Derivative Report

India Research
Sep 21, 2011 Comments
The Nifty futures open interest decreased 1.54% while

Nifty Vs OI

Minifty futures open interest increased by 15.16% as market closed at 5140.20 levels.
The Nifty Sep future closed at a premium of 16.50 point

against a premium of 5.20 points. The October Series closed at a Premium of 30.75 points.
The Implied Volatility of at the money options is

decreased from 26.08% to 23.97%.

The PCR-OI has increased from 1.48 to 1.53 points. The total OI of the market is `1, 40,985.20 cr. and the

stock futures OI is `31,358.62cr.

Stocks where cost of carry is positive are GLAXO,

TRIVENI, ALOKTEXT, FSL and JINDALSWHL.

OI Gainers
SCRIP BAJAJHIND LUPIN FORTIS SESAGOA ASHOKLEY OI 10764000 1552000 2164000 10049000 31192000 OI CHANGE (%) 30.13 27.84 24.37 17.71 17.05 PRICE 46.95 483.55 141.00 223.55 26.15 PRICE CHANGE (%) -4.28 2.04 -2.39 1.61 -1.69

View
Despite strong run up in market yesterday, FII's cash

base buying was not substantial. Index futures action on net basis was negligible. However they bought good amount of index options but again OI remained flat.
4900 to 5100 calls saw significant unwinding as

market crossed its resistance zone. On the other hand we are now witnessing put writers becoming active from 5000 to 5200 puts.
NHPC has seen around 10% addition in open

OI Losers
SCRIP BFUTILITIE ITC INDIANB IGL CIPLA OI 280000 18434000 596000 288000 4257000 OI CHANGE (%) -11.81 -11.27 -10.24 -9.43 -9.29 PRICE 542.40 198.50 209.30 438.05 282.40 PRICE CHANGE (%) 0.73 1.61 0.72 1.10 1.86

interest and volumes in futures segment surged significantly. We believe its formation of long positions. Traders can form long positions with target of `26.25 and stop loss of `23.75.
DENABANK in last 4-5 trading sessions have seen

strong volumes in cash market and substantial addition in open interest. We believe momentum may continue in this counter. Buy around `83-84 with target of `91 and stop loss of `79.50.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.53 0.57 1.46 1.95 0.51 PCR-VOL 1.11 0.48 0.86 1.21 0.87

Historical Volatility
SCRIP
ESCORTS HDFC ZEEL BATAINDIA SIEMENS

HV
71.40 33.92 38.29 37.24 27.35 For Private Circulation Only 1

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FII Statistics for 20-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 16301.68 61400.43 30392.88 1805.31 109900.30 Change (%) -0.26 -0.33 0.11 3.56 -0.13

Turnover on 20-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2710.89

2611.28

99.61 642.49 (321.36) (29.76) 390.98

638700 2389459 1201552 72282 4301993

Index Futures Stock Futures Index Options Stock Options Total

605280 535326 3961354 146338 5248298

14467.88 13535.92 100615.68 3656.73 132276.21

34.33 33.53 29.69 29.15 30.55

11029.27 10386.79 2165.02 364.62 2486.39 394.38

16269.81 15878.83

Nifty Spot =5140.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 54.85 22.60 54.85 8.20 22.60 8.20 14.40 85.60 5314.40 46.65 153.35 5246.65 Risk 32.25 Reward 67.75 BEP 5232.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 53.65 29.50 53.65 16.05 29.50 16.05 13.45 86.55 4986.55 37.60 162.40 5062.40 Risk 24.15 Reward 75.85 BEP 5075.85

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

Nifty Put-Call Analysis

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Strategy Date 29-Aug-2011 05-Sep-2011 12-Sep-2011 19-Sep-2011

Scrip ITC NIFTY BANKNIFTY IFCI

Strategy Covered Call Writing Ratio Put Spread Short Straddle Long Call

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