Derivative Report

Aug 17, 2012

Comments
The Nifty futures open interest decreased by 0.22% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.12% as market closed at 5362.95 levels.
The Nifty Aug. future closed at premium of 19.05 point

against premium of 26.50 points. The Sept. series closed at a premium of 46.60 points.
The Implied Volatility of at the money options is

increased from 12.60% to 13.25%.

Nifty PCR-OI decreased from 1.21 to 1.18 levels. The total OI of the market is `1,44,784/- cr. and the

stock futures OI are `31,654/- cr.

Few of the

liquid counters where we have seen high Cost-of-Carry are ALOKTEXT, MTNL, COREEDUTEC, RUCHISOYA and VIDEOIND. View

OI Gainers
SCRIP LUPIN ABIRLANUVO OPTOCIRCUI TECHM MRF OI 1443000 805250 4722000 692000 92375 OI CHANGE (%) 35.18 16.37 12.48 10.63 10.13 PRICE 556.05 804.55 143.65 845.45 10850.30 PRICE CHANGE (%) -3.45 3.94 -3.10 3.43 1.19

FIIs were net buyers in cash market segment; they

were net buyers worth of `95/- cr. only. On derivatives front they were net sellers in index futures however the quantum of selling was quite minimal, while in index options also they were net sellers in yesterdays trade.
On options front 5600 call option has seen good

amount of buildup in open interest , while in put option not much of buildup was observed however some unwinding was seen in 5000 strike price in yesterdays trading session.
The recent bounce in INFY was mainly due to short

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

JETAIRWAYS RANBAXY APOLLOTYRE VOLTAS INDIANB

1845000 2054500 7960000 1870000 170000

-16.10 -10.96 -10.28 -9.92 -8.60

380.25 512.10 89.15 111.75 174.00

-4.03 1.80 1.48 0.13 0.26

covering and the counter has not seen much of the long positions getting buildup at lower levels. The cash market volume in this stock for last 3-4 trading session has also being quite low indicating lack of conviction in the recent upside move. We feel the counter could see some selling pressure at higher level which could take the stock to around `2220. Go short with the stop loss of `2365

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK BHARTIARTL PCR-OI 1.18 0.83 0.36 0.81 0.21 PCR-VOL 1.06 0.94 0.41 0.46 0.18

Historical Volatility
SCRIP JISLJALEQS ITC ABIRLANUVO UNIPHOS DABUR HV 63.04 28.79 30.79 27.98 29.50

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Derivative Report
Aug 17, 2012

FII Statistics for 16-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16753.62 47218.31 25312.30 2301.38 91585.62 Change (%) 0.59 1.66 (0.12) 2.72 0.99

Turnover on 16-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

758.60 9506.35 1009.30 993.39

772.75 9981.58 1350.45 1048.83

(14.15) (475.24) (341.15) (55.44) (885.97)

648277 1762404 934202 83886 3428769

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,49,873 23,03,937 4,08,926 2,16,823 31,79,559

6380.92 61917.71 11596.64 6310.97 86206.24

-26.03 -22.79 -7.59 -16.68 -20.87

12267.64 13153.61

Nifty Spot =5362.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 45.10 13.95 45.10 3.10 13.95 3.10 10.85 89.15 5510.85 42.00 158.00 5442.00 Risk 31.15 Reward 68.85 BEP 5431.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 62.85 25.55 62.85 10.20 25.55 10.20 15.35 84.65 5284.65 52.65 147.35 5347.35 Risk 37.30 Reward 62.70 BEP 5362.70

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
Aug 17, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012

Symbol AXISBANK NIFTY DLF

Strategy Long Call ladder Bull Call Spread Ratio Call Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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