Daily Derivatives Daily Deriv

09 October 2012 0 9 Oct obe r 201 2

Market Activity
o Nifty Futures gained 21 points (0.37%) to close at 5722.20. o Nifty September Future is trading at a premium of 18 points against a premium of 25. o Nifty Future Open Interest stands at 2.79 cr shares (- 0.35 lakh shares) -0.13% o Total open interest in Nifty call options is at 6.83 cr shares (+ 7.53 lakh shares) +1.11% o Total open interest in Nifty Put options is at 7.01 cr shares (+ 11.33 lakh shares) +1.64%

Market Statistics
Trade Data Symbol No. of Traded Contracts Index 3,32,083 Futures Stock 4,78,027 Futures Index 27,91,489 Options Stock 2,52,593 Options 38,54,192 Total Turnover in (Rs CR) 8,995.87 14,937.69 80,261.39 8,505.45 1,12,700.41 FNO FII Activity 09-OctSymbol 09-Oct2012 Index futures Index options Stock futures Stock options Total -6.88 -109.86 -87.38 -56.20 -260.31 08-Oct08-Oct2012 228.74 8.69 -433.95 -35.17 -231.68

Gross Open Interest SYMBOL OI (IN CR.) Fut Stock 34220.32 Nifty fut 16005.76 Fut Index 18349.60 Stock 208.93 options Index 3391.63 options Total 56170.48

OI IN SHARES 180.30 2.80 3.10 40.82 14.07 238.29

Sentiment Indicators For Nifty 09-OCT- 08-OCT09-OCT- 08-OCT2012 Particular 2012 PCR OI PCR Volume Implied volatility Implied call volatility Implied put volatility 1.03 1.09 16.10 15.41 16.73 1.02 0.98 16.34 15.93 16.75

M arkets Vie w M arkets View Markets are losing steam after a sharp rise in the previous series and it is consolidating around the 5700 levels. If markets break the fail to sustain the 5700 levels then it can correct till the 5600 and 5500 levels. PCR OI is caught in a range from 1.00 to 1.10 marks from past expiry. Result season will kick off with infy results on Friday which might ne the new trigger for the market.

Miraj Vora. Mira j Vora.

1 1

Derivative Analyst Derivative Analyst Derivative Analyst

Daily Derivatives Daily Deriv

09 October 2012 0 9 Oct obe r 201 2

Nifty Statistics & View

Nifty Open Interest Distribution
Open Interest With Implied Vol
12000000 10000000 8000000 6000000 4000000 2000000 0 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 10.00 5.00 0.00 call OI Put OI Implied Vol 25.00 20.00 15.00

Open interest View and comments Nifty has seen addition in 5600 and 5700 put by 5.9 lakh and 3.52 lakh shares respectively. Nifty 5700 put during the markets had an addition of near about 10 lakh shares but after the sudden fall in markets it saw some position liquidate. Nifty 5800 and 5900 call has seen addition of 3.9 and 5.4 lakh share respectively. Mean expiry for the series stands at 5700 with extreme ends at 5500 and 6000.

Change Nifty Change in Open Interest Change Strike Wise

Change in Open Interest 800000 600000 400000 200000 0 4300 4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 -200000 -400000
St rike P rice

Call OI

Put OI

7,000 6,000 NIFTY FUT 5,000 4,000 3,000 2,000 1,000 0

4-Jan-10

6000

NIFTY FUT WITH OPEN INTEREST IN SHARES FROM 2010

5.0 OI IN SHARES 4.0 3.0 2.0 1.0

OI IN SHARES

Nifty Fut

22 DMV (OI IN SHARES)

0.0

1-Apr-10 28-Jun-10 20-Sep-10 14-Dec-10 11-Mar-11 8-Jun-11

7-Sep-11 7-Dec-11 2-Mar-12 31-May-12 27-Aug-12

7,000 NIFTY FUT 6,000 5,000 4,000 3,000 2,000 1,000 0

NIFTY VS PCR OI SINCE 2010

2.50 2.00 1.50 1.00 0.50 PCR OI

NIFTY FUT

PCR oi

0.00

4-Jan-10 1-Apr-10 28-Jun-10 21-Sep-10 15-Dec-10 15-Mar-11 10-Jun-11 7-Sep-11 7-Dec-11 2-Mar-12 30-May-12 24-Aug-12

Miraj Vora. Mira j Vora.

2 2

Derivative Analyst Derivative Analyst Derivative Analyst

Daily Derivatives Daily Deriv

09 October 2012 0 9 Oct obe r 201 2

Sector Wise Statistics & View

Sector Analysis Sector Analysis Fertilizer sector saw good addition in OI with price slightly negative suggesting there can be short developing in the sector. Reality sector saw addition in OI of about 9% with minor rise in price which suggest that some long positions are building the sector.

Option Strategies Daily Strategies Stock Strategy Action

BEP

Risk

Reward

Miraj Vora. Mira j Vora.

3 3

Derivative Analyst Derivative Analyst Derivative Analyst