Derivative Report

May 22, 2012

Comments
The Nifty futures open interest decreased by 1.03% while

Nifty Vs OI

Minifty futures open interest is increased by 1.06% as market closed at 4906.05 levels.
The Nifty May future closed at a discount of 12.15 point

against a discount of 2.50 points. The June series closed at a premium of 5.40 points.
The Implied Volatility of at the money options is

increased from 21.35% to 22.30%.

The PCR-OI has being increased from 0.91 to 0.92

points.
The total OI of the market is `1,28,391/-cr. and the

stock futures OI are `25,730/-cr.

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

of-carry are ABGSHIP, COREEDUTEC and TTML. OI Gainers

SCRIP BATAINDIA SUNTV MRPL ONMOBILE POLARIS OI 1140000 897000 1752000 2644000 2328000

VIDEOIND,

BALRAMCHIN,

View
OI CHANGE (%) 22.12 20.40 16.49 15.56 14.57 PRICE 888.95 257.60 58.50 45.65 110.25 PRICE CHANGE (%) 2.14 -3.43 0.17 -5.68 -2.48 FIIs were net sellers in cash market segment; they

were net sellers worth of `80/- cr. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front 4900 call option have seen some

buildup in open interest, while in put option 4500 strike price have seen considerable amount of unwinding and 4600 put option have again seen some buildup in yesterdays trading session.
The counter

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

SBIN TATAMTRDVR ARVIND BGRENERGY BEML

5583500 8034000 3076000 1449000 155500

-9.30 -9.10 -8.12 -5.54 -5.18

2009.50 145.70 74.05 290.35 482.65

3.55 2.35 4.44 2.51 1.77

of AXISBANK has seen significant amount of short position getting buildup since the mid of April series. However the counter in last few trading session has seen some signs of short covering around its support of `940-950 levels. We feel the counter could see further short covering bounce back which could take the stock to around `1024. Hence go long with the stop loss of `930.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.92 0.58 0.58 0.41 0.36 PCR-VOL 0.84 0.75 0.52 0.33 0.57

Historical Volatility
SCRIP RELCAPITAL BOMDYEING BANKBARODA HAVELLS TATAPOWER HV 61.15 75.39 43.66 38.19 46.00

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Derivative Report
May 22, 2012

FII Statistics for 21-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12100.90 43646.48 21997.80 1418.82 79164.00 Change (%) 0.70 (0.36) 0.70 1.78 0.14

Turnover on 21-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1048.29

1595.09

(546.80) 409.01 79.45 (34.29) (92.62)

518126 1780367 933396 57825 3289714

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

383573 2979944 425930 216427 4005874

8780.32 73976.44 9941.54 5256.07 97954.37

-37.02 -38.08 -27.43 -39.96 -37.15

12599.65 12190.64 1383.73 977.32 1304.28 1011.60

16008.99 16101.61

Nifty Spot =4906.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 67.90 29.15 67.90 9.95 29.15 9.95 19.20 80.80 5019.20 57.95 142.05 4957.95 Risk 38.75 Reward 61.25 BEP 4938.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 76.00 38.70 76.00 18.40 38.70 18.40 20.30 79.70 4779.70 57.60 142.40 4842.40 Risk 37.30 Reward 62.70 BEP 4862.70

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 22, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012 21-05-2012

Symbol NIFTY NIFTY RELIANCE BANKNIFTY

Strategy Long Put Long Put Ladder Long Call Long Call

Status Profit booked on 04-05-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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