Derivative Report

June 25, 2012

Comments
The Nifty futures open interest increased by 1.48% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.74% as market closed at 5146.05 levels.
The Nifty June future closed at premium of 5.10 point

against a premium of 8.85 points. The July series closed at a premium of 25.60 points.
The Implied Volatility of at the money options is

increased from 16.90% to 17.50%.

The PCR-OI has increased from 1.45 to 1.52 levels. The total OI of the market is `1,35,243/-cr. and the

stock futures OI are `29,462/-cr.

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

of-carry are BRFL, COREEDUTEC, ABGSHIP, NAGAROIL and GVKPIL.

OI Gainers
SCRIP TTKPRESTIG BFUTILITIE JISLJALEQS SREINFRA BAJAJHLDNG OI 84625 933500 6414000 9904000 23500 OI CHANGE (%) 33.53 20.76 13.68 12.55 11.90 PRICE 3081.90 420.70 76.60 21.80 765.20 PRICE CHANGE (%) 2.03 3.70 3.23 -1.36 -0.44

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `174/- cr. On derivatives front they were net buyers in index futures with decent buildup in open interest indicating a mix of long and short both, while in index options also they were net buyers.
On options front not much of buildup was visible in

call option, however decent unwinding was observed in 5200-5300 call option, while in put option 4900 strike price have seen maximum buildup in Fridays trading session.
The counter of NTPC have seen significant amount of

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

ADANIPORTS INDIANB CUMMINSIND VOLTAS SYNDIBANK

7618000 453000 220000 2722000 1028000

-26.76 -11.52 -11.11 -9.57 -9.19

117.85 180.15 434.00 102.05 103.10

0.26 1.46 2.95 -1.11 0.29

buildup since last few trading session. We feel its the mix of long and short both. In Fridays trading session the stock has seen some signs of short covering and hence it looks like the counter could resume its upward trend which could take the stock to around `163. Go long with the stop loss of `147.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.52 0.96 0.87 0.52 0.68 PCR-VOL 1.06 0.93 0.68 0.51 0.54

Historical Volatility
SCRIP INDHOTEL BIOCON OIL HINDALCO INDIAINFO HV 39.91 32.10 25.57 36.78 70.01

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Derivative Report
June 25, 2012

FII Statistics for 22-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13449.51 49459.68 24378.57 1468.69 88756.46 Change (%) 4.46 2.00 0.09 3.03 1.84

Turnover on 22-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2188.85

2038.54

150.31 849.98 (343.42) 6.23 663.10

536905 1922985 983596 55861 3499347

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

599635 4857257 742587 253488 6452967

14446.07 124663.16 18229.56 6530.68 163869.46

15.25 18.49 11.52 0.76 16.57

17128.29 16278.30 2806.66 1549.78 3150.09 1543.55

23673.58 23010.48

Nifty Spot =5146.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 22.85 3.75 22.85 0.85 3.75 0.85 2.90 97.10 5302.90 22.00 178.00 5222.00 Risk 19.10 Reward 80.90 BEP 5219.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 24.20 7.85 24.20 2.90 7.85 2.90 4.95 95.05 4995.05 21.30 178.70 5078.70 Risk 16.35 Reward 83.65 BEP 5083.65

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 25, 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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