Derivative Report

June 22, 2012

Comments
 The Nifty futures open interest increased by 8.42% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.86% as market closed at 5165 levels.
 The Nifty June future closed at premium of 8.85 point

against a premium of 1.90 points. The July series closed at a premium of 26.65 points.
 The Implied Volatility of at the money options is

decreased from 18.89% to 16.90%.
 The PCR-OI has increased from 1.41 to 1.45 levels.  The total OI of the market is `1,33,427/-cr. and the

stock futures OI are `29,233/-cr.
 Few of the liquid counters where we have seen high cost-

of-carry are NAGAROIL, ASHOKLEY, SKUMARSYNF, INDIAINFO and GVKPIL.

OI Gainers
SCRIP CUMMINSIND GMRINFRA ADANIPORTS RELIANCE HINDOILEXP OI 247500 58384000 10402000 10371750 3456000 OI CHANGE (%) 28.57 28.51 28.14 22.45 22.12 PRICE 421.55 22.75 117.55 718.70 131.50 PRICE CHANGE (%) -0.05 0.89 0.09 -2.54 6.52

View
 FII’s were net sellers in cash market segment they

were net sellers worth of `257/- cr. On derivatives front they were net buyers in index futures worth of `122/- cr. only with decent buildup in open interest indicating a mix of long and short both, while in index options they were net sellers.
 On options front 5100 call option have seen some

unwinding, while in put option 5100-5200 strike price have seen maximum buildup in yesterdays trading session.
 The counter of SBIN have seen significant amount of

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

PETRONET SUNTV ACC ZEEL SRTRANSFIN

4048000 712000 1811750 2206000 350000

-19.55 -5.82 -5.61 -4.91 -4.76

136.25 278.75 1253.70 135.00 515.60

7.11 0.00 -1.38 0.00 3.23

buildup in yesterdays trading session and it’s the mix of long and short both. The stock has resistance at around `2200 and we feel the counter could see some long unwinding around that level which could take the stock to around `2080. Go short with the stop loss of `2220.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.45 0.92 1.05 0.54 0.78 PCR-VOL 1.13 0.92 0.69 0.62 0.55

Historical Volatility
SCRIP ONMOBILE PETRONET NCC HDIL ESSAROIL HV 81.72 56.60 80.21 72.37 46.12

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Derivative Report
June 22, 2012

FII Statistics for 21-June-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12886.66 48666.51 24261.22 1423.91 87238.31 Change (%) 5.89 1.70 0.89 2.25 2.08

Turnover on 21-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2115.23

1993.12

122.11 (208.84) (96.32) (81.67) (264.72)

513998 1885330 982674 54220 3436222

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

519356 4123458 666605 252988 5562407

12534.21 105212.79 16346.88 6481.55 140575.43

38.48 13.66 32.55 40.41 18.56

15142.79 15351.63 2505.51 1413.49 2601.83 1495.16

21177.03 21441.74

Nifty Spot =5165.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 35.75 8.65 35.75 1.70 8.65 1.70 6.95 93.05 5306.95 34.05 165.95 5234.05 Risk 27.10 Reward 72.90 BEP 5227.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 21.30 7.15 21.30 2.85 7.15 2.85 4.30 95.70 4995.70 18.45 181.55 5081.55 Risk 14.15 Reward 85.85 BEP 5085.85

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

Nifty Put-Call Analysis

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Derivative Report
June 22, 2012

Strategy Date 04-06-2012 11-06-2012 18-06-2012

Symbol NIFTY TATAMOTORS TATASTEEL

Strategy Ratio Put Spread Long Put Ladder Bear Put Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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Derivative Research Team
Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

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