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Derivative Report

Aug 31, 2012

The Nifty futures open interest decreased by 33.94%

Nifty Vs OI

while BankNifty futures open interest is decreased by 25.68% as market closed at 5315.05 levels.
The Nifty Sept. future closed at premium of 15.10 point

against premium of 40.00 points. The Oct. series closed at a premium of 41.50 points.
The Implied Volatility of at the money options is

increased from 15.22% to 15.43%.

Nifty PCR-OI has decreased from 1.13 to 0.90 levels. The total OI of the market is `95,784/- cr. and the stock

futures OI are `25,910/- cr.

Few of the liquid counters where we have seen high

Cost-of Carry are TTML, OFSS, GVKPIL, ALOKTEXT and BAJAJHIND. View OI Gainers
SCRIP TECHM COLPAL CROMPGREAV OI 2209500 86000 4576000 OI CHANGE (%) 154.40 24.64 3.39 PRICE 793.05 1208.60 107.05 PRICE CHANGE (%) -4.48 2.22 -2.96 There was significant amount of buying observed by

FIIs in cash market segment; they were net buyers worth of `2,306/- cr. On derivatives front they were net buyers in both index futures and in index options in yesterdays trade.
On options front in Sept. series 5400 and 5600 call

option has seen some buildup in open interest, while in put option decent build was observed in 48005300 strike price in yesterdays trade. The highest buildup in Sept. series is at 5200 put option, while in call option the buildup is quite scattered however the maximum buildup is in 5600 strike price as of now.
Rollovers in NIFTY future was at 64%, while in

OI Losers

BANKNIFTY and MINIFTY futures the rollover was quite less at 67% and 38% respectively. Market wide rollover was at 82%.


10616000 168000 8401500 134000 2112000

-65.27 -59.90 -56.25 -54.42 -52.86

40.30 463.60 726.60 193.65 39.60

-11.31 0.35 1.28 4.98 5.68

The counter of NTPC has seen less rollover of 68% compare to its last 3 month average rollover and the stock in this series has seen good amount of long buildup. Since the rollover is less this indicates the longs have not carried forward and also the counter has seen some short positions in yesterdays trade with negative CoC. Hence we recommend to go short on this stock with the target price of `162 and stop loss at `176 Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY BHARTIARTL PCR-OI 0.92 0.69 0.50 0.49 0.30 PCR-VOL 0.93 0.58 0.53 0.95 0.37


HV 53.11 31.88 32.00 43.62 35.82

Derivative Report
Aug 31, 2012

FII Statistics for 30-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11833.97 32239.82 23182.71 179.42 67435.92 Change (%) (40.45) (40.79) (14.17) (91.87) (34.62)

Turnover on 30-August-2012
No. of Contracts Turnover (` in cr.) Change (%)




945.21 2995.39 (531.30) 34.62 3443.93

450082 1213784 897827 6148 2567841


8,10,761 74,70,240 12,16,633 3,12,997 98,10,631

20583.54 1,98,040.31 31451.33 8844.68 2,58,919.86

50.67 57.93 29.61 17.70 51.56

20255.36 17259.97 5832.29 905.53 6363.58 870.91

33300.75 29856.82

Nifty Spot =5315.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 105.05 56.45 105.05 25.35 56.45 25.35 31.10 68.90 5431.10 79.70 120.30 5379.70 Risk 48.60 Reward 51.40 BEP 5348.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 78.10 45.95 78.10 25.40 45.95 25.40 20.55 79.45 5179.45 52.70 147.30 5247.30 Risk 32.15 Reward 67.85 BEP 5267.85

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

Nifty Put-Call Analysis

Derivative Report
Aug 31, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012 21-08-2012 27-08-2012


Strategy Long Call ladder Bull Call Spread Ratio Call Spread Long Call Bull Call Spread

Status No profit no loss on expiry Profit booked on 23-Aug-2012 No profit no loss on expiry Loss on expiry Loss on expiry

Research Team Tel: 022 - 39357800



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