Derivative Report

May 28, 2012

Comments
The Nifty futures open interest increased by 0.35% while

Nifty Vs OI

Minifty futures open interest is decreased by 0.12% as market closed at 4920.40 levels.
The Nifty May future closed at a discount of 1.55 point

against a discount of 8.30 points. The June series closed at a premium of 9.00 points.
The Implied Volatility of at the money options is

decreased from 22.67% to 20.33%.

The PCR-OI was unchanged at 1.04 levels. The total OI of the market is `1,34,854/-cr. and the

stock futures OI are `27,372/-cr.

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

of-carry are RUCHISOYA, ASHOKLEY, IOB, HCC and IDEA.

OI Gainers
SCRIP FORTIS DENABANK JUBLFOOD HDIL TVSMOTOR OI 6426000 10300000 1263000 30960000 9324000 OI CHANGE (%) 30.88 25.79 23.64 21.90 18.81 PRICE 100.10 85.75 1246.05 62.80 33.95 PRICE CHANGE (%) 1.11 0.76 6.28 1.05 1.80

View
FIIs continue to be net sellers in cash market

segment; they were net sellers worth of `624/- cr. in Fridays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front most of the strike price has seen

significant amount of unwinding. In call option 4700 strike price have seen some unwinding, while in put option 4600 and 4800 strike price have seen maximum unwinding in Fridays trading session.
The counter of HDIL in Fridays trading session has

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

GMRINFRA ABAN POLARIS JSWENERGY CUMMINSIND

47072000 3024500 2172000 26856000 183500

-11.02 -10.17 -9.73 -8.72 -7.32

20.45 370.00 114.25 44.80 425.20

1.24 1.07 2.97 2.40 3.51

seen significant amount of buildup in open interest with increase in cost-of-carry. We feel majority of the buildup is on the longer side and also the counter has good amount of short positions visible since the start of the April series. Hence we could also see some short covering rally which could take the counter to around `70. Hence go long with the stop loss of `59.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.04 0.66 0.72 0.42 0.47 PCR-VOL 1.05 0.90 0.63 0.42 0.58

Historical Volatility
SCRIP VOLTAS NHPC ADANIENT JUBLFOOD PRAJIND HV 79.04 30.38 56.09 53.95 72.48

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Derivative Report
May 28, 2012

FII Statistics for 25-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12712.16 45682.06 22922.18 1514.78 82831.19 Change (%) 0.40 0.20 1.08 5.68 0.57

Turnover on 25-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1255.93

1653.60

(397.67) 882.40 208.56 (32.17) 661.13

541711 1858115 972306 61408 3433540

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

432069 3787369 609231 192087 5020756

9927.5 93227.26 14299.98 4719.04 122173.77

-37.08 -28.98 2.90 -13.83 -26.59

20130.82 19248.41 2917.81 761.14 2709.25 793.31

25065.70 24404.57

Nifty Spot =4920.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 60.65 19.30 60.65 4.35 19.30 4.35 14.95 85.05 5014.95 56.30 143.70 4956.30 Risk 41.35 Reward 58.65 BEP 4941.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 43.35 15.95 43.35 5.55 15.95 5.55 10.40 89.60 4789.60 37.80 162.20 4862.20 Risk 27.40 Reward 72.60 BEP 4872.60

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

Nifty Put-Call Analysis

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Derivative Report
May 28, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012 21-05-2012

Symbol NIFTY NIFTY RELIANCE BANKNIFTY

Strategy Long Put Long Put Ladder Long Call Long Call

Status Profit booked on 04-05-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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