Derivative Report

May 25, 2012

Comments
The Nifty futures open interest decreased by 1.08% while

Nifty Vs OI

Minifty futures open interest is decreased by 3.47% as market closed at 4921.40 levels.
The Nifty May future closed at a discount of 8.30 point

against a discount of 21.10 points. The June series closed at a premium of 4.25 points.
The Implied Volatility of at the money options is

decreased from 25.25% to 22.67%.

The PCR-OI has being increased from 0.98 to 1.04

levels.
The total OI of the market is `1,34,393/-cr. and the

stock futures OI are `26,644 /-cr.

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

of-carry are SESAGOA, NCC, ASHOKLEY, IBREALEST and FINANTECH. OI Gainers

SCRIP VOLTAS MAX CROMPGREAV MCDOWELL-N JINDALSAW OI 2740000 522000 4686000 1528750 1972000 OI CHANGE (%) 20.92 20.55 19.48 16.19 14.65 PRICE 91.15 188.95 111.25 622.75 128.40 PRICE CHANGE (%) -4.75 -0.13 -3.43 -0.02 -1.27

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `106/- cr. On derivatives front they were net sellers in index futures indicating some shorts buildup by them, while in index options also they were net sellers in yesterdays trading session.
On options front not much of buildup was visible in

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

call option however some unwinding was seen in 4800-4900 call option we feel its much of a profit booking over there, while in put option the same strike price have seen good amount of buildup in yesterdays trading session with IVs coming down quite sharply.
The counter of IDBI have seen significant amount of

NMDC ONGC ANDHRABANK INFY WIPRO

977000 4819000 1252000 1919625 2131500

-14.75 -12.22 -8.48 -8.04 -6.20

169.25 243.45 102.15 2348.20 384.95

1.84 -0.61 -1.49 0.30 0.92

short positions getting buildup since the start of the May expiry. However in yesterdays trading session the stock has seen some long buildup with cost-ofcarry going up quite sharply. We feel the counter could see some short covering bounce back which could take the stock to around `95. Hence go long with the stop loss of `83.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.04 0.65 0.67 0.42 0.45 PCR-VOL 0.98 0.73 0.57 0.51 0.53

Historical Volatility
SCRIP TECHM ONGC HDFC BHARTIARTL RANBAXY HV 52.54 35.72 31.41 41.06 41.58

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Derivative Report
May 25, 2012

FII Statistics for 24-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12651.34 45599.00 22647.11 1424.53 82321.97 Change (%) 3.58 (1.72) 1.38 0.46 (0.01)

Turnover on 24-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2160.79

2821.60

(660.81) (583.91) 638.55 8.53 (597.64)

539549 1854448 961937 58108 3414042

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

694100 5357046 597841 223972 6872959

15778.98 131270.35 13897.52 5476.46 166423.31

23.74 21.32 24.08 15.51 21.57

28286.30 28870.21 2622.55 904.26 1983.99 895.73

33973.90 34571.54

Nifty Spot =4921.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 65.75 24.00 65.75 6.60 24.00 6.60 17.40 82.60 5017.40 59.15 140.85 4959.15 Risk 41.75 Reward 58.25 BEP 4941.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 54.40 24.35 54.40 10.20 24.35 10.20 14.15 85.85 4785.85 44.20 155.80 4855.80 Risk 30.05 Reward 69.95 BEP 4869.95

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

Nifty Put-Call Analysis

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Derivative Report
May 25, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012 21-05-2012

Symbol NIFTY NIFTY RELIANCE BANKNIFTY

Strategy Long Put Long Put Ladder Long Call Long Call

Status Profit booked on 04-05-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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