Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 1.97% while

Nifty Vs OI

Dec 20, 2011

Minifty futures open interest increased by 0.74% as market closed at 4613.10 levels.
The Nifty Dec. future closed at a Premium of 10.75 point

against a Discount of 8.45 points. The January Series closed at a Premium of 31.25 points.
The Implied Volatility of at the money options is

increased from 28.25% to 29.41%.

The PCR-OI has decreased from 0.93 points to 0.91

points.
The total OI of the market is `1,31,445/-cr. and the

stock futures OI are `25,736/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

KSOILS, GITANJALI, SKUMARSYNF and GVKPIL.

OI Gainers
SCRIP BIOCON JUBLFOOD VIPIND PATNI ARVIND OI 1167000 1002750 4045000 341500 3460000 OI CHANGE (%) 20.93 20.67 17.67 17.56 17.53 PRICE 243.45 759.40 80.45 447.45 70.30 PRICE CHANGE (%) -7.10 0.80 -5.19 0.10 1.81

View
FIIs continue to sell in cash market segment; they

were net sellers worth of `450/- cr. in yesterdays trading session. On Derivatives front they were net sellers in index futures and in index options also they were net sellers.
On Options front in-the-money put options of 4700

OI Losers
SCRIP BATAINDIA TRIVENI LITL EDUCOMP NCC OI 1107000 1392000 41108000 1917000 3796000 OI CHANGE (%) -21.24 -9.26 -7.13 -6.87 -6.04 PRICE 504.55 13.95 9.20 186.65 34.70 PRICE CHANGE (%) -11.30 6.08 3.95 3.15 -1.84

and 4800 strike price have seen countinous unwinding and 4500 put options have seen some buildup in open interest, while in call options 4500 and 4600 strike price have seen descent buildup in open interest.
We have not witnessed formation of significant short

positions in BHARTIARTL when stock corrected from higher levels. As we expect downward pressure to halt in market, this stock may attract formation of long positions. Go long in it with target price of `362 and stop loss of `326.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY ICICIBANK RELIANCE PCR-OI 0.91 0.37 0.76 0.32 0.52 PCR-VOL 0.84 0.67 0.44 0.56 0.78

Historical Volatility
SCRIP
BATAINDIA BEL MERCATOR BIOCON IOB

HV
72.04 29.90 77.19 59.92 43.62 For Private Circulation Only 1

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FII Statistics for 19-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12322.98 48018.10 24946.39 1029.35 86316.82 Change (%) -1.06 0.72 1.25 4.39 0.67

Turnover on 19-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2125.27

3132.07 (1,006.80) (53.07) (27.51) 10.22

545939 2083888 1183716 48549 3862092

Index Futures Index Options Stock Futures Stock Options Total

709279 4491868 554154 178772 5934073

15093.85 106061.64 11559.67 3931.54 136646.71

-29.01 -24.94 -22.82 -22.36 -25.17

20995.84 21048.91 2021.53 509.02 2049.03 498.81

25651.67 26728.83 (1,077.16)

Nifty Spot =4613.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4600 4700 4600 4800 4700 4800 Price 103.95 58.80 103.95 29.90 58.80 29.90 28.90 71.10 4728.90 74.05 125.95 4674.05 Risk 45.15 Reward 54.85 BEP 4645.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4600 4500 4600 4400 4500 4400 Price 81.30 46.30 81.30 24.35 46.30 24.35 21.95 78.05 4478.05 56.95 143.05 4543.05 Risk 35.00 Reward 65.00 BEP 4565.00

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 28-11-2011 05-12-2011 12-12-2011 19-12-2011

Scrip RELINFRA TATAMOTORS NIFTY NIFTY

Strategy Long Call Long Put Short Strangle Long Call

Status Did not triggered Open Open Did not triggered

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