Derivative Report

India Research
Aug 02, 2011 Comments
The Nifty futures open interest increased 3.11% while

Nifty Vs OI

Minifty futures open interest decreased by 1.25% as market closed at 5516.80 levels.
The Nifty Aug future closed at a premium of 16.15

points, against a premium of 6.05 points in the last trading session, while the Sep futures closed at a premium of 32.40 points.
The Implied Volatility of at the money options decreased

from 18.60% to 17.50%.

The PCR-OI increased from 1.12 to 1.13 points. The total OI of the market is `107,587cr and the stock

futures OI is `32,631cr.
Few liquid stocks where CoC is positive are FSL, MLL,

HOTELEELA, TRIVENI and 3IINFOTECH.

OI Gainers
SCRIP JUBLFOOD TVSMOTOR ADANIENT IGL FEDERALBNK OI 360000 7300000 2387000 454000 632000 OI CHANGE (%) 90.48 51.83 33.28 31.59 31.12 PRICE 892.15 53.45 638.15 412.30 418.55 PRICE CHANGE (%) 4.39 8.20 8.99 1.09 -1.85

View
FIIs positions were muted in the last trading session.

They formed some long positions in the Index futures and some shorts in the stock futures. They were net buyers of `86cr in the cash market segment.
Yesterday, the 5600 call option and the 5500 put

option added considerable open interest.

After considerable unwinding, though some buying

OI Losers
SCRIP ALBK SYNDIBANK DABUR NEYVELILIG JINDALSWHL OI 1849000 2268000 5004000 2212000 537250 OI CHANGE (%) -8.24 -6.82 -5.73 -5.63 -5.58 PRICE 202.05 119.95 107.45 97.75 746.05 PRICE CHANGE (%) 0.07 0.25 3.27 -2.15 -13.77

was observed in KOTAKBANK in the last trading session, the stock is not showing much strength. Traders can trade with negative bias for the target of `432-435 with a stop loss of `465.
MARUTI is trading around its resistance levels. We

may see correction in the counter up to `1,160. Trading with negative bias is advisable with a stop loss of `1,230.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN ICICIBANK BANKNIFTY PCR-OI 1.13 0.42 0.52 0.70 0.65 PCR-VOL 0.96 0.46 0.41 0.49 0.60

Historical Volatility
SCRIP
JINDALSWHL TVSMOTOR JSWSTEEL NATIONALUM INDIAINFO

HV
85.86 45.30 67.40 38.34 41.65

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FII Statistics for 01-Aug-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 11275.32 33074.89 31474.95 289.08 76114.25 Change (%) 1.59 3.00 1.56 44.18 50.33

Turnover on 01-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1269.37 5098.51 1086.97 209.32 7664.17

1212.78 4954.30 1157.93 211.17 7536.17

56.60 144.21 (70.96) (1.84) 128.00

408475 1199101 1161386 10551 2779513

Index Futures Stock Futures Index Options Stock Options Total

353840 424041 1896544 92234 2766659

9087.53 11536.72 52778.03 2623.55 76025.83

-21.26 -21.49 -24.94 -19.88 -23.84

Nifty Spot = 5516.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 67.00 34.65 67.00 15.95 34.65 15.95 18.70 81.30 5718.70 51.05 148.95 5651.05 Risk 32.35 Reward 67.65 BEP 5632.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 83.05 49.95 83.05 28.30 49.95 28.30 21.65 78.35 5378.35 54.75 145.25 5445.25 Risk 33.10 Reward 66.90 BEP 5466.90

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 | India Research

Strategy Date 01-Aug-2011

Scrip HINDALCO

Strategy Bull Call Spread

Status Continue

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