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Derivative Report

Nov 16, 2012

 The Nifty futures open interest decreased by 6.76% while

Nifty Vs OI

BankNifty futures open interest is decreased by 5.57% as market closed at 5631.00 levels.
 The Nifty Nov. future closed at premium of 18.15 point

against a premium of 13.75 points. The Dec. series closed at a premium of 53.60 points.
 The Implied Volatility of at the money options is

increased from 11.95% to 12.45%.
 Nifty PCR-OI is decreased from 1.06 to 1.01 levels.  The total OI of the market is Rs.1,49,108/- cr. and the

stock futures OI are Rs.34,314/- cr.
 Few of the liquid counters where we have seen high cost

of carry are NHPC, IGL, IVRCLINFRA, GSPL and INDIACEM. View OI Gainers
SCRIP PETRONET TATAGLOBAL UNITECH NMDC HCLTECH OI 3392000 14634000 87810000 1658000 2799000 OI CHANGE (%) 23.17 19.89 17.36 15.62 13.05 PRICE 160.40 178.85 28.35 169.60 620.65 PRICE CHANGE (%) -3.55 4.89 6.73 -4.45 0.98  FII’s were net buyers in cash market segment worth

of `47/- cr. On derivatives front significant amount of long unwinding was observed by them in index futures, while in index options on net basis there was muted performance by them in yesterday’s trade.
 On options front 5500-5700 call option has seen

significant amount of buildup in open interest followed by some unwinding in 5900-6000 call option. While in put option not much of buildup was seen however considerable amount of unwinding was seen in 5500-5700 strike price in yesterday’s trading session.
 The recent bounce in CAIRN was mainly due to short

OI Losers


13066000 4128000 28236000 6591500 33744000

-15.12 -14.75 -12.39 -10.12 -7.62

28.25 226.90 106.30 1850.50 68.80

4.82 0.38 -1.62 2.47 2.91

covering. The counter has seen good amount of short position getting buildup at higher levels and some of them are still intact. With crude oil price coming down and also around `345-346 levels the counter could face some resistance. Hence we recommend to go short on this stock at around `340-342 levels with the target price of `320 and stop loss at `350.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN MCDOWELL-N RELIANCE PCR-OI 1.01 0.83 0.52 0.95 0.35 PCR-VOL 0.83 0.72 0.65 0.68 0.52

Historical Volatility


Derivative Report
Nov 16, 2012

FII Statistics for 15-November-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9166.01 52458.34 29877.65 2566.04 94068.04 Change (%) (14.17) 0.50 0.74 0.46 (1.25)

Turnover on 15-November-2012
No. of Contracts Turnover (` in cr.) Change (%)




(1261.33) (53.29) (321.89) 18.39 (1618.12)

368768 1861747 1095626 93347 3419488


2,79,644 28,49,299 5,05,088 3,13,051 39,47,082

7532.11 81310.57 15016.95 9667.28 113526.90

15.43 31.47 -5.73 -3.82 20.32

12744.19 12797.48 1357.25 1377.84 1679.14 1359.45

16546.98 18165.10

Nifty Spot =5631.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 32.95 9.90 32.95 3.50 9.90 3.50 6.40 93.60 5806.40 29.45 170.55 5729.45 Risk 23.05 Reward 76.95 BEP 5723.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 32.95 11.30 32.95 4.60 11.30 4.60 6.70 93.30 5493.30 28.35 171.65 5571.65 Risk 21.65 Reward 78.35 BEP 5578.35

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

Nifty Put-Call Analysis


Derivative Report
Nov 16, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012


Strategy Long Put Long Put Ladder Bear Put Spread

Status Open Open Open

Research Team Tel: 022 - 39357800



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