Daily Derivative

Nifty Futures OI vs. Price

24 21 Millions 20.6 21.4 21.6 21.5 21.1 21.4 22.3 22.8 22.7 22.8 23.2 23.3 23.1 18 15 12 4-Dec 5-Dec 6-Dec 7-Dec 10-Dec 11-Dec 12-Dec 13-Dec 14-Dec 17-Dec 18-Dec 19-Dec 20-Dec 6000 5900 5800 5700 5600

December 21, 2012 December 21, 2012

Nifty Snapshot & Pivot Points
Spot Current Previous Change (%)
Pivot levels (Dec) Nifty future

Fut 5931 5947

S3 5815

COC (%) 13.00 13.31 S2 5870

Tot Fut OI 23119300 23309700 -0.8%

S1 5901

PCR OI 1.08 1.08 Piv 5925

PCR Vol 0.99 0.98 R1 5956 R2 5980

ATM IV 13.31 13.70 R3 6035

5916 5930

-0.24% -0.27%

Source: NSE, Seediff, ICICIdirect.com Research

Nifty Futures OI

Nifty Fut Price (RHS)

Nifty Options OI Distribution

120 90 95.0 8.4 71.4 66.4 67.0 94.0 60 30 0 7.2 54.8 120.2 Nifty Call Put Concentration (Dec)

Shares in Lacs

20.3

40.1 3.1

33.7

F&O Highlights After opening slightly in the red the Nifty traded with a negative bias till noon. However, it recovered most of the losses as the day progressed and closed just a fourth of a percentage lower India VIX came down from 14.47 to 14.32 (down 1.04%) FIIs were net buyers in the cash segment to the tune of | 467 crore while they were net sellers in the stock futures segment to the tune of | 114 crore In the options space, on the Call side, Nifty 6000 Call saw additions of 0.7 million shares. On the Put side, Nifty 6100 Put saw closure of 0.2 million shares Index Outlook

4.2

Nifty: The Nifty is likely to open negative on the back of negative Asian cues. It is

5600

5700

5800

5900

6000 PUT OI

6100

6200

CALL OI

Active Nifty Strike

Call (%) Strike 5700 5800 5900 6000 6100 OI chg -4.3 -3.1 4.3 6.2 2.7 IV (%) 14.7 12.3 12.5 13.0 13.5 Put (%) OI chg -1.4 -0.1 0.1 3.8 -33.9 IV (%) 16.8 14.4 12.3 11.0 9.7

likely to trade in the range of 5870-5940. The trading strategy would be to create short positions if the Nifty resists at around 5931 levels for targets of 5895 and 5875. On the other hand, one can also create long positions if it takes support at around 5870 levels Bank Nifty: The Bank Nifty is likely to trade in the range of 12450-12650 Stock Analysis

OI addition: We saw long build-up in IDBI, Idea Cellular, Union Bank of India and

Bank of India while we saw short build-up in Adani Enterprises, HDIL, JP Power, Cairn India, Adani Power and Pantaloon Retail OI shedding: We saw short covering in Hindalco, TCS, IVRCL Ltd and Havells while we saw long closure in Godrej Industries, GSPL, Reliance Power, Karnataka Bank and Federal Bank Intraday Strategy
i) IDBI (IDBI) Buy IDBI Dec Fut in the rng of 111.50-112 View: Bullish Strategy: Buy Future Target 1 : 115.50 Target 2 : 118 Stop Loss:109.90 ii) Cairn India (CAIIND) Sell CAIIND Dec Fut in the rng of 320.50-321 View: Bearish Strategy: Sell Future Target 1 :315 Target 2 : 311 Stop Loss: 324.10

F&O Turnover
Instrument Index Futures Stock Futures Index Options Stock Options F&O Total No. of Contracts 3,55,440 8,13,261 41,48,979 3,60,853 56,78,533 Turnover 10351.78 24639.68 123514 11179.36 169685 %Chg 68.14 17.94 46.06 5.49 38.85

FII Activities
Segment Index futures Index options Stock futures Stock options Total Buy 2149 19730 5070 1805 28754 Sell 2093 19576 5184 1827 28680 Net 56 154 -114 -23 73 OI (lots) 436326 1621213 1235158 85204 3377901 %Chg -0.7 1.1 1.1 7.5 1.0

Market Lot: 2000 Market Lot: 1000 Source: Company, ICICIdirect.com Research "Initiate the stock recommendation within 0.3% of the stated price range"

Open Interest activity

Symbol IDBI IDEA ADANIENT HDIL BHUSANSTL OI(Lots) 23364000 10496000 6930000 34340000 518500 %Chg 36.20 22.39 19.90 17.17 16.13 Price 112.9 99.6 271.6 114.0 460.0 %Chg Symbol 1.26 GSPL 3.59 HINDALCO -7.00 RPOWER -3.02 PEL 0.20 TCS OI(Lots) 4840000 32486000 60630000 466500 6111750 %Chg -12.06 -8.32 -7.47 -7.16 -6.27 Price 76.1 133.0 96.7 570.3 1,254.9 %Chg -2.81 2.35 -1.23 1.00 1.36

Analyst
Amit Gupta amit.gup@icicisecurities.com Ankit Tikmany ankit.tikmany@icicisecurities.com Azeem Ahmad azeem.ahmad@icicisecurities.com Raj Deepak Singh rajdeepak.singh@icicisecurities.com

Strategy follow-up
Date 20-Dec-12 20-Dec-12 Stock BANBAR ANDBAN View BUY SELL Strategy Long Fut Short Fut Reco 860.0 118.0 Target 886.0 115.0 SL Profit/Los 847.8 119.6 -3050.0 1200.0 Comment SL Trig Closed at 117.40

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Derivatives research product basket

Directional Long build up/Short covering Futures Short build up Futures High OI stocks delivery product Plain vanilla options Deep Value Strategy Hybrid Strategies Index/Stocks Rollover week product ( Long/Short rollover stocks) VWAP(expiry day product) Non-directional Theta & Vega strategies Delta differential strategy Option indicators analysis Gamma neutral delta neutral strategy Reverse, Synthetic options & Situational arbitrage Opportunity Matrix Calendar Spreads Ratio Spreads Quant products Pair trading Enhanced Basket VIX Analyser Quant Picks Volatility Insights

Pankaj Pandey

Head Research ICICIdirect.com Derivatives Desk

ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC Andheri (East), Mumbai 400 093 research@icicidirect.com

pankaj.pandey@icicisecurities.com

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