Derivative Report

Aug 07, 2012

Comments
The Nifty futures open interest increased by 0.71% while

Nifty Vs OI

BankNifty futures open interest is increased by 2.20% as market closed at 5282.55 levels.
The Nifty Aug. future closed at premium of 14.30 point

against premium of 25.35 points. The Sept. series closed at a premium of 39.80 points.
The Implied Volatility of at the money options is

decreased from 14.63% to 14.10%.

Nifty PCR-OI decreased from 1.11 to 1.08 levels. The total OI of the market is `1,26,151/-cr. and the

stock futures OI are `29,308/-cr.

Few of the

liquid counters where we have seen high Cost-of-Carry are MTNL, JSWISPAT, ALOKTEXT, JISLJALEQS and SIEMENS. View

OI Gainers
SCRIP BOMDYEING ANDHRABANK GSPL SIEMENS HAVELLS OI 584000 1508000 3780000 588000 919500 OI CHANGE (%) 32.13 20.83 16.52 15.86 12.48 PRICE 532.70 99.70 75.20 679.65 550.00 PRICE CHANGE (%) 5.56 -1.92 4.23 0.56 -0.70

FIIs were net buyers in cash market segment; they

were net buyers worth of `556/- cr. On derivatives front they were net buyers in index futures with some buildup in open interest indicating long buildup by them and in index options also they were net buyers however the quantum of buying was quite minimal.
On options front 5400 and 5600 call option has

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

seen decent buildup in open interest followed by considerable amount of unwinding in 4900-5200 call option, while in put option 5300 strike price has seen significant amount of buildup and 4700 put option has seen decent amount of unwinding in yesterdays trade.
We have seen good amount of short positions getting

SUNTV FINANTECH INDIANB CUMMINSIND DIVISLAB

1843000 1739500 203000 318500 535500

-16.91 -13.03 -12.50 -10.53 -10.45

280.80 789.80 176.70 468.20 1127.65

3.77 3.29 1.52 0.07 0.18

buildup in IBREALEST since last few trading sessions. The counter has seen taking support at around `5355 odd levels and in yesterdays trading session the stock has seen some long buildup with increase in CoC. Hence we feel a mix of long buildup and short covering rally could come in this stock which could take the counter to around `62. Go long with the stop loss of `53.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.08 0.79 0.71 0.81 0.80 PCR-VOL 0.95 1.08 0.69 0.38 0.43

Historical Volatility
SCRIP RELIANCE BOMDYEING GSPL RECLTD BALRAMCHIN HV 33.32 44.89 35.49 54.92 66.90

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Derivative Report
Aug 07, 2012

FII Statistics for 06-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14194.41 40346.32 24097.99 1579.46 80218.17 Change (%) 1.94 0.62 0.35 8.87 0.92

Turnover on 06-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1233.79 8310.23 1406.40 932.00

852.53 8230.38 791.54 988.98

381.26 79.85 614.86 (56.98) 1018.99

549719 1527984 899979 57821 3035503

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,96,977 3,80,182 24,51,613 1,74,246 33,03,018

7380.76 10819.53 64788.26 5290.95 88279.51

-28.40 -9.44 -11.26 7.21 -11.90

11882.42 10863.43

Nifty Spot =5282.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 75.15 35.25 75.15 13.30 35.25 13.30 21.95 78.05 5421.95 61.85 138.15 5361.85 Risk 39.90 Reward 60.10 BEP 5339.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 78.20 42.70 78.20 22.60 42.70 22.60 20.10 79.90 5179.90 55.60 144.40 5244.40 Risk 35.50 Reward 64.50 BEP 5264.50

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 07, 2012

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

Symbol AXISBANK NIFTY

Strategy Long Call ladder Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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