Derivative Report

India Research
Oct 19, 2011 Comments
The Nifty futures open interest decreased by 0.69% while

Nifty Vs OI

Minifty futures open interest decreased by 8.53% as market closed at 5037.50 levels.
The Nifty Oct. future closed at a Premium of 7.36 point

against a Discount of 2.40 points. The November Series closed at a Premium of 23.01 points.
The Implied Volatility of at the money options is

increased from 23.05% to 24.70%.

The PCR-OI is unchanged to 1.48. The total OI of the market is `1,28,482.30cr. And the

stock futures OI are `31,128.36cr.

Stocks where cost of carry is positive are JSWISPAT,

TRIVENI, CHAMBLFERT, PIRHEALTH and TTML.

OI Gainers
SCRIP PATNI CHAMBLFERT JINDALSAW EXIDEIND BANKBARODA OI 966500 8076000 2606000 2218000 2294500 OI CHANGE (%) 97.24 77.11 39.06 27.47 17.62 PRICE 337.35 88.15 133.10 134.15 746.10 PRICE CHANGE (%) 15.61 -13.02 -0.49 -2.68 -1.82

View
FIIs were net sellers in all segments. Cash market

they sold, along with some shorts in index futures bought some options and even stock futures they were sellers but quantum of this selling was very less.
5100

put has seen substantial unwinding. Participants who wrote these puts seem to have covered their positions. 5000 call saw substantial built-up in it. We believe its more of buying in it. despite yesterdays correction. We are taking it as formation of long positions. Go long positional for target of `972 and stop loss of `837.

OI Losers
SCRIP COLPAL SINTEX BRFL LUPIN SOUTHBANK OI 165750 4160000 1641000 1120000 1998000 OI CHANGE (%) -17.64 -8.13 -7.71 -7.67 -7.50 PRICE 999.40 119.30 278.00 467.55 23.05 PRICE CHANGE (%) -0.06 2.10 -0.16 0.75 -1.07

ICICIBANK continues to add significant positions

INDHOTEL is very near to its strong support zone of

`68-66. Some formation of long positions is visible. Here too we suggest going long with target price of `76 and stopping loss of around `66.

Put-Call Ratio
SCRIP NIFTY SBIN INFY RELIANCE BANKNIFTY PCR-OI 1.48 0.54 1.59 0.68 1.31 PCR-VOL 1.10 0.53 1.49 0.68 1.22

Historical Volatility
SCRIP
PATNI CHAMBLFERT HCLTECH TCS GMDCLTD

HV
82.04 86.29 67.71 57.25 54.56 For Private Circulation Only 1

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FII Statistics for 18-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13571.12 47737.76 28494.08 1147.13 90950.09 Change (%) 0.10 3.05 2.96 -2.36 2.50

Turnover on 18-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2439.40

2668.82

(229.42) 311.02 (319.44) 15.69 (222.15)

543271 1895497 1184606 45777 3669151

Index Futures Stock Futures Index Options Stock Options Total

555911 646644 3511755 161868 4876178

13072.68 16053.24 88942.73 4317.74 122386.39

20.03 28.66 10.10 14.78 13.41

11243.89 10932.87 3865.47 455.24 4184.91 439.54

18003.99 18226.14

Nifty Spot =5037.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 40.80 13.95 40.80 3.80 13.95 3.80 10.15 89.85 5210.15 37.00 163.00 5137.00 Risk 26.85 Reward 73.15 BEP 5126.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 95.80 50.10 95.80 24.50 50.10 24.50 25.60 74.40 4974.40 71.30 128.70 5028.70 Risk 45.70 Reward 54.30 BEP 5054.30

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 10-10-2011 17-10-2011

Scrip NIFTY SBIN RCOM

Strategy Long Put Ladder Long Call Long Call

Status Continue Book Profit Continue

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