Derivative Report

July 02, 2012

Comments
The Nifty futures open interest increased by 19.07% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.47% as market closed at 5278.90 levels.
The Nifty July future closed at premium of 18.45 point

against premium of 2.25 points. The August series closed at a premium of 43.10 points.
The Implied Volatility of at the money options is

decreased from 19.13% to 17.42%.

Nifty PCR-OI has increased from 1.18 to 1.24 levels. The total OI of the market is `1,02,265/-cr. and the

stock futures OI are `27,357/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are COREEDUTEC, ALOKTEXT, JSWISPAT, RUCHISOYA and ONMOBILE.

OI Gainers
SCRIP CAIRN ONMOBILE DENABANK CANBK WIPRO OI 23150000 8160000 5256000 1243500 2007500 OI CHANGE (%) 100.48 82.96 35.46 31.66 30.61 PRICE 307.55 30.45 98.75 412.65 399.90 PRICE CHANGE (%) -6.05 -8.14 2.44 1.79 0.28

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `3047/- cr. On derivatives front they were net buyers in both index futures & in index options worth of `1568/- cr. & `1375/- cr. with significant buildup of open interest indicating formation of long positions by them.
On options front good amount of buildup was

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

observed in 5400-5700 call option and some unwinding was seen in 5100-5200 call option, while in put option 5200-5400 strike price followed by 4800 put option have seen maximum buildup in Fridays trading session.
The recent bounce back in the counter of TATASTEEL

HINDZINC GODREJIND GSPL AXISBANK SUNTV

908000 831000 3084000 6973250 571000

-19.36 -8.78 -7.00 -6.33 -6.24

123.35 241.80 70.00 1015.75 301.80

4.53 2.81 4.79 3.80 1.16

was mainly due to short covering and has not seen much of the long position getting buildup at lower levels. `440 is the strong resistance for this stock and hence we feel the stock could see some formation of short positions around this level which could take the counter to around `402. Hence go short with the stop loss of `444.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.24 0.73 0.60 0.80 0.73 PCR-VOL 1.05 0.65 0.49 0.44 0.77

Historical Volatility
SCRIP JINDALSTEL TVSMOTOR OFSS BOSCHLTD NCC HV 54.33 48.83 36.55 27.34 93.74

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Derivative Report
July 02, 2012

FII Statistics for 29-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12,604 33,218 22,894 Change (%) 12.45 11.99 4.02

Turnover on 29-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3077.63

1509.29

1,568.34 1,375.67 (841.37) 57.43 2,160.08

486,150 1,258,700 859,374 15,163 2,619,387

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

511655 2752440 518570 143786 3926451

12648.04 72247.89 13983.71 4098.48 102978.12

-32.14 -54.69 -50.52 -38.75 -51.66

11951.88 10576.20 1156.96 728.35 1998.33 670.92

432 1,216.23 69,149 9.89

14754.75 14754.75

Nifty Spot =5278.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 97.80 54.70 97.80 26.95 54.70 26.95 27.75 72.25 5427.75 70.85 129.15 5370.85 Risk 43.10 Reward 56.90 BEP 5343.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 61.95 37.45 61.95 22.25 37.45 22.25 15.20 84.80 5084.80 39.70 160.30 5160.30 Risk 24.50 Reward 75.50 BEP 5175.50

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

Nifty Put-Call Analysis

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Derivative Report
July 02, 2012

Strategy Date

Symbol

Strategy

Status

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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