Derivative Report

June 7, 2012

Comments
The Nifty futures open interest decreased by 0.11% while

Nifty Vs OI

BankNifty futures open interest is increased by 7.43% as market closed at 4997.10 levels.
The Nifty June future closed at a discount of 18.50 point

against a discount of 17.00 points. The July series closed at a discount of 1.25 points.
The Implied Volatility of at the money options is

decreased from 24.43% to 22.28%.

The PCR-OI has being increased from 1.27 to 1.35

levels.
The total OI of the market is `1,02,436/-cr. and the

stock futures OI are `24,005/-cr.

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

of-carry are ABGSHIP, TTML, SKUMARSYNF and TATACOFFEE. OI Gainers

SCRIP DRREDDY INDIANB JETAIRWAYS MRPL SUZLON OI 830625 740000 2132000 2180000 151808000 OI CHANGE (%) 60.35 59.83 40.08 29.76 29.02

BALRAMCHIN,

View
PRICE 1615.50 164.90 334.65 52.70 17.55 PRICE CHANGE (%) -0.18 2.52 5.57 0.67 2.33 FIIs were net buyers in cash market segment; they

were net buyers worth of `269/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures however the quantum of selling was quite minimal, while in index options they were net buyers.
On options front good amount of buildup was seen

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

in 5200-5300 call option and some unwinding in 4900 strike price, while in put option significant amount of buildup observed in 4800-4900 put option and some unwinding in 4200 strike price was seen in yesterdays trading session.
The counter of BHEL is pretty much heavy in terms of

MPHASIS NTPC DABUR TATAMOTORS SUNTV

257000 5306000 1098000 27167000 1149000

-24.74 -16.99 -13.27 -10.62 -8.37

348.30 152.75 107.05 234.40 234.75

0.97 3.95 4.80 5.75 3.28

open interest and majority of the buildup is on the shorter side. The stock has seen some signs of short covering in last 2-3 trading session and we feel the momentum could continue which could take the counter to around `228. Hence go long with the stop loss of `208.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE TATAMOTORS PCR-OI 1.35 0.73 1.09 0.69 0.36 PCR-VOL 0.95 0.91 0.79 0.59 0.43

Historical Volatility
SCRIP COREEDUTEC DABUR GMRINFRA ESSAROIL CESC HV 37.69 30.70 75.01 49.31 40.72

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Derivative Report
June 7, 2012

FII Statistics for 6-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7776.56 37672.82 21664.07 829.76 67943.20 Change (%) (1.40) (1.07) 3.06 12.40 0.35

Turnover on 6-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1778.36

1818.63

(40.26) 913.72 578.29 (17.83) 1433.91

319438 1508261 907961 33259 2768919

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

520113 3220975 529010 191948 4462046

11954.02 79569.13 12510.67 4814.44 108848.26

31.44 56.13 31.18 31.53 48.59

17404.74 16491.02 1856.06 847.35 1277.78 865.18

21886.51 20452.60

Nifty Spot =4997.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 88.85 49.85 88.85 24.45 49.85 24.45 25.40 74.60 5125.40 64.40 135.60 5064.40 Risk 39.00 Reward 61.00 BEP 5039.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 144.90 99.70 144.90 67.35 99.70 67.35 32.35 67.65 4867.65 77.55 122.45 4922.45 Risk 45.20 Reward 54.80 BEP 4954.80

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

Nifty Put-Call Analysis

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Derivative Report
June 7, 2012

Strategy Date 04-06-2012

Symbol NIFTY

Strategy Ratio Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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