Derivative Report

India Research
March 28, 2012 Comments
The Nifty futures open interest increased by 1.75% while

Nifty Vs OI

Minifty futures open interest in decreased by 3.91% as market closed at 5243.15 levels.
The Nifty March future closed at a premium of 8.60 point

against a premium of 7.05 points. The April series closed at a premium of 52.70 points.
The Implied Volatility of at the money options is

decreased from 27.52% to 26.40%.

The PCR-OI has being increased from 1.03 to 1.08

points.
The total OI of the market is `1,49,163/-cr. and the

stock futures OI are `31,880/-cr.

Few of the liquid counters where we have seen high

rollover are ABGSHIP, COREEDUTEC, BHARATFORG, GUJFLUORO and PUNJLLOYD.

OI Gainers
SCRIP BOMDYEING IRB CUMMINSIND COALINDIA ORIENTBANK OI 780000 2150000 195000 6746000 1585000 OI CHANGE (%) 43.38 25.29 16.77 15.20 13.62 PRICE 563.90 177.70 464.30 330.90 253.75 PRICE CHANGE (%) 7.80 -1.47 -0.62 -0.32 -2.05

View
FIIs were net buyers in cash market segment,

however the quantum of buying was quite minimal; they were net buyers worth of `43/-cr. in yesterdays trading session. On derivatives front they were net sellers in both index futures and in index options.
On options front not much of buildup was visible in

OI Losers
SCRIP INDUSINDBK INDIANB GLAXO ALBK FEDERALBNK OI 2477000 290000 12375 1906000 569000 OI CHANGE (%) -14.65 -13.43 -13.16 -12.00 -11.65 PRICE 308.20 226.50 2200.20 189.75 424.60 PRICE CHANGE (%) 0.44 -0.53 0.48 0.88 -0.48

call option, however good amount of unwinding was observed in 5200-5300 call option. While in put option 5000 strike price have seen some unwinding and 5300 strike price have seen some buildup in open interest in yesterdays trading session.
The counter of ASHOKLEY have seen decent amount

of long buildup with negative cost-of-carry since last few trading session. However the counter has some resistance at around `30-31 levels and hence we expect some long unwinding pressure could come in this stock which could take the counter to around `26. Hence we recommend to go short at `29-29.50 levels with the stop loss of `31.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.08 0.41 0.56 0.31 0.66 PCR-VOL 1.00 0.62 0.66 0.33 0.58

Historical Volatility
SCRIP
HINDUNILVR INDIACEM CIPLA SRTRANSFIN JINDALSAW

HV
26.88 70.73 36.97 48.51 44.07 For Private Circulation Only 1

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FII Statistics for 27-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 19589.54 53282.76 29721.49 1433.54 104027.34 Change (%) 10.34 -1.66 -2.66 -0.54 0.17

Turnover on 27-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

5827.30

6383.15

(555.84) (802.21) 673.01 54.12 (630.92)

748512 2032657 1051463 52336 3884968

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

1002229 5916126 976899 150601 8045855

24875.75 156021.21 28062.34 4338.41 213297.71

36.03 17.57 31.45 1.85 20.78

22870.96 23673.17 7596.13 521.66 6923.11 467.54

36816.05 37446.97

Nifty Spot =5243.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 23.50 4.75 23.50 0.95 4.75 0.95 3.80 96.20 5403.80 22.55 177.45 5322.55 Risk 18.75 Reward 81.25 BEP 5318.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 24.00 7.95 24.00 3.10 7.95 3.10 4.85 95.15 5095.15 20.90 179.10 5179.10 Risk 16.05 Reward 83.95 BEP 5183.95

Note: Above mentioned Bullish or Bearish Spreads in Nifty (March. 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 27-02-2012 05-03-2012 12-03-2012 19-03-2012 26-03-2012

Scrip NIFTY HINDALCO DLF M&M TATAMOTORS

Strategy Ratio Bull Call Spread Long Put Ladder Covered Call Long Call Ladder Ratio Put Spread

Status Open Profit booked on 26-March-2012 Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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