Derivative Report

Aug 09, 2012

Comments
The Nifty futures open interest increased by 2.38% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.73% as market closed at 5338.00 levels.
The Nifty Aug. future closed at premium of 16.75 point

against premium of 11.00 points. The Sept. series closed at a premium of 42.20 points.
The Implied Volatility of at the money options is

increased from 14.12% to 14.19%.

Nifty PCR-OI increased from 1.15 to 1.17 levels. The total OI of the market is `1,34,059/-cr. and the

stock futures OI are `29,640/-cr.

Few of the

liquid counters where we have seen high Cost-of-Carry are TTML, MTNL, FORTIS, JPPOWER and JSWENERGY. View

OI Gainers
SCRIP BHARTIARTL VIPIND TECHM HINDZINC AUROPHARMA OI 18405000 2952000 558000 1202000 3822000 OI CHANGE (%) 34.23 13.45 12.50 11.92 11.62 PRICE 274.90 78.35 764.60 119.45 110.85 PRICE CHANGE (%) -6.72 2.69 0.56 -0.13 -1.25

FIIs were net buyers in cash market segment; they

were net buyers worth of `1,114/- cr. On derivatives front they were net buyers in index futures with decent buildup in open interest indicating some long buildup by them, while in index options also they were net buyers in yesterdays trade.
On options front not much of buildup was observed

in call option however decent unwinding was seen in 5300-5500 call option, while in put option 52005300 put option continues to see considerable amount of buildup in open interest followed by some unwinding in 4800 put option in yesterdays trade.
The counter of LT has seen good amount of long

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

JETAIRWAYS SUNTV INDIANB BOMDYEING CUMMINSIND

1814000 1452000 164000 583500 255000

-21.16 -18.47 -18.41 -15.68 -14.29

376.30 294.70 179.50 509.75 486.15

-3.02 1.94 -0.06 -3.52 2.91

buildup in last few trading session. We feel the upward trend could continue in this stock as the long buildup was with decent volume in cash market segment. Hence we recommend to go long with the target price of `1450 and stop loss at `1372.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.17 0.84 0.78 0.86 0.81 PCR-VOL 0.95 1.14 0.84 0.55 0.80

Historical Volatility
SCRIP BHARTIARTL M&M SOBHA IDEA HEXAWARE HV 44.61 26.94 46.00 38.88 38.11

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Derivative Report
Aug 09, 2012

FII Statistics for 08-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15419.46 42997.65 24381.68 1780.98 84579.78 Change (%) 1.91 2.04 (0.03) 0.98 1.39

Turnover on 08-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1785.33

1075.36

709.97 145.57 159.05 6.36 1020.96

597522 1611708 905106 64109 3178445

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,87,815 4,79,291 32,12,720 2,21,292 43,01,118

9827.54 13405.6 86125 6505.33 115863.47

5.03 7.85 4.72 -1.59 4.72

12264.70 12119.13 1357.98 1026.71 1198.93 1020.35

16434.72 15413.76

Nifty Spot =5338.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 52.05 21.40 52.05 7.90 21.40 7.90 13.50 86.50 5513.50 44.15 155.85 5444.15 Risk 30.65 Reward 69.35 BEP 5430.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 53.10 27.50 53.10 14.05 27.50 14.05 13.45 86.55 5186.55 39.05 160.95 5260.95 Risk 25.60 Reward 74.40 BEP 5274.40

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 09, 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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