Derivative Report

June 11, 2012

Comments
The Nifty futures open interest decreased by 0.06% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.44% as market closed at 5068.35 levels.
The Nifty June future closed at a discount of 8.95 point

against a discount of 20.30 points. The July series closed at a premium of 9.80 points.
The Implied Volatility of at the money options is

decreased from 21.63% to 21.44%.

The PCR-OI has increased from 1.35 to 1.46 levels. The total OI of the market is `1,08,221/-cr. and the

stock futures OI are `25,059/-cr.

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

of-carry are STRTECH, NAGAROIL and UNITECH.

BAJAJHLDNG,

JPPOWER,

OI Gainers
SCRIP BEML BEL ABAN IOC HDIL OI 237000 49750 3962000 2144000 27216000 OI CHANGE (%) 41.49 25.16 23.85 18.00 16.07 PRICE 383.85 1296.90 348.80 248.45 72.85 PRICE CHANGE (%) -5.71 1.38 2.26 -0.60 5.96

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `202/- cr. in Fridays trading session. On derivatives front they were net sellers in index futures and in index options they were net buyers, however there activity in open interest front was quite muted.
On options front most of the call option have again

seen some unwinding except 5200 strike price where some buildup was observed, while in put option 5000 strike price have seen maximum buildup in Fridays trading session.
The counter of UNITECH has seen some long buildup

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

TTKPRESTIG ABIRLANUVO COLPAL RELINFRA POLARIS

53625 364250 96000 3123500 2462000

-22.14 -21.96 -10.49 -10.17 -9.15

3018.75 764.35 1146.80 503.50 118.35

2.33 -0.62 1.74 4.18 2.07

in last trading session. The stock is pretty much heavy in terms of open interest indicating lot of the short position is still open and needs to be covered. Hence at higher level the counter could see some short covering which could take the stock to around `25. Hence go long with the stop loss of `21.50.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.46 0.88 1.18 0.41 0.74 PCR-VOL 1.02 1.12 0.66 0.38 0.65

Historical Volatility
SCRIP TATACOFFEE SUNTV BEML INDUSINDBK FEDERALBNK HV 32.78 58.87 53.97 36.91 26.84

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Derivative Report
June 11, 2012

FII Statistics for 8-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8638.09 38976.21 22440.19 1025.40 71079.90 Change (%) 0.42 2.07 0.71 7.81 1.50

Turnover on 8-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1315.83

1478.72

(162.89) 207.76 274.84 (20.56) 299.14

347616 1538384 925164 40615 2851779

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

538746 3017473 519665 182733 4258617

12674.99 75543.36 12287.02 4593.12 105098.49

26.16 17.26 5.37 4.99 16.12

16470.38 16262.62 1370.28 920.87 1095.45 941.44

20077.36 19778.21

Nifty Spot =5068.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 78.40 39.95 78.40 18.55 39.95 18.55 21.40 78.60 5221.40 59.85 140.15 5159.85 Risk 38.45 Reward 61.55 BEP 5138.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 76.15 47.85 76.15 29.75 47.85 29.75 18.10 81.90 4881.90 46.40 153.60 4953.60 Risk 28.30 Reward 71.70 BEP 4971.70

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 11, 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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