Derivative Report

May 15, 2012

Comments
The Nifty futures open interest increased by 2.90% while

Nifty Vs OI

Minifty futures open interest is increased by 4.32% as market closed at 4907.80 levels.
The Nifty May future closed at a discount of 19.55 point

against a premium of 2.45 points. The June series closed at a discount of 3.65 points.
The Implied Volatility of at the money options is

increased from 21.05% to 22.03%.

The PCR-OI has being decreased from 0.95 to 0.93

points.
The total OI of the market is `1,19,631/-cr. and the

stock futures OI are `24,631/-cr.

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

of-carry are ABGSHIP, TTML, GMRINFRA, LITL and HCC.

OI Gainers
SCRIP COLPAL EDUCOMP BPCL NCC JUBLFOOD OI 109750 3430000 1113000 5532000 851250 OI CHANGE (%) 28.36 13.92 13.22 12.62 12.15 PRICE 1215.80 155.50 713.85 34.00 1148.30 PRICE CHANGE (%) 2.94 -7.27 1.93 -4.90 1.52

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `355/- cr. On derivatives front they were net sellers in index futures with decent buildup in open interest indicating some shorts buildup by them, while in index options there was muted performance by them.
On options front buildup in call option was quite

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

scattered; there was some buildup seen in 4900, 5000 and 5200 call option however 5700 call option have seen some unwinding. While in put option 5000 strike price have seen decent unwinding in open interest in yesterdays trading session.

TTKPRESTIG CIPLA BOSCHLTD DIVISLAB IVRCLINFRA

62875 2476000 7000 837500 21372000

-16.17 -11.48 -9.68 -9.21 -8.76

3026.25 320.40 9004.30 881.85 45.20

4.57 0.47 0.05 7.29 -11.63

The recent fall in the counter of MARUTI was due to long unwinding followed by some fresh shorts seen in the stock in last few trading sessions. We feel the downward trend could continue in this counter as it has breached its crucial support of `1260-1265 and the cost-of-carry is also negative. Hence we recommend to go short with the target price of `1175 and stop loss at `1280.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.93 0.60 0.42 0.43 0.40 PCR-VOL 0.89 0.75 0.39 0.43 0.53

Historical Volatility
SCRIP ORCHIDCHEM DIVISLAB PRAJIND BOMDYEING IVRCLINFRA HV 84.31 41.74 66.32 72.51 87.78

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Derivative Report
May 15, 2012

FII Statistics for 14-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11285.24 39101.13 20679.50 1120.65 72186.53 Change (%) 4.26 (0.03) 0.87 5.95 0.99

Turnover on 14-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

596.53 9149.06 1162.64 625.22

923.59 9149.03 883.94 612.12

(327.06) 0.03 278.70 13.10 (35.23)

480881 1594353 889232 46670 3011136

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

324851 2040494 386695 148005 2900045

7464.02 51229.63 9151.38 3750.95 71595.97

-41.04 -45.99 -21.08 -16.93 -42.09

11533.45 11568.68

Nifty Spot =4907.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 87.25 46.20 87.25 21.90 46.20 21.90 24.30 75.70 5024.30 65.35 134.65 4965.35 Risk 41.05 Reward 58.95 BEP 4941.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 231.30 156.60 231.30 102.30 156.60 102.30 129.0 0 54.30 71.00 45.70 4771.00 4745.70 Risk 74.70 Reward 25.30 BEP 4825.30

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

Nifty Put-Call Analysis

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Derivative Report
May 15, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012

Symbol NIFTY NIFTY RELIANCE

Strategy Long Put Long Put Ladder Long Call

Status Profit booked on 04-05-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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