Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.79% while

Nifty Vs OI

Dec 26, 2011

Minifty futures open interest decreased by 2.78% as market closed at 4714 levels.
The Nifty Dec. future closed at a Premium of 6.60 point

against a Premium of 15.05 points. The January Series closed at a Premium of 27.35 points.
The Implied Volatility of at the money options is

decreased from 25.93% to 24.10%.

The PCR-OI has being decreased from 0.91 to 0.90

points.
The total OI of the market is `1,38,800cr. and the stock

futures OI are `28,822/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

ABGSHIP, VIDEOIND, SKUMARSYNF and GITANJALI .

OI Gainers
SCRIP COREEDUTEC ASIANPAINT HOTELEELA BPCL BANKBARODA OI 4793000 261500 2784000 1284500 3163500 OI CHANGE (%) 29.72 18.19 17.97 17.79 17.71 PRICE 259.65 2663.25 30.60 506.50 675.60 PRICE CHANGE (%) -1.20 -3.44 1.32 -2.86 -0.86

View
There was muted performance by FIIs on Fridays

trading session; they were net buyers in cash market segment worth of `84/- cr. and also they were net buyers in index futures and index options but the quantum of buying was quite minimal.
On options front out-of-the money put options of

4400 strike price has added maximum open interest, while in call option 4800 and 4900 strike price have added good amount of open interest in Fridays trading session.
In last couple of weeks we have seen continuous

OI Losers
SCRIP VIPIND ABB DELTACORP RENUKA TRIVENI OI 3107500 441500 7802000 31488000 1280000 OI CHANGE (%) -32.97 -10.31 -8.75 -8.50 -8.18 PRICE 83.35 591.05 57.85 26.15 14.20 PRICE CHANGE (%) -2.46 3.44 -5.93 -0.57 0.00

reduction of open interest in HDIL counter. We believe some ultra short term long positions which may form in this counter. Hence we recommend to go long in this counter between `56-57 levels with the target price of `65 and stop loss at `52.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY ICICIBANK RELIANCE PCR-OI 0.90 0.42 0.90 0.49 0.54 PCR-VOL 0.86 0.50 0.74 0.88 0.81

Historical Volatility
SCRIP
SYNDIBANK ASIANPAINT ORIENTBANK GSPL CENTRALBK

HV
64.72 35.50 49.59 37.84 53.50 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 23-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11700.92 47833.87 27105.83 1102.98 87743.61 Change (%) 5.10 -2.44 0.40 -1.33 -0.57

Turnover on 23-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1633.20

1554.24

78.96 3.74 (101.23) (6.02) (24.55)

503959 2031309 1236777 50947 3822992

Index Futures Index Options Stock Futures Stock Options Total

553484 4106396 755822 165170 5580872

12035.92 98372.57 16318.23 3581.44 130308.16

-22.96 -15.88 -10.09 -14.69 -15.88

20624.26 20620.51 4254.43 452.52 4355.67 458.54

26964.41 26988.97

Nifty Spot =4714.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4800 4700 4900 4800 4900 Price 68.70 27.30 68.70 8.45 27.30 8.45 18.85 81.15 4818.85 60.25 139.75 4760.25 Risk 41.40 Reward 58.60 BEP 4741.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 50.55 19.15 50.55 7.35 19.15 7.35 11.80 88.20 4588.20 43.20 156.80 4656.80 Risk 31.40 Reward 68.60 BEP 4668.60

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

SEBI Registration No: INB 010996539

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 Book Profit Did not triggered

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

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539