Derivative Report

India Research
Oct 21, 2011 Comments
The Nifty futures open interest increased by 0.75% while

Nifty Vs OI

Minifty futures open interest decreased by 12.16% as market closed at 5091.90 levels.
The Nifty Oct. future closed at a Premium of 10.95 point

against a Premium of 10.25 points. The November Series closed at a Premium of 27.80 points.
The Implied Volatility of at the money options is

increased from 21.85% to 23.66%.

The PCR-OI is decreased from 1.55 to 1.47. The total OI of the market is `1,36,793.60cr. And the

stock futures OI are `32,228.36cr.

Stocks where cost of carry is positive are GVKPIL, TTML,

VIDEOIND, TATAGLOBAL, and CUMMINSIND.

OI Gainers
SCRIP EXIDEIND 3IINFOTECH ULTRACEMCO STER RAYMOND OI 4608000 12032000 666750 27460000 1360000 OI CHANGE (%) 63.52 15.25 14.27 13.65 13.62 PRICE 121.30 25.55 1119.05 116.30 358.00 PRICE CHANGE (%) -7.69 -2.11 -0.44 -2.43 3.13

View
We have seen cash based selling by the FIIs

yesterday; they were net sellers worth of `472/- cr. In derivatives segment we have seen fresh short positions buildup in Index futures while in Index options they were net buyers and most of the buildup was visible in call options.
On Options front Nifty 5000-5200 call options have

OI Losers
SCRIP ADANIPOWER PUNJLLOYD SESAGOA MOSERBAER BRFL OI 9122000 22792000 12248000 2536000 1388000 OI CHANGE (%) -20.40 -17.10 -11.64 -10.70 -10.57 PRICE 85.75 54.30 209.15 26.10 276.15 PRICE CHANGE (%) 0.76 -1.72 -2.36 7.63 -0.61

added significant amount of open interest while in put options we have seen some buildup in 4500 strike price.
BANKNIFTY has witnessed unwinding in yesterdays

session, however rollovers are on the higher side just like last month, they are around 53%. NIFTY has seen average rollover of 36% so far.
SUZLON has been stabilizing around current levels

and has meaningful short positions standing in it. We are witnessing stock moving towards its strong support of `35. Buy with target of `41 with stop loss of `34.

Put-Call Ratio
SCRIP NIFTY SBIN INFY RELIANCE BANKNIFTY PCR-OI 1.47 0.63 1.62 0.73 1.32 PCR-VOL 1.01 0.43 1.39 0.72 1.00

Historical Volatility
SCRIP
EXIDEIND LICHSGFIN HDFC SREINFRA RANBAXY

HV
53.54 49.73 37.90 65.16 30.40 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 20-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 14356.53 52708.80 29696.32 1120.18 97881.82 Change (%) 3.53 5.98 1.38 -3.61 4.03

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

Instrument

3476.39

4086.31

(609.92) 3,177.27 (526.57) 15.36 2,056.14

566535 2070468 1219574 43586 3900163

Index Futures Stock Futures Index Options Stock Options Total

726907 847130 4610817 144668 6329522

17217.48 20820.12 117384.46 3759.99 159182.05

14.78 5.07 18.42 -0.62 15.58

17814.75 14637.48 5637.04 358.98 6163.61 343.62

27287.17 25231.02

Nifty Spot =5091.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 56.20 19.10 56.20 4.40 19.10 4.40 14.70 85.30 5214.70 51.80 148.20 5151.80 Risk 37.10 Reward 62.90 BEP 5137.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 51.95 21.30 51.95 8.80 21.30 8.80 12.50 87.50 4987.50 43.15 156.85 5056.85 Risk 30.65 Reward 69.35 BEP 5069.35

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

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 03-10-2011 10-10-2011 17-10-2011

Scrip NIFTY SBIN RCOM

Strategy Long Put Ladder Long Call Long Call

Status Continue Book Profit 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