Derivative Report

India Research
Aug 09, 2011 Comments
The Nifty futures open interest increased 4.47% while

Nifty Vs OI

Minifty futures open interest decreased by 0.60% as market closed at 5118.50 levels.
The Nifty Aug future closed at a premium of 7.70 points

against at par in the last trading session, while the Sep futures closed at a premium of 19.40 points.
The Implied Volatility of at the money options increased

from 24.50% to 28.85%.

The PCR-OI increased from 0.93 to 0.96 points. The total OI of the market is `124,480cr and the stock

futures OI is `30,753cr.
Few liquid stocks where CoC is positive are SUZLON,

MTNL, INDIAINFO, UCOBANK and PFC.

OI Gainers
SCRIP DHANBANK COALINDIA GUJFLUORO OIL JETAIRWAYS OI 524000 1252000 74500 32500 1007500 OI CHANGE (%) 291.04 37.89 29.57 26.21 12.51 PRICE 89.40 392.25 448.75 1347.20 430.50 PRICE CHANGE (%) -8.96 -0.17 -2.92 1.96 -1.57

View
FIIs formed some long positions in the Index futures

and covered some of their short positions in the stock futures though they continued their cash base selling. They were net sellers of `1,386cr in the cash market segment in last trading session.
Global cues are negative. US markets closed down

more than 5% and SGX Nifty is suggesting opening around 4900 levels.
Yesterday, significant unwinding was observed from

OI Losers
SCRIP TRIVENI CENTRALBK VOLTAS VIJAYABANK ESCORTS OI 2382000 4100000 3492000 10292000 4700000 OI CHANGE (%) -10.72 -9.69 -8.54 -8.53 -7.70 PRICE 30.75 107.80 133.15 59.65 84.40 PRICE CHANGE (%) 1.65 0.65 1.25 -0.17 -4.20

5200 and above Put options and significant build up was observed from the 4600 to 4800 Put options. Amongst call options, the 5100 and 5200 strike added huge open interest.
IV has increased significantly to 28.85% it means

participants are buying cover for their open positions. Although the IV is suggesting that the market is in oversold zone, global cues are suggesting further substantial downside quite likely.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN ICICIBANK BANKNIFTY PCR-OI 0.96 0.32 0.45 0.45 0.64 PCR-VOL 1.08 0.36 0.30 0.31 0.72

Historical Volatility
SCRIP
MOSERBAER SREINFRA DHANBANK TATAMOTORS TULIP

HV
67.04 74.12 58.63 48.60 35.33

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FII Statistics for 08-Aug-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 13934.87 43111.93 29805.67 453.47 87305.93 Change (%) 3.41 10.01 -0.81 9.38 21.99

Turnover on 08-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

4003.65

3876.66

126.99 546.65 531.66 (1.80) 1,203.49

545444 1684556 1189100 18377 3437477

Index Futures Stock Futures Index Options Stock Options Total

833424 589774 4950811 141373 6515382

20142.19 15472.97 129326.81 3960.03 168902.00

-6.44 -4.41 -19.85 -16.43 -17.13

20253.47 19706.82 2251.69 142.70 1720.04 144.50

26651.51 25448.01

Nifty Spot = 5118.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 89.70 52.10 89.70 27.50 52.10 27.50 24.60 75.40 5324.60 62.20 137.80 5262.20 Risk 37.60 Reward 62.40 BEP 5237.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 119.50 85.90 119.50 60.70 85.90 60.70 25.20 74.80 4974.80 58.80 141.20 5041.20 Risk 33.60 Reward 66.40 BEP 5066.40

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

Nifty Put-Call Analysis

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Derivative Report | India Research

Strategy Date 01-Aug-2011 08-Aug-2011

Scrip HINDALCO NIFTY

Strategy Bull Call Spread Short Strangle

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