Derivative Report

India Research
Sep 22, 2011 Comments
The Nifty futures open interest decreased 3.23% while

Nifty Vs OI

Minifty futures open interest increased by 2.70% as market closed at 5133.25 levels.
The Nifty Sep future closed at a premium of 8.05 point

against a premium of 16.50 points. The October Series closed at a Premium of 23.20 points.
The Implied Volatility of at the money options is

increased from 23.97% to 24.69%.

The PCR-OI has increased from 1.53 to 1.55 points. The total OI of the market is `1, 42,034.20 cr. and the

stock futures OI is `31,552.43cr.

Stocks where cost of carry is positive are TRIVENI, FSL,

AREVAT&D, SREINFRA and ADANIENT.

OI Gainers
SCRIP ARVIND BEML BOMDYEING FORTIS TITAN OI 3988000 289000 453000 2450000 10620000 OI CHANGE (%) 38.66 21.68 14.39 13.22 11.44 PRICE 98.15 491.70 358.75 139.05 235.75 PRICE CHANGE (%) 5.31 2.28 5.05 -1.38 3.90

View
Nibbling in cash market continued by FII's in

yesterdays session too. Significant buying was visible in index options by them. In index futures some unwinding was taken place by them too along with overall market.
4700 put has reduced open interest and 4800 put

OI Losers
SCRIP INDIANB INDIAINFO EXIDEIND EDUCOMP LUPIN OI 492000 2472000 2176000 3680500 1402000 OI CHANGE (%) -17.45 -15.23 -14.33 -11.18 -9.66 PRICE 210.40 75.60 137.05 245.25 487.80 PRICE CHANGE (%) 0.53 -2.89 3.05 0.84 0.88

has added 22243 contracts. We believe its squaring off of long 4700 put and shorting of 4800 put. Thus 4800 looks now very strong support overall for market even in case of distress selling.
INFY's bounce from lower levels of sub `2300 was

due to short covering. It has now found difficult to go above `2450 levels. Short around current levels with target of `2295 and stop loss of `2468.
JPASSOCIAT did see formation of long positions in its

recent run-up. Yesterday there was some unwinding with reducing CoC though prices went up. Ultra short term traders can expect some long unwinding and can trade with negative bias in it.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.55 0.59 1.86 1.35 0.54 PCR-VOL 1.08 0.45 0.95 0.90 0.74

Historical Volatility
SCRIP
BAJAJHIND HEROMOTOCO BOMDYEING BRFL INDIACEM

HV
72.03 33.46 53.54 15.17 62.67 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 21-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15522.62 61635.99 30592.45 1772.49 109523.54 Change (%) -4.62 0.51 0.73 -1.85 -0.23

Turnover on 21-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1640.63

1729.60

(88.96) 975.02 (292.33) 9.33 603.06

609161 2401758 1210378 70943 4292240

Index Futures Stock Futures Index Options Stock Options Total

488352 532562 3237694 128489 4387097

11776.26 13868.72 82962.87 3374.94 111982.80

-18.60 2.46 -17.54 -7.71 -15.34

11057.11 10082.09 2450.35 356.37 2742.68 347.04

15504.47 14901.41

Nifty Spot =5133.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 47.20 19.00 47.20 6.50 19.00 6.50 12.50 87.50 5312.50 40.70 159.30 5240.70 Risk 28.20 Reward 71.80 BEP 5228.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 57.15 30.30 57.15 15.20 30.30 15.20 15.10 84.90 4984.90 41.95 158.05 5058.05 Risk 26.85 Reward 73.15 BEP 5073.15

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

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

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

Status Continue Continue Continue Continue

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539