Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.28% while

May 02, 2011

Nifty Vs OI

Minifty futures open interest increased by 10.24% as market closed at 5701.30 levels.
The Nifty May future closed at a premium of 24.10

points, against a premium of 4.30 points in the last trading session. On the other hand, Jun future closed at a premium of 38.55 points.
The PCR-OI decreased from 1.34 to 1.18 levels. The Implied volatility of At-the-money options decreased

from19.75% to 19.00%.
The total OI of the market is `1,14,282cr and the stock

futures OI is `33,484cr.
Few liquid counters where cost of carry is positive are

GTLINFRA, KSOILS, FSL, DISHTV and ABIRLANUVO.

OI Gainers
SCRIP IOB BANKINDIA ALBK IDFC RAYMOND OI 5034000 1444000 2671000 22118000 155000 OI CHANGE (%) 202.52 53.94 36.14 14.27 13.97 PRICE 160.55 420.30 198.35 140.05 351.00 PRICE CHANGE (%) 5.24 -8.05 -3.29 -3.61 -0.43

View
FIIs formed short positions in the Index futures and

the Stock futures. They were net sellers of `261cr in the cash segment.
In the last trading session significant build up was

observed in most of the call options while highest unwinding was observed in the 5400 put.
After less rollover in MARUTI, some shorting was

OI Losers
SCRIP SAIL BATAINDIA IGL TVSMOTOR MPHASIS OI 8260000 449000 388000 6560000 699500 OI CHANGE (%) -14.13 -10.38 -8.27 -7.50 -7.41 PRICE 158.85 425.80 323.85 56.50 470.10 PRICE CHANGE (%) -0.28 -0.46 0.73 0.27 0.43

observed in the stock. We may see further correction in the counter up to `1230. Traders can trade with negative bias with a stop loss of `1305.
ADANIENT is consolidating around current levels

since 5-6 trading sessions. Some buying has been observed in the stock. We may see a positive move up to `660. Trading with positive bias is advisable around `630. Keep a stop loss of `617.

Put-Call Ratio
SCRIP NIFTY RELIANCE INFOSYSTCH SBIN BANKNIFTY PCR-OI 1.18 0.44 0.31 0.58 1.13 PCR-VOL 0.86 0.27 0.21 0.48 0.57

Historical Volatility
SCRIP
BANKINDIA CANBK SRTRANSFIN ADANIPOWER POWERGRID

HV
53.24 37.21 38.05 25.88 17.89

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FII Statistics for 02-May-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 16178.73 40019.57 30416.57 250.95 86865.82 Change (%) 3.82 2.29 0.75 24.43 31.29

Turnover on 02-May-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1525.18 5985.54 1218.43 177.59

2443.56 6016.16 1470.51 185.78

(918.38) (30.61) (252.08) (8.18)

565941 1403913 1209148 9478 3188480

Index Futures Stock Futures Index Options Stock Options Total

425348 436763 2154738 83034 3099883

11362.18 11799.43 62704.01 2269.35 88134.97

-14.00 -13.94 -12.25 -14.50 -12.77

8906.75 10116.01 (1,209.25)

Nifty Spot = 5701.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 77.70 43.60 77.70 21.70 43.60 21.70 21.90 78.10 5921.90 56.00 144.00 5856.00 Risk 34.10 Reward 65.90 BEP 5834.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 102.45 65.50 102.45 40.20 65.50 40.20 25.30 74.70 5574.70 62.25 137.75 5637.75 Risk 36.95 Reward 63.05 BEP 5663.05

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 02-May-2011

Scrip BANKNIFTY

Strategy Ratio Put Spread

Status Continue

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Derivative Research Team

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derivatives.desk@angelbroking.com 3