Derivative Report

India Research

Jan 27, 2012

SEBI Registration No: INB 010996539

For Private Circulation Only

Comments

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The Nifty futures open interest decreased by 0.69% whileMinifty futures open interest increased by 1.94% asmarket closed at 5158.30 levels.

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The Nifty Jan. future closed at a Premium of 23.25 pointagainst a Premium of 20.95 points. The February Seriesclosed at a Premium of 44.60 points.

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The Implied Volatility of at the money options isdecreased from 21.83% to 19.28%.

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The PCR-OI has being increased from 1.76 to 1.85points.

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The total OI of the market is

`1,49,465/-cr

. and thestock futures OI are

`33,745/-

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Few of the liquid counters where we have seen high cost-of-carry are BRFL, GVKPIL, WELCORP, SKUMARSYNFand JISLJALEQS.

Nifty Vs OIOI Gainers

SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)VIDEOIND

12018000 44.48 186.40 0.70

GMDCLTD

472000 37.21 185.05 2.78

BEML

260500 33.59 528.75 -0.19

BRFL

1166000 33.56 265.65 1.41

GESHIP

512000 29.62 248.70 8.44

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.85 1.04BANKNIFTY 1.99 0.83SBIN 1.69 0.62INFY 0.30 0.34RELIANCE 0.94 0.50

View

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Good amount of buying was visible by FII’s in cashmarket segment; they were net buyer’s worth of

1147/- cr. on Wednesday’s trading session. Onderivatives front they were net sellers in index futures,while in index options they were net buyers.

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On options front in February series some buildup wasvisible in 5200 and 5300 call option, while in putoption 5000 and 5100 strike price have seenmaximum buildup of open interest on Wednesdaystrading session.

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The counter of TECHM has seen lowest rollovercompared to its last month indicating lot of the shortpositions has not carried forward. Off late we havealso seen formation of long position in this stock andwe expect the counter to reach its resistance level of

660. Go long with the stop loss of

619.

Historical Volatility

SCRIP HV

SCI 66.40MCDOWELL-N 92.96GESHIP 57.32HEXAWARE 46.61ZEEL 33.13

OI Losers