Derivative Report

India Research
Oct 07, 2011 Comments
The Nifty futures open interest decreased by 1.45% while

Nifty Vs OI

Minifty futures open interest increased by 0.74% as market closed at 4751.30 levels.
The Nifty Oct. future closed at a Premium of 18.00 point

against a Premium of 2.85 points. The November Series closed at a Premium of 30.80 points.
The Implied Volatility of at the money options is

decreased from 36.38% to 34.22%.

The PCR-OI has decreased from 1.39 to 1.35 points. The total OI of the market is `1,06,853.90cr. And the

stock futures OI are `25,149.45cr.

Stocks where cost of carry is positive are GLAXO,

SOBHA, MPHASIS, GUJFLUORO and GTOFFSHORE.

OI Gainers
SCRIP CUMMINSIND GUJFLUORO ABGSHIP ROLTA TTKPRESTIG OI 567000 666500 4018000 2608000 62125 OI CHANGE (%) 48.62 21.18 17.69 16.74 15.58 PRICE 397.20 503.05 381.80 70.30 2392.45 PRICE CHANGE (%) -0.70 -4.34 0.10 -9.17 -6.31

View
FII's continue to sell heavily in cash market but

these guys have barely formed short positions in index futures during this phase where markets have come down and cash selling is prominent. We have very positive global cues to deal with. SGXNIFTY is more than 150 points higher than our Nifty futures close.
Last trading session we didnt see much of activity in

OI Losers
SCRIP WIPRO ITC ALBK COALINDIA EXIDEIND OI 2693000 13380000 2150000 6058000 1496000 OI CHANGE (%) -8.90 -8.02 -7.53 -7.28 -6.62 PRICE 327.95 194.10 141.70 324.70 131.00 PRICE CHANGE (%) -1.68 1.28 -2.88 1.50 -0.76

options segment. Most addition in open interest was in 4400 strike. None of the strike in calls added more than 10,000 contracts.
As we will have significant gap up opening today, its

banking sector which has very high open interest and most of them being short positions. It is likely that after gap up opening too, BANKNIFTY may see upside move due to some short covering. This index can bounce back to 9200 levels in coming trading sessions.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.35 0.49 1.19 0.64 0.37 PCR-VOL 0.99 0.59 0.88 0.47 0.76

Historical Volatility
SCRIP
ROLTA TTKPRESTIG JISLJALEQS MAX ASIANPAINT

HV
71.37 66.45 70.40 59.94 22.50 For Private Circulation Only 1

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FII Statistics for 05-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12485.90 40808.36 25419.57 814.62 79528.45 Change (%) -2.40 2.81 -0.43 10.84 0.97

Turnover on 05-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2216.67

2142.14

74.53 (421.28) (137.75) 21.26 (463.23)

531134 1717965 1107923 34703 3391725

Index Futures Stock Futures Index Options Stock Options Total

657590 491263 2767792 112084 4028729

14526.03 11559.25 67500.21 2699.51 96285.00

-12.69 -3.44 -15.84 -11.58 -13.93

11574.67 11995.95 1584.54 430.91 1722.29 409.65

15806.80 16270.03

Nifty Spot =4751.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 135.25 89.20 135.25 54.75 89.20 54.75 34.45 65.55 4934.45 80.50 119.50 4880.50 Risk 46.05 Reward 53.95 BEP 4846.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 126.20 92.15 126.20 65.65 92.15 65.65 26.50 73.50 4573.50 60.55 139.45 4639.45 Risk 34.05 Reward 65.95 BEP 4665.95

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct. 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 03-10-2011

Scrip NIFTY

Strategy Long Put Ladder

Status Continue

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