Derivative Report

July 06, 2012

 The Nifty futures open interest increased by 2.53% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.59% as market closed at 5327.30 levels.
 The Nifty July future closed at premium of 17.20 point

against premium of 20.10 points. The August series closed at a premium of 46.60 points.
 The Implied Volatility of at the money options is

decreased from 16.48% to 16.38%.
 Nifty PCR-OI has increased from 1.20 to 1.22 levels.  The total OI of the market is `1,20,503/-cr. and the

stock futures OI are `30,506/-cr.
 Few of the liquid counters where we have seen high

Cost-of-Carry are ONMOBILE, TTML, MTNL, GVKPIL and LITL.

OI Gainers
SCRIP DENABANK SOBHA HINDZINC SOUTHBANK IOB OI 7800000 331000 1234000 8608000 6036000 OI CHANGE (%) 34.39 25.86 22.66 22.41 20.91 PRICE 102.50 343.05 126.10 25.60 87.20 PRICE CHANGE (%) 3.30 -3.02 -0.87 5.19 2.13

 FII’s were net buyers in cash market segment; they

were net buyers worth of `429/- cr. On derivatives front they were net buyers in both index futures and in index options.
 On options front 5500-5600 call option have seen

good amount of buildup in open interest and 5300 call option have seen some unwinding its much of the short covering over there, while in put option 52005300 strike price have seen maximum buildup followed by some unwinding in 4800 put option in yesterday’s trading session.
 The counter of HINDALCO has seen trading mainly

OI Losers


5152000 2910000 432000 454000 8504000

-13.44 -11.87 -10.37 -8.84 -8.64

79.25 117.45 473.65 195.10 34.95

3.20 1.35 -0.08 -0.15 2.37

in the range of `110-126 since last few trading sessions. Off late the recent bounce back in this stock has being due to short covering and have not seen much of the long buildup. The stock could see some selling pressure at higher level which could take the counter to around `116. Go short with the stop loss of `131.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.22 0.96 0.86 0.56 0.84 PCR-VOL 1.04 1.12 0.62 0.35 0.70

Historical Volatility


Derivative Report
July 06, 2012

FII Statistics for 05-July-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13929.06 37747.75 24940.33 932.69 77549.83 Change (%) 1.90 3.18 1.78 8.69 2.55

Turnover on 05-July-2012
No. of Contracts Turnover (` in cr.) Change (%)


938.08 7612.78 963.31 597.33

814.08 7443.68 1318.31 644.61

123.99 169.10 (355.00) (47.28) (109.20)

536896 1417156 913500 31829 2899381


306197 1772934 452892 146436 2678459

7678.97 47070.65 12573.79 4245.00 71568.41

-12.97 -20.30 -1.86 8.14 -15.43

10111.50 10220.69

Nifty Spot =5327.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 108.20 58.10 108.20 26.05 58.10 26.05 32.05 67.95 5432.05 82.15 117.85 5382.15 Risk 50.10 Reward 49.90 BEP 5350.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 64.35 34.70 64.35 18.00 34.70 18.00 16.70 83.30 5183.30 46.35 153.65 5253.65 Risk 29.65 Reward 70.35 BEP 5270.35

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


Derivative Report
July 06, 2012

Strategy Date 02-July-2012 02-July-2012


Strategy Long Strangle Long Call

Status Open Open

Research Team Tel: 022 - 39357800



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