Derivative Report

India Research
April 25, 2012 Comments
The Nifty futures open interest increased by 3.04% while

Nifty Vs OI

Minifty futures open interest is decreased by 1.15% as market closed at 5222.65 levels.
The Nifty April future closed at a premium of 1.70 point

against a discount of 2.00 points. The May series closed at a premium of 38.30 points.
The Implied Volatility of at the money options is

decreased from 23.44% to 20.86%

The PCR-OI has being increased from 1.06 to 1.07

points.
The total OI of the market is `1,28,254/-cr. and the

stock futures OI are `30,709/-cr.

Few of the liquid counters where we have seen high

rollovers are ABGSHIP, PUNJLLOYD, HDFC, MARUTI and ALOKTEXT.

OI Gainers
SCRIP ASIANPAINT CANBK AMBUJACEM BPCL GESHIP OI 166625 1283500 11404000 1174000 221000 OI CHANGE (%) 57.38 31.17 26.37 22.68 21.43 PRICE 3462.00 471.60 150.55 687.60 254.10 PRICE CHANGE (%) -0.26 0.07 -4.62 1.92 0.85

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `861/- cr. On derivatives front not much of activity was observed by them, however they were net sellers in both index futures and in index options but the quantum of selling was quite minimal.
On options front not much of buildup was seen in

OI Losers
SCRIP FORTIS NATIONALUM PETRONET TTKPRESTIG CROMPGREAV OI 5286000 732000 5708000 90500 4520000 OI CHANGE (%) -27.77 -27.38 -14.32 -12.56 -11.13 PRICE 106.35 60.10 146.80 3435.50 130.65 PRICE CHANGE (%) 1.48 8.00 -0.61 -3.73 3.81

any of the strike price except 5000 put option where we have seen some buildup in open interest. However good amount of unwinding was observed in 5400 call option, while in put option 5100 and 5300 strike price have seen some unwinding in open interest in yesterdays trading session.

We have seen good amount of buildup in the counter of ONGC in last 4-5 trading session and price activity has also being very much flat. We feel majority of the buildup in the counter is on the shorter side as cost-of-carry is also quite low. Hence we recommend to go short on this stock with the target price of `254 and stop loss at `275.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.07 0.29 0.72 0.72 0.74 PCR-VOL 0.99 0.56 0.63 0.62 1.10

Historical Volatility
SCRIP
TCS UNIPHOS WIPRO ULTRACEMCO COLPAL

HV
64.43 44.81 32.91 28.27 31.13 For Private Circulation Only 1

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FII Statistics for 24-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 11964.70 39956.90 24154.34 1214.07 77290.02 Change (%) 4.45 1.04 0.66 -5.23 1.35

Turnover on 24-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

5273.75

5306.58

(32.83) (7.99) 138.79 (8.08) 89.88

465421 1530267 876781 43757 2916226

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

643439 3753825 1012629 244077 5653970

16136.01 98697.23 28332.90 6957.17 150123.31

19.88 -19.18 37.17 1.67 -7.95

16932.89 16940.87 7338.53 761.75 7199.74 769.84

30306.92 30217.03

Nifty Spot =5222.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 9.15 1.30 9.15 0.45 1.30 0.45 0.85 99.15 5400.85 8.70 191.30 5308.70 Risk 7.85 Reward 92.15 BEP 5307.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 26.40 6.10 26.40 1.30 6.10 1.30 4.80 95.20 5095.20 25.10 174.90 5174.90 Risk 20.30 Reward 79.70 BEP 5179.70

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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