Derivative Report

India Research
Sep 15, 2011 Comments
The Nifty futures open interest decreased 1.87% while

Nifty Vs OI

Minifty futures open interest decreased by 3.49% as market closed at 5012.55 levels.
The Nifty Sep future closed at a premium of 6.6 point

against a premium of 0.65 points. The October Series closed at a Premium of 17.05 points.
The Implied Volatility of at the money options is

decreased from 29.78% to 28.56%.

The PCR-OI has increased from 1.33 to 1.43 points. The total OI of the market is `1, 35,641cr. and the stock

futures OI is `29,432.07cr.
Stocks where cost of carry is positive are INDIAINFO,

GVKPIL, STRTECH, JSWENERGY and LITL.

OI Gainers
SCRIP JSWENERGY OPTOCIRCUI ONGC TECHM BHARTIARTL OI 2720000 1250000 28379000 424000 10321000 OI CHANGE (%) 43.76 17.70 14.79 14.29 12.74 PRICE 56.95 239.70 260.80 628.30 377.35 PRICE CHANGE (%) 0.80 -3.23 1.07 -0.39 -1.10

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Despite substantial bounce in market, FIIs activity in

cash market was muted and they have done some long unwinding in index futures at higher levels indicating their lack of optimism beyond 5000 odd levels.
4200 put has added significant open interest which is

surprising. 5000 call saw unwinding while most of the put options ranging from 4500 to 5000 added decent open interest.
We have witnessed formation of short positions in

OI Losers
SCRIP GTL TRIVENI GMDCLTD BOSCHLTD UNITECH OI 3203000 2164000 582000 10500 63048000 OI CHANGE (%) -17.88 -6.80 -5.83 -5.62 -4.58 PRICE 61.40 23.80 177.05 7064.30 26.55 PRICE CHANGE (%) -10.69 6.73 -1.31 -1.07 0.00

MARUTI ever since it started correcting from `1200+ levels. There has hardly being any short covering. Short around `1100-1110 with stop loss of `1138 with target price of `1042.
Yesterdays rally in HINDALCO was due to short

covering only. Despite more than 3% rise in price there was only 2.29% of unwinding indicating shorts formed at higher levels dont expect major bounce from current levels. Short around `146-148 with stop loss of `153 and target price of `137.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.43 0.37 1.22 1.84 0.45 PCR-VOL 1.04 0.53 0.71 0.84 0.37

Historical Volatility
SCRIP
PANTALOONR HINDUNILVR RUCHISOYA INFY DCHL

HV
65.75 30.36 48.9 52.4 78.35 For Private Circulation Only 1

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FII Statistics for 14-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 17761.33 57593.50 28847.95 1561.82 105764.60 Change (%) -2.62 2.39 -0.08 23.12 1.09

Turnover on 14-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2443.96

3058.47

(614.52) 279.02 433.84 (11.51) 86.84

712857 2298434 1172703 64316 4248310

Index Futures Stock Futures Index Options Stock Options Total

777924 544893 3824173 155282 5302272

17979.21 13370.51 95652.31 3960.94 130962.97

2.85 5.73 -1.68 14.86 0.08

13300.09 13021.07 1997.28 628.62 1563.43 640.13

18369.95 18283.11

Nifty Spot =5012.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 76.05 40.85 76.05 20.20 40.85 20.20 20.65 79.35 5220.65 55.85 144.15 5155.85 Risk 35.20 Reward 64.80 BEP 5135.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 110.15 78.70 110.15 57.20 78.70 57.20 21.50 78.50 4878.50 52.95 147.05 4947.05 Risk 31.45 Reward 68.55 BEP 4968.55

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sep. Series) are given as an information and not as a recommendation

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 29-Aug-2011 05-Sep-2011 09-Sep-2011

Scrip ITC NIFTY BANKNIFTY

Strategy Covered Call Writing Ratio Put Spread Short Straddle

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