Derivative Report

India Research
April 12, 2012 Comments
The Nifty futures open interest increased by 0.88% while

Nifty Vs OI

Minifty futures open interest is increased by 5.31% as market closed at 5226.85 levels.
The Nifty April future closed at a premium of 24.50 point

against a premium of 22.55 points. The May series closed at a premium of 56.50 points.
The Implied Volatility of at the money options is

increased from 20.94% to 21.65%

The PCR-OI was unchanged at 1.14. The total OI of the market is `1,04,063/-cr. and the

stock futures OI are `26,481/-cr.

Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, MTNL, ABIRLANUVO, GSPL and ESCORTS.

OI Gainers
SCRIP MAX IVRCLINFRA INDIACEM SYNDIBANK RELCAPITAL OI 1030000 38296000 5500000 1182000 3995500 OI CHANGE (%) 40.33 37.72 24.43 18.20 17.90 PRICE 188.25 70.75 96.55 112.00 360.35 PRICE CHANGE (%) 3.49 2.61 -7.92 0.36 -5.31

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `446/- cr. On derivatives front they were net sellers in index futures worth of `311/- cr. indicating mix of short and long buildup by them, while in index option good amount of buying was visible by them worth of `904/- cr. with decent increase in open interest of 4%.
On options front good amount of buildup was seen

OI Losers
SCRIP IGL ORCHIDCHEM BATAINDIA TECHM CUMMINSIND OI 1886000 5810000 999500 362000 214000 OI CHANGE (%) -14.87 -8.65 -8.47 -8.47 -7.16 PRICE 230.40 184.75 814.10 711.20 475.10 PRICE CHANGE (%) 0.55 -1.86 -1.05 -0.13 -1.78

in call options especially in 5200 and 5400 strike price, while in put option 5000 and 5100 strike price have seen maximum buildup in yesterdays trading session.
We have seen significant amount of buildup in the

counter of BHARTIARTL in last few trading session and we feel its the blend of long and short buildup into this counter. Since the counter is nearby its strong support zone of `320 we anticipate some short covering bounce back could come into this stock which could take the counter to around `336. Hence go long with the stop loss of `318.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.14 0.66 0.44 0.54 0.90 PCR-VOL 0.96 0.58 0.43 0.60 0.82

Historical Volatility
SCRIP
ACC INDIACEM AMBUJACEM FINANTECH CENTURYTEX

HV
39.97 76.45 39.76 58.80 75.44 For Private Circulation Only 1

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FII Statistics for 11-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 9248.94 34108.94 22452.21 848.57 66658.66 Change (%) 4.24 4.79 0.92 8.71 3.48

Turnover on 11-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1450.43

1761.53

(311.10) 904.93 143.87 (8.19) 729.51

356716 1305219 805849 31661 2499445

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

542057 3158923 475345 148066 4324391

13317.24 83675.56 13561.32 4306.73 114860.84

44.67 44.11 17.69 14.28 39.12

18837.04 17932.11 1423.81 699.07 1279.94 707.27

22410.35 21680.84

Nifty Spot =5226.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 119.15 66.65 119.15 31.70 66.65 31.70 34.95 65.05 5334.95 87.45 112.55 5287.45 Risk 52.50 Reward 47.50 BEP 5252.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 72.50 42.25 72.50 23.25 42.25 23.25 19.00 81.00 5081.00 49.25 150.75 5150.75 Risk 30.25 Reward 69.75 BEP 5169.75

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 02-04-2012 09-04-2012

Scrip NIFTY TATAMOTORS

Strategy Ratio Put Spread Ratio Put Spread

Status Open Open

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