Derivative Report

July 09, 2012

Comments
The Nifty futures open interest decreased by 1.23% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.04% as market closed at 5316.95 levels.
The Nifty July future closed at premium of 10.25 point

against premium of 17.20 points. The August series closed at a premium of 37.25 points.
The Implied Volatility of at the money options is

decreased from 16.38% to 15.75%.

Nifty PCR-OI has decreased from 1.22 to 1.21 levels. The total OI of the market is `1,23,293/-cr. and the

stock futures OI are `30,699/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are TTML, ADANIPOWER and HCC.

RUCHISOYA,

JSWISPAT,

OI Gainers
SCRIP CUMMINSIND BFUTILITIE FINANTECH JETAIRWAYS MCDOWELL-N OI 323000 1147000 1468000 2361000 3322000 OI CHANGE (%) 90.56 23.33 16.09 14.06 13.77 PRICE 450.30 467.30 749.70 386.20 762.70 PRICE CHANGE (%) -0.63 4.47 -0.29 -3.35 2.30

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `572/- cr. in Fridays trading session. On derivatives front they were net buyers in both index futures and in index options.
On options front 5500 call option have seen decent

buildup in open interest, while in put option 5100 strike price have seen maximum buildup in Fridays trading session.
The counter of APOLLOTYRE has seen significant

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

amount of buildup in last 2-3 trading session. However in Fridays trading session the stock has seen some long buildup with increase in CoC. The counter has seen taking very strong support at around `78 since last 2-3 expiry. Hence we recommend to go long on this stock with the target price of `90 and stop loss at `77.

INDIANB RELCAPITAL BOMDYEING TATACHEM SYNDIBANK

317000 4182500 464500 917000 1030000

-8.91 -6.77 -6.63 -6.62 -6.53

191.45 375.75 551.00 322.75 105.50

-0.62 -1.95 -1.89 -0.83 -0.91

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.21 0.99 0.75 0.56 0.77 PCR-VOL 0.95 0.92 0.65 0.44 0.74

Historical Volatility
SCRIP BFUTILITIE OIL HEXAWARE OPTOCIRCUI FORTIS HV 49.39 23.17 42.12 39.17 35.16

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Derivative Report
July 09, 2012

FII Statistics for 06-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13929.06 37747.75 24940.33 932.69 77549.83 Change (%) 1.90 3.18 1.78 8.69 2.55

Turnover on 06-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

938.08 7612.78 963.31 597.33

814.08 7443.68 1318.31 644.61

123.99 169.10 (355.00) (47.28) (109.20)

536896 1417156 913500 31829 2899381

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,35,717 21,66,534 4,26,593 1,41,847 30,70,691

8407.83 57812.92 12069.96 4174.91 82465.62

17.00 16.36 -0.42 5.28 13.04

10111.50 10220.69

Nifty Spot =5316.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 94.15 47.65 94.15 19.95 47.65 19.95 27.70 72.30 5427.70 74.20 125.80 5374.20 Risk 46.50 Reward 53.50 BEP 5346.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 67.90 35.45 67.90 18.05 35.45 18.05 17.40 82.60 5182.60 49.85 150.15 5250.15 Risk 32.45 Reward 67.55 BEP 5267.55

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

Nifty Put-Call Analysis

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Derivative Report
July 09, 2012

Strategy Date 02-July-2012 02-July-2012

Symbol INFY NIFTY

Strategy Long Strangle Long Call

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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