Derivative Report

Sep 05, 2012

Comments
The Nifty futures open interest decreased by 3.50% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.91% as market closed at 5274.00 levels.
The Nifty Sept. future closed at premium of 25.40 point

against premium of 29.15 points. The Oct. series closed at a premium of 53.65 points.
The Implied Volatility of at the money options is

decreased from 15.60% to 15.10%.

Nifty PCR-OI is unchanged at 0.91levels. The total OI of the market is `1,13,005/- cr. and the

stock futures OI are `27,875/- cr.

Few of the liquid counters where we have seen high

Cost-of Carry are VIDEOIND, JPPOWER, ASHOKLEY, VIJAYABANK and TATACOFFEE.

OI Gainers
SCRIP CUMMINSIND BAJAJHLDNG ABAN GLAXO GMDCLTD OI 186000 21000 1057500 5250 186000 OI CHANGE (%) 76.30 29.23 22.04 20.00 14.81 PRICE 458.65 752.80 422.30 2100.40 187.00 PRICE CHANGE (%) -0.84 -2.85 7.67 -0.47 -0.83

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `304/- cr. On derivatives front they were net sellers in index futures with decent unwinding of open interest indicating long unwinding done by them, while in index options they were net buyers in yesterdays trading session.
On options front 5500-5600 call option has seen

good amount of build up in open interest, while in put option 5100 strike price has seen maximum buildup in yesterdays trade.
We have seen good amount of short positions getting

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

BOSCHLTD TECHM TVSMOTOR INDIANB BAJAJ-AUTO

2625 1843000 2296000 130000 1038125

-22.22 -14.10 -12.50 -10.34 -7.48

8523.15 821.15 37.65 160.25 1647.45

-1.14 1.24 3.41 3.17 -0.82

buildup in AXISBANK since last few trading session followed by some long buildup in yesterdays trade. `950-960 is a very strong support for this stock and hence can expect short covering bounce in this counter which could take the stock to around `1050. Buying on dips would be recommended in this stock at around `960-980 levels with the stop loss of `945.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATASTEEL MCDOWELL-N PCR-OI 0.91 0.82 0.53 0.51 0.24 PCR-VOL 0.78 0.66 0.55 0.44 0.30

Historical Volatility
SCRIP ZEEL ABAN IBREALEST DISHTV RECLTD HV 36.19 58.28 60.20 51.98 45.58

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Derivative Report
Sep 05, 2012

FII Statistics for 04-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9961.75 37810.78 24180.03 937.17 72889.73 Change (%) (6.81) 2.20 0.95 23.36 0.67

Turnover on 04-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

623.70 6962.35 1012.73 642.93 9241.72

941.16 6613.48 1419.64 617.81 9592.08

(317.46) 348.87 (406.91) 25.13 (350.36)

379161 1435772 932073 34447 2781453

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,75,684 19,36,650 3,85,776 1,65,772 27,63,882

6811.07 51725.87 10161.31 4774.01 73472.26

-6.12 -5.95 5.15 15.08 -3.41

Nifty Spot =5274.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 80.10 38.35 80.10 14.40 38.35 14.40 23.95 76.05 5423.95 65.70 134.30 5365.70 Risk 41.75 Reward 58.25 BEP 5341.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 81.40 44.45 81.40 22.40 44.45 22.40 22.05 77.95 5177.95 59.00 141.00 5241.00 Risk 36.95 Reward 63.05 BEP 5263.05

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

Nifty Put-Call Analysis

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Derivative Report
Sep 05, 2012

Strategy Date 03-Sep-2012

Symbol AXISBANK

Strategy Long Call Ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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