Derivative Report

Sep 20, 2012

 The Nifty futures open interest increased by 2.89% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.89% as market closed at 5600.05 levels.
 The Nifty Sept. future closed at premium of 12.20 point

against a premium of 6.70 points. The Oct. series closed at a premium of 34.85 points.
 The Implied Volatility of at the money options is

increased from 14.90% to 15.50%.
 Nifty PCR-OI has increased from 1.14 to 1.17 levels.  The total OI of the market is `1,53,137/- cr. and the

stock futures OI are `32,840/- cr.
 Few of the liquid counters where we have seen high

Cost-of-Carry are COREEDUTEC, POLARIS and MTNL.



View OI Gainers
SCRIP ORIENTBANK BAJAJHLDNG TTKPRESTIG JETAIRWAYS NTPC OI 1451000 81000 68375 1463000 10178000 OI CHANGE (%) 86.98 37.29 34.73 29.13 23.28 PRICE 286.95 760.65 3910.45 360.85 166.35 PRICE CHANGE (%) 10.47 1.82 6.17 0.47 -1.56  FII’s were net buyers in cash market segment worth

of `1,050/- cr. On derivatives front they were net buyers in index futures, while in index options and in stock futures they formed some short positions in Tuesday’s trade.
 On options front 5700-5800 call option has seen

good amount of buildup in open interest followed by some unwinding in 5300-5600 strike price, while in put option 5500 strike price has seen maximum buildup in Tuesday’s trading session.
 The recent bounce in LT was mainly due to short

OI Losers

covering. The counter is quite light in terms of open interest and also has seen some short postions getting buildup at higher levels. Hence we recommend to go short on this stock with the target price of `1480 and stop loss at `1590.


1932000 1356000 6346000 1420000 10808000

-30.70 -28.33 -22.70 -14.35 -12.39

180.00 119.80 142.25 72.95 20.00

-1.15 0.46 6.84 6.79 6.44

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.17 1.67 1.20 1.03 1.08 PCR-VOL 1.13 1.00 0.64 0.83 0.66

Historical Volatility


Derivative Report
Sep 20, 2012

FII Statistics for 18-September-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13117.22 54139.05 28498.48 2237.78 97992.53 Change (%) 3.95 0.83 2.30 4.70 1.75

Turnover on 18-September-2012
No. of Contracts Turnover (` in cr.) Change (%)




113.91 (638.41) (629.41) 11.68 (1142.23)

473295 1934419 1015316 75228 3498258


2,87,510 28,10,785 6,47,945 4,03,974 41,50,214

7758.46 78573.81 18324.82 11567.37 116224.46

-49.45 -43.97 -19.28 -27.91 -40.19

11038.38 11676.79 2130.24 1922.38 2759.65 1910.70

16325.15 17467.37

Nifty Spot =5600.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 59.85 21.00 59.85 5.60 21.00 5.60 15.40 84.60 5715.40 54.25 145.75 5654.25 Risk 38.85 Reward 61.15 BEP 5638.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 47.65 19.55 47.65 8.80 19.55 8.80 10.75 89.25 5489.25 38.85 161.15 5561.15 Risk 28.10 Reward 71.90 BEP 5571.90

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


Derivative Report
Sep 20, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012


Strategy Long Call Ladder Long Call Ratio Call Spread

Status Open Profit booked on 12-Sep-2012 Open

Research Team Tel: 022 - 39357800



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