Derivative Report

India Research
April 24, 2012 Comments
The Nifty futures open interest increased by 1.86% while

Nifty Vs OI

Minifty futures open interest is increased by 7.06% as market closed at 5200.60 levels.
The Nifty April future closed at a discount of 2.00 point

against a premium of 11.15 points. The May series closed at a premium of 32.20 points.
The Implied Volatility of at the money options is

increased from 17.03% to 23.44%

The PCR-OI has being decreased from 1.14 to 1.06

points.
The total OI of the market is `1,26,125/-cr. and the

stock futures OI are `29,920/-cr.

Few of the liquid counters where we have seen high cost-

of-carry are HCC, POWERGRID, HINDUNILVR, TTML and BANKINDIA.

OI Gainers
SCRIP BHARATFORG ASIANPAINT BIOCON EDUCOMP BOMDYEING OI 5066000 105875 2879000 3660000 864000 OI CHANGE (%) 32.79 23.83 16.46 14.05 11.92 PRICE 318.65 3471.00 236.30 193.35 517.45 PRICE CHANGE (%) -0.65 3.91 -2.54 -5.06 -5.63

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `408/- cr. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front significant amount of buildup was

visible in 5200-5400 call option, while in put option 5300-5400 strike price have seen some unwinding and 5000 put option have seen some buildup in open interest in yesterdays trading session.
The counter of HEROMOTOCO has seen decent

OI Losers
SCRIP PUNJLLOYD BFUTILITIE BPCL NMDC DHANBANK OI 29140000 692500 957000 1119000 2860000 OI CHANGE (%) -20.32 -17.02 -16.53 -15.67 -14.37 PRICE 53.45 407.20 674.65 172.20 63.30 PRICE CHANGE (%) -2.91 -5.82 -3.10 0.82 -5.66

buildup of long positions since the starting of this expiry. However the stock has seen some long unwinding pressure around its resistance level of `2200-2220 and followed by some short buildup in yesterdays trading session. We feel further long unwinding could come in this stock which could take the counter to around `2045. Hence we recommend to go short on this stock at around `2145-2155 with the stop loss of `2220.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.06 0.26 0.74 0.71 0.83 PCR-VOL 1.08 0.56 0.81 0.64 0.90

Historical Volatility
SCRIP
MCDOWELL-N ASIANPAINT ESCORTS IDEA FORTIS

HV
75.62 31.21 59.90 42.76 46.86 For Private Circulation Only 1

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FII Statistics for 23-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 11425.39 39378.87 23879.26 1267.05 75950.57 Change (%) 1.39 1.21 1.91 -7.05 1.31

Turnover on 23-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2081.40

2589.65

(508.25) 510.84 (177.33) 64.10 (110.64)

445597 1514480 871008 46171 2877256

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

545708 4612346 734508 247737 6140299

13460.52 122121.73 20655.07 6843.12 163080.44

0.32 13.80 18.95 5.76 12.81

20944.49 20433.65 4043.90 989.01 4221.22 924.92

28058.79 28169.43

Nifty Spot =5200.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 44.55 11.15 44.55 2.35 11.15 2.35 8.80 91.20 5308.80 42.20 157.80 5242.20 Risk 33.40 Reward 66.60 BEP 5233.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 46.05 14.65 46.05 4.20 14.65 4.20 10.45 89.55 5089.55 41.85 158.15 5158.15 Risk 31.40 Reward 68.60 BEP 5168.60

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 02-04-2012 09-04-2012 16-04-2012 23-04-2012

Scrip NIFTY TATAMOTORS HDFC SBIN

Strategy Ratio Put Spread Ratio Put Spread Call Hedge Long Put

Status Open Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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