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Derivative Report

Jan 01, 2013

The Nifty future open interest increased by 0.44% while

Nifty Vs OI

BankNifty future open interest is increased by 1.26% as market closed at 5905.10 levels.
The Nifty Jan. future closed at premium of 46.65 point

against a premium of 46.20 points. The Feb. series closed at a premium of 83.60 points.
The Implied Volatility of at the money options is

increased from 12.65% to 13.72%.

Nifty PCR-OI has increased from 1.00 to 1.01 levels. The total OI of the market is Rs.1,13,310/- cr. and the

stock futures OI are Rs.35,261/- cr.

Few of the liquid counters where we have seen high cost-




OI Gainers
SCRIP PETRONET NHPC SYNDIBANK AMBUJACEM VIJAYABANK OI 3974000 140280000 2280000 7300000 9052000 OI CHANGE (%) 18.13 10.75 6.94 6.85 6.64 PRICE 157.15 25.45 128.20 200.90 62.30 PRICE CHANGE (%) -1.21 -0.77 0.04 -0.02 0.48

FIIs continue to buy in cash market segment; they

were net buyers worth of `826/- cr. On derivatives front some long unwinding was seen by them in index futures, while in index options they formed some long buildup in yesterdays trade.
On options front 6100-6200 call option has seen

good amount of buildup in open interest, while in put option 5400 and 5700 strike price saw maximum buildup in open interest in yesterdays trading session.
The recent fall in JPASSOCIAT was mainly due to

OI Losers


3355000 1579000 8336000 989500 1375500

-7.09 -6.57 -6.15 -5.85 -5.40

427.10 350.15 173.70 1104.40 932.25

1.08 1.19 0.46 1.91 0.98

long unwinding. The stock has seen good amount of long positions getting buildup at lower level and majority of this positions are still intact. Around `9596 which was acting as resistance for this stock since last 2-3 expiry could now act as the support for this counter and hence can resume its uptrend. Go long with the target price of `105 and stop loss at `92.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.01 0.75 0.76 0.47 0.73 PCR-VOL 1.01 0.86 0.67 0.53 0.62

Historical Volatility

Derivative Report
Jan 01, 2013

FII Statistics for 31-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7659.24 32865.23 30630.65 1198.58 72353.69 Change (%) (2.53) 5.17 0.43 28.32 2.65

Turnover on 31-December-2012
No. of Contracts Turnover (` in cr.) Change (%)


367.71 4240.17 374.77 424.84 5407.48

618.17 3404.99 620.86 462.43 5106.45

(250.46) 835.18 (246.09) (37.59) 301.04

256817 1111079 951173 40674 2359743


1,19,420 11,16,099 2,48,894 1,19,696 16,04,109

3514.99 33193.35 8283.98 3877.77 48870.10

-32.37 -35.26 -26.04 -30.09 -33.25

Nifty Spot =5905.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 122.45 70.95 122.45 35.90 70.95 35.90 35.05 64.95 6035.05 86.55 113.45 5986.55 Risk 51.50 Reward 48.50 BEP 5951.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 70.40 40.55 70.40 22.15 40.55 22.15 18.40 81.60 5781.60 48.25 151.75 5851.75 Risk 29.85 Reward 70.15 BEP 5870.15

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

Nifty Put-Call Analysis

Derivative Report
Jan 01, 2013

Strategy Date 31-Dec-2012


Strategy Long call ladder

Status Open

Research Team Tel: 022 - 39357800



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