Derivative Report

Nov 26, 2012

Comments
 The Nifty futures open interest decreased by 0.85% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.26% as market closed at 5626.60 levels.
 The Nifty Nov. future closed at premium of 6.75 point

against a premium of 12.70 points. The Dec. series closed at a premium of 39.70 points.
 The Implied Volatility of at the money options is

decreased from 11.15% to 10.74%.
 Nifty PCR-OI has decreased from 1.06 to 1.03 levels.  The total OI of the market is Rs.1,54,939/- cr. and the

stock futures OI are Rs.34,752/- cr.
 Few of the liquid counters where we have seen high

rollover are MCLEODRUSS, SUZLON, PUNJLLOYD, PEL and JPASSOCIAT. View OI Gainers
SCRIP HCLTECH KTKBANK UNITECH ZEEL VOLTAS OI 3703000 26192000 91924000 6792000 5174000 OI CHANGE (%) 25.12 16.53 15.03 9.76 9.02 PRICE 636.45 152.35 26.60 204.35 102.10 PRICE CHANGE (%) 1.38 9.02 -2.21 4.31 -1.30  FII’s were net buyers in cash market segment worth

of `366/- cr. On derivatives front FII’s continue to show muted activity on net basis, however in index futures they were net buyers while in index options some long unwinding was observed by them in Friday’s trade.
 On options front not much of buildup was observed

in put option however good amount of unwinding was seen in 5500-5600 put option. While in call option 5700 strike price has seen maximum buildup in open interest in Friday’s trading session.
 Rollover in NIFTY and BANKNIFTY future is in line at

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

23% and 16% respectively.
 TATAMOTORS has seen good amount of short

ALOKTEXT PUNJLLOYD IOC CROMPGREAV SRTRANSFIN

39380000 35704000 1484000 9302000 394500

-10.84 -9.58 -9.18 -6.61 -6.29

11.15 49.45 259.05 114.55 631.45

0.00 -1.00 0.21 2.97 1.39

psotions getting buildup at higher level. However in Friday’s trade the stock has seen some long buildup around its support of `255 with increase in CoC. Hence we feel the counter could see short covering bounce which could take the stock to around `274. Go long with the stop loss of `254.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE MCDOWELL-N PCR-OI 1.03 0.85 0.45 0.31 0.86 PCR-VOL 0.96 0.97 0.63 0.43 0.49

Historical Volatility
SCRIP BHUSANSTL KTKBANK RANBAXY NTPC ZEEL HV 16.04 60.47 26.64 27.20 46.93

www.angelbroking.com

1

Derivative Report
Nov 26, 2012

FII Statistics for 23-November-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8859.98 53273.76 30763.91 2849.75 95747.40 Change (%) 1.90 (0.95) 2.02 0.93 0.35

Turnover on 23-November-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1191.14

1176.78

14.37 (196.78) (99.07) (42.49) (323.98)

355103 1892450 1147313 105446 3500312

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,79,477 35,75,236 5,90,753 2,70,767 47,16,233

7597.66 101084.09 17071.66 8239.90 133993.30

-0.51 9.59 15.13 -5.23 8.59

12203.35 12400.14 3658.75 1144.43 3757.82 1186.93

18197.69 18521.67

Nifty Spot =5626.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 49.25 8.65 49.25 1.30 8.65 1.30 7.35 92.65 5707.35 47.95 152.05 5647.95 Risk 40.60 Reward 59.40 BEP 5640.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 17.05 3.05 17.05 1.25 3.05 1.25 1.80 98.20 5498.20 15.80 184.20 5584.20 Risk 14.00 Reward 86.00 BEP 5586.00

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

www.angelbroking.com

2

Derivative Report
Nov 26, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012 19-Nov-2012

Symbol NIFTY TATAMOTORS DLF AXISBANK

Strategy Long Put Long Put Ladder Bear Put Spread Long Put

Status Open Profit booked on 19-Nov-2012 Profit booked on 19-Nov-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team
Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539
www.angelbroking.com 3