward 48.00 BEP 5352.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 29.15 10.40 29.15 4.00 10.40 4.00 6.40 93.60 5193.60 25.15 174.85 5274.85 Risk 18.75 Reward 81.25 BEP 5281.25

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

SEBI Registration No: INB 010996539

Derivative Report | India Research

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

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