Derivative Report

India Research
Aug 17, 2011 Comments
The Nifty futures open interest increased 0.59% while

Nifty Vs OI

Minifty futures open interest decreased by 1.41% as market closed at 5035.80 levels.
The Nifty Aug future closed at a discount of 8.10 points

against a premium of 6.90points, while the Sep futures closed at a premium of 3.45 points.
The Implied Volatility of at the money options decreased

from 28.50% to 28.00%.

The PCR-OI is at the same levels of 1.03 points. The total OI of the market is `138,912cr and the stock

futures OI is `29,638cr.
Few liquid stocks where CoC is positive are ZEE,

HDFCBANK, FSL, TATAMTRDVR and JSWISPAT.

OI Gainers
SCRIP GUJFLUORO JUBLFOOD HEROMOTOCO DLF TECHM OI 222500 320000 2201500 25048000 470500 OI CHANGE (%) 71.15 28.26 27.27 19.11 15.04 PRICE 487.15 906.90 1890.30 188.85 728.35 PRICE CHANGE (%) 8.92 6.32 0.00 -5.67 -1.31

View
FIIs covered some of their short positions in the Index

futures and the stock futures. They were net sellers of `261cr in the cash market segment.
Global cues are still not supportive though not

suggesting considerable gap down opening. SGX Nifty is suggesting an opening around 5020 levels.
In the last trading session, considerable build up was

OI Losers
SCRIP TATACHEM KSOILS CHAMBLFERT IBREALEST PRAJIND OI 718000 36968000 8748000 20042000 8076000 OI CHANGE (%) -12.44 -11.41 -10.92 -9.34 -7.51 PRICE 356.55 8.65 101.45 75.40 71.45 PRICE CHANGE (%) 0.15 -31.35 -3.33 -8.33 -2.52

observed in the 5000 and 5100 call option and unwinding was observed in the 5300 call. On the put front, buildup was observed from the 4800 to 5100 strikes.
IDBI witnessed fresh shorting and negative cost-of-

carry has also increased considerably. We may see further correction in the counter up to `109-110. Traders can trade with negative bias with a stop loss of `119.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN ICICIBANK BANKNIFTY PCR-OI 1.03 0.31 0.58 0.44 0.70 PCR-VOL 1.02 0.34 0.79 0.47 0.63

Historical Volatility
SCRIP
KSOILS IVRCLINFRA NCC PUNJLLOYD PATELENG

HV
194.44 111.91 86.50 73.29 72.70

SEBI Registration No: INB 010996539

For Private Circulation Only

Derivative Report | India Research

FII Statistics for 16-Aug-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 14796.44 48262.49 29174.56 549.18 92782.67 Change (%) -3.08 0.79 -0.44 8.96 6.23

Turnover on 16-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3084.33

2285.02

799.31

589421 1916785 1205102 23728 3735036

Index Futures Stock Futures Index Options Stock Options Total

499694 503195 3356456 153987 4513332

11954.59 12292.50 86565.03 3899.66 114711.77

-13.44 -3.94 -6.82 -8.56 -7.32

10069.17 11712.83 (1,643.66) 2346.34 406.45 1832.18 383.94 514.16 22.51 (307.67)

15906.29 16213.96

Nifty Spot = 5035.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 52.10 23.10 52.10 9.50 23.10 9.50 13.60 86.40 5213.60 42.60 157.40 5142.60 Risk 29.00 Reward 71.00 BEP 5129.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 77.70 45.70 77.70 26.50 45.70 26.50 19.20 80.80 4880.80 51.20 148.80 4948.80 Risk 32.00 Reward 68.00 BEP 4968.00

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

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 01-Aug-2011 08-Aug-2011 16-Aug-2011

Scrip HINDALCO NIFTY M&M

Strategy Bull Call Spread Short Strangle Long Put

Status Loss booked on 09-Aug-2011 Loss booked on 09-Aug-2011 Continue

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

For Private Circulation Only SEBI Registration No: INB 010996539 3