Derivative Report

Nov 21, 2012

Comments
The Nifty futures open interest decreased by 3.02% while

Nifty Vs OI

BankNifty futures open interest is decreased by 5.30% as market closed at 5571.55 levels.
The Nifty Nov. future closed at premium of 12.30 point

against a premium of 18.25 points. The Dec. series closed at a premium of 43.95 points.
The Implied Volatility of at the money options is

decreased from 13.83% to 13.22%.

Nifty PCR-OI has increased from 0.96 to 0.98 levels. The total OI of the market is Rs.1,49,215/- cr. and the

stock futures OI are Rs.32,725/- cr.

Few of the liquid counters where we have seen high cost

of carry are AUROPHARMA, ASHOKLEY, JPPOWER, GMRINFRA and RPOWER. View OI Gainers
SCRIP BANKINDIA JUBLFOOD OPTOCIRCUI AXISBANK HINDZINC OI 3725000 734000 6440000 4597000 1452000 OI CHANGE (%) 7.88 7.31 6.17 6.13 5.99 PRICE 266.30 1279.05 106.25 1218.95 134.70 PRICE CHANGE (%) -2.44 -0.27 -3.75 0.45 0.00 FIIs were net buyers in cash market segment worth

of `143/- cr. On derivatives front they were net buyers in all the three segments of index futures, index options and stock futures in yesterdays trade.
On options front not much of buildup was observed

in both call option and put option however considerable amount of unwinding was seen in 5700-5800 call option in yesterdays trading session.
HINDALCO has seen significant amount of short

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

position getting buildup at higher levels and is now very much heavy in terms of open interest. Around `102 the counter is having good support and hence we expect short covering bounce in this stock which could take the counter to around `115. Go long at around `104-106 levels with the stop loss of `100.

SUNTV SYNDIBANK HAVELLS COLPAL IDFC

4025000 1388000 588000 140250 14992000

-10.81 -8.80 -8.13 -8.03 -7.73

376.40 116.40 579.15 1335.00 157.00

2.26 -1.06 1.04 1.07 1.35

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE MCDOWELL-N PCR-OI 0.98 0.76 0.36 0.33 0.90 PCR-VOL 0.91 0.71 0.51 0.45 0.85

Historical Volatility
SCRIP RAYMOND M&M RCOM MRF WELCORP HV 29.46 29.17 57.39 19.47 31.11

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Derivative Report
Nov 20, 2012

FII Statistics for 20-November-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7824.89 52449.73 29249.99 2797.87 92322.48 Change (%) (2.74) (0.08) 0.41 2.20 (0.11)

Turnover on 20-November-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1097.91

822.01

275.90 226.91 270.80 23.49 797.11

322262 1881769 1105410 104348 3413789

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,64,569 30,23,966 4,88,418 3,09,525 40,86,478

7100.72 85330.60 13570.40 9162.78 115164.50

84.04 62.38 103.12 80.26 68.93

11318.81 11091.90 1777.67 1481.12 1506.86 1457.63

15675.50 14878.39

Nifty Spot =5571.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 36.40 8.90 36.40 1.80 8.90 1.80 7.10 92.90 5707.10 34.60 165.40 5634.60 Risk 27.50 Reward 72.50 BEP 5627.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 17.65 5.10 17.65 2.40 5.10 2.40 2.70 97.30 5397.30 15.25 184.75 5484.75 Risk 12.55 Reward 87.45 BEP 5487.45

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

Nifty Put-Call Analysis

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Derivative Report
Nov 20, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012 19-Nov-2012

Symbol NIFTY TATAMOTORS DLF AXISBANK

Strategy Long Put Long Put Ladder Bear Put Spread Long Put

Status Open Profit booked on 19-Nov-2012 Profit booked on 19-Nov-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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