Derivative Report

India Research
Comments
The Nifty futures open interest increased by 1.77% while

Nifty Vs OI

Dec 05, 2011

Minifty futures open interest increased by 14.67% as market closed at 5050.15 levels.
The Nifty Dec. future closed at a Premium of 30.55 point

against a Premium of 26.90 points. The January Series closed at a Premium of 50.65 points.
The Implied Volatility of at the money options is

decreased from 22.72% to 21.80%.

The PCR-OI has increased from 1.21 points to 1.31

points.
The total OI of the market is `1,15, 296.91cr. and the

stock futures OI are `27,250.62cr.

Stocks were cost of carry is positive are RUCHISOYA,

KSOILS, TTML, HEXAWARE and WIPRO.

OI Gainers
SCRIP MRF ANDHRABANK SOUTHBANK GAIL PTC OI 39750 2252000 1289000 1529000 6364000 OI CHANGE (%) 30.86 25.53 25.39 23.51 14.13 PRICE 7392.15 100.40 22.25 398.45 50.90 PRICE CHANGE (%) 4.75 0.40 1.37 0.33 8.18

View
Cash base buying is visible by FII's where as in

futures segment they have shown continuation of short covering in index futures. They are also buying index options and we believe its more of put options.
4700 to 5100 calls have seen unwinding of positions

in last trading session while some built-up was visible in 5300 call. Interestingly 4900 to 5100 puts have shown significant built-up which we believe is more of buying but for hedging.
In last two trading session GAIL has added huge

OI Losers
SCRIP IBREALEST BEML HINDPETRO LUPIN IDEA OI 14548000 139000 3370000 815000 13660000 OI CHANGE (%) -13.61 -7.95 -7.90 -6.96 -6.49 PRICE 65.70 515.70 291.80 470.05 96.95 PRICE CHANGE (%) 2.26 2.26 5.42 0.98 5.04

open interest with rising cost of carry. `410 is resistance which we believe may be surpassed if these are actually long positions by strong hands. We suggest to go long with target of `421 and stop loss of `387.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.31 0.98 1.03 0.88 0.79 PCR-VOL 0.89 0.72 0.80 0.61 0.60

Historical Volatility
SCRIP
AMBUJACEM FEDERALBNK TATAPOWER MRF INDUSINDBK

HV
49.34 58.38 41.58 41.95 49.21 For Private Circulation Only 1

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FII Statistics for 02-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13133.87 44965.93 25996.60 662.92 84759.32 Change (%) -4.33 4.37 0.77 -0.92 1.74

Turnover on 02-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2415.71

1784.46

631.25 775.55 (394.04) 0.38 1,013.15

524605 1780765 1115699 27481 3448550

Index Futures Stock Futures Index Options Stock Options Total

603261 506921 3357031 147517 4614730

14001.34 11659.79 84448.92 3426.77 113536.82

2.72 -7.51 0.53 9.83 0.15

14901.55 14126.00 1005.58 402.75 1399.62 402.36

18725.58 17712.43

Nifty Spot =5050.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 105.65 62.25 105.65 33.25 62.25 33.25 29.00 71.00 5229.00 72.40 127.60 5172.40 Risk 43.40 Reward 56.60 BEP 5143.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 83.90 56.65 83.90 38.70 56.65 38.70 17.95 82.05 4882.05 45.20 154.80 4954.80 Risk 27.25 Reward 72.75 BEP 4972.75

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 28-11-2011

Scrip RELINFRA

Strategy Long Call

Status Did not triggered

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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