Daily Derivatives Daily Deriv

11 October 2012 1 1 Oct obe r 201 2

Market Activity
o Nifty Futures lost 51 points (-0.90%) to close at 5672.45. o Nifty September Future is trading at a premium of 20 points against a premium of 18. o Nifty Future Open Interest stands at 2.72 cr shares (- 6.60 lakh shares) -2.36% o Total open interest in Nifty call options is at 7.16 cr shares (+33.12 lakh shares) +4.85% o Total open interest in Nifty Put options is at 7.12 cr shares (+ 11.22 lakh shares) +1.60%

Market Statistics
Trade Data Symbol No. of Traded Contracts Index 3,49,364 Futures Stock 4,46,215 Futures Index 29,89,553 Options Stock 2,64,476 Options 40,49,608 Total Turnover in (Rs CR) 9,328.28 13,756.44 85,795.76 8,687.89 1,17,568.37 FNO FII Activity 10-OctSymbol 10-Oct2012 Index futures Index options Stock futures Stock options Total -1012.37 239.58 -424.31 -39.21 -1236.30 09-Oct09-Oct2012 -6.88 -109.86 -87.38 -56.20 -260.31

Gross Open Interest SYMBOL OI (IN CR.) Fut Stock 34030.47 Nifty fut 15488.25 Fut Index 17955.24 Stock 212.92 options Index 3323.16 options Total 55521.78

OI IN SHARES 182.38 2.73 3.05 44.02 14.54 244.00

Sentiment Indicators For Nifty 10-OCT- 09-OCT10-OCT- 09-OCT2012 Particular 2012 PCR OI PCR Volume Implied volatility Implied call volatility Implied put volatility 0.99 1.00 16.02 15.92 16.12 1.03 1.09 16.10 15.41 16.73

M arkets Vie w M arkets View Markets failed to sustain 5700 and now it may drifty back to 5600. Nifty can touch 5600 by next week and do a bounce back till 5700, but if it fails to cross 5700 then correction can be even deeper to 5400 levels. PCR OI is caught in a range from 1.00 to 1.10 marks from past expiry suggest that option writers are not having any decisive direction for the market. Result season will kick off with infy results on Friday which might ne the new trigger for the market.

Miraj Vora. Mira j Vora.

1 1

Derivative Analyst Derivative Analyst Derivative Analyst

Daily Derivatives Daily Deriv

11 October 2012 1 1 Oct obe r 201 2

Nifty Statistics & View

Nifty Open Interest Distribution
Open Interest With Implied Vol
12000000 10000000 8000000 6000000 4000000 2000000 0 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 call OI Put OI Implied Vol 30.00 25.00 20.00 15.00 10.00 5.00 0.00

Open interest View and comments Nifty has seen addition in 5400 and 5500 put by 8.8 lakh and 6.02 lakh shares respectively. Nifty 5700 and 5900 call has seen addition of 13.61 and 7.96 lakh share respectively. Mean expiry for the series stands at 5700 with extreme ends at 5500 and 6000.

Change Nifty Change in Open Interest Change Strike Wise

Change in Open Interest 1500000 1000000 500000 0 4300 4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 -500000 6000 Call OI Put OI

S t rike P rice

7,000 6,000 NIFTY FUT 5,000 4,000 3,000 2,000 1,000 0

4-Jan-10

NIFTY FUT WITH OPEN INTEREST IN SHARES FROM 2010

5.0 OI IN SHARES 4.0 3.0 2.0 1.0

OI IN SHARES

Nifty Fut

22 DMV (OI IN SHARES)

0.0

1-Apr-10 28-Jun-10 20-Sep-10 14-Dec-10 11-Mar-11 8-Jun-11

7-Sep-11 7-Dec-11 2-Mar-12 31-May-12 27-Aug-12

7,000 NIFTY FUT 6,000 5,000 4,000 3,000 2,000 1,000 0

NIFTY VS PCR OI SINCE 2010

2.50 2.00 1.50 1.00 0.50 PCR OI

NIFTY FUT

PCR oi

0.00

4-Jan-10 1-Apr-10 28-Jun-10 21-Sep-10 15-Dec-10 15-Mar-11 10-Jun-11 7-Sep-11 7-Dec-11 2-Mar-12 30-May-12 24-Aug-12

Miraj Vora. Mira j Vora.

2 2

Derivative Analyst Derivative Analyst Derivative Analyst

Daily Derivatives Daily Deriv

11 October 2012 1 1 Oct obe r 201 2

Sector Wise Statistics & View

Sector Analysis Sector Analysis Infrastructure and media sector has seen short built up. Reality sector has seen liquidation of long positions

Option Strategies Daily Strategies Stock Strategy Action

INFY Short Straddle Sell 2200 PE @ 20 SELL 2800 CE @ 20

BEP
2840216 0

Risk
UNLIMITED

Reward
1 0000

Miraj Vora. Mira j Vora.

3 3

Derivative Analyst Derivative Analyst Derivative Analyst