Derivative Report

India Research
Aug 25, 2011 Comments
 The Nifty futures’ open interest increased 16.50% while

Nifty Vs OI

Minifty futures’ open interest increased by 7.25% as market closed at 4888.90 levels.
 The Nifty Aug future closed at a discount of 5.09 point

against a discount of 1.50 points, while the Sep futures closed at a premium of 2.90 points.
 The Implied Volatility of at the money options increased

from 29.50% to 30.00% for Aug. series, and for Sep. series it is 25.50%.
 The PCR-OI has decreased from 0.97 to 0.95 points.  The total OI of the market is `150,841cr and the stock

futures OI is `30,687cr.
 Rollover for Nifty futures is 54.90% and for Minifty it is

48.66%. The market wide rollover is 61.08%.

OI Gainers
SCRIP COALINDIA VOLTAS TATAPOWER VIPIND SUNPHARMA OI 2631000 3880000 1190000 654500 2968500 OI CHANGE (%) 56.61 16.73 15.90 15.84 14.35 PRICE 373.90 114.90 1038.30 838.50 465.45 PRICE CHANGE (%) -4.71 0.52 -4.42 -1.57 -1.28

 FIIs continued their selling in the cash market

segment. They were net sellers of `883cr in the cash. They formed some long positions in the Index futures and the stock futures.
 In the last trading session, considerable build up was

OI Losers
SCRIP GMDCLTD NEYVELILIG M&M CHAMBLFERT FSL OI 622000 1728000 2919000 8976000 34488000 OI CHANGE (%) -29.95 -22.72 -18.82 -14.35 -13.09 PRICE 179.05 83.70 697.45 102.45 12.40 PRICE CHANGE (%) -0.47 -0.65 -1.66 -3.12 -0.40

observed in the 4900 and 5000 call. On the other hand, unwinding was observes in the 4900 and 5000 Put options. In September series the 5000 call and most of the puts added considerable open interest.
 Yesterday, major rollover has been witnessed and

Nifty added a considerable open interest. Few liquid stocks where rollover is less are NATIONALUM, SAIL, BHARTIARTL, TITAN and ITC.
 LT is showing some strength. Continuous build up

was also observed. We may see a positive move up to `1600-1610. Traders can trade with positive bias with a stop loss of `1537.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN BANKNIFTY TATAMOTORS PCR-OI 0.95 0.35 0.32 0.90 0.23 PCR-VOL 0.95 0.57 0.51 0.85 0.39

Historical Volatility

72.17 47.20 41.63 45.50 60.76

SEBI Registration No: INB 010996539

For Private Circulation Only


Derivative Report | India Research

FII Statistics for 24-Aug-2011
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 16634.50 52925.23 30315.16 598.58 100473.47 Change (%) 20.76 1.72 0.07 -10.23 12.32

Turnover on 24-Aug-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)


8004.62 8197.87 7832.24 83.94

7666.01 6788.08 7665.29 60.34

338.61 1,409.79 166.96 23.60 1,938.95

687176 2165646 1272775 26428 4152025

Index Futures Stock Futures Index Options Stock Options Total

958140 1117168 5076832 130143 7282283

22562.07 27074.23 126556.67 3335.57 179528.54

13.84 6.20 4.14 -2.64 5.44

24118.67 22179.72

Nifty Spot =4888.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 146.70 97.60 146.70 62.05 97.60 62.05 35.55 64.45 5035.55 84.65 115.35 4984.65 Risk 49.10 Reward 50.90 BEP 4949.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 121.60 91.65 121.60 69.70 91.65 69.70 21.95 78.05 4678.05 51.90 148.10 4748.10 Risk 29.95 Reward 70.05 BEP 4770.05

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

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539


Derivative Report | India Research

Strategy Date 01-Aug-2011 08-Aug-2011 16-Aug-2011 22-Aug-2011


Strategy Bull Call Spread Short Strangle Long Put Long Call

Status Loss booked on 09-Aug-2011 Loss booked on 09-Aug-2011 Continue Continue

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Derivative Research Team
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