Derivative Report

July 10, 2012

Comments
The Nifty futures open interest decreased by 2.15% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.29% as market closed at 5275.15 levels.
The Nifty July future closed at premium of 4.25 point

against premium of 10.25 points. The August series closed at a premium of 32.65 points.
The Implied Volatility of at the money options is

increased from 15.75% to 16.30%.

Nifty PCR-OI has decreased from 1.20 to 1.17 levels. The total OI of the market is `1,24,005/-cr. and the

stock futures OI are `30,441/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are COREEDUTEC, VIDEOIND, COALIND, APOLLOTYRE and TTML

OI Gainers
SCRIP HINDZINC BEML FINANTECH ICICIBANK WIPRO OI 1542000 526000 1676000 16138750 3093000 OI CHANGE (%) 19.17 18.60 14.17 10.37 9.62 PRICE 119.60 390.65 750.85 924.15 388.40 PRICE CHANGE (%) -4.50 -4.28 0.21 -0.55 -1.59

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `252/- cr. in yesterdays trading session. On derivatives front they was quite muted performance by them in index futures, however they were net buyers in it and in index options also they were net buyers with decent buildup in open interest.
On options front 5300-5400 call option have seen

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

good amount of buildup in open interest and 56005700 strike price have seen some unwinding, while in put option not much of buildup was observed however some unwinding was seen in 4900 put option in yesterdays trading session.
The counter of WIPRO has seen significant amount of

INDIANB CANBK DENABANK IRB AMBUJACEM

254000 1498000 6992000 5800000 10668000

-19.87 -15.49 -14.36 -11.99 -11.20

184.05 427.25 100.10 132.85 169.00

-3.87 0.31 -2.44 -3.39 -2.63

buildup in last 5-6 trading session with decent CoC. We feel the buildup is the mix of long and short both. The counter is currently trading nearby its very strong support zone of `384-386 and hence can expect some short covering around that level which could take the stock to around `405. Go long with the stop loss of `380.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.17 0.99 0.72 0.45 0.73 PCR-VOL 0.93 1.14 0.70 0.65 0.67

Historical Volatility
SCRIP TVSMOTOR CHAMBLFERT HINDZINC ORCHIDCHEM OIL HV 56.84 41.81 39.76 48.59 26.21

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Derivative Report
July 10, 2012

FII Statistics for 09-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13780.15 40190.77 25217.59 1102.51 80291.02 Change (%) (0.11) 3.58 1.35 9.10 2.28

Turnover on 09-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1074.45 10535.82 1076.83 744.14

1009.74 9820.61 1385.23 805.34

64.71 715.22 (308.40) (61.20) 410.33

538959 1523716 940081 38174 3040930

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,30,857 24,03,677 3,77,062 1,38,256 32,49,852

8220.72 63977.54 10558.17 4091.72 86848.16

-2.23 10.66 -12.53 -1.99 5.31

13431.24 13020.91

Nifty Spot =5275.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 64.80 28.35 64.80 10.25 28.35 10.25 18.10 81.90 5418.10 54.55 145.45 5354.55 Risk 36.45 Reward 63.55 BEP 5336.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 85.00 44.65 85.00 22.20 44.65 22.20 22.45 77.55 5177.55 62.80 137.20 5237.20 Risk 40.35 Reward 59.65 BEP 5259.65

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 10, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012

Symbol INFY NIFTY ICICIBANK

Strategy Long Strangle Long Call Long Call Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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