Derivative Report

India Research
 The Nifty futures’ open interest decreased by 7.64% while

Nifty Vs OI

Dec 12, 2011

Minifty futures’ open interest increased by 0.29% as market closed at 4866.70 levels.
 The Nifty Dec. future closed at a Premium of 19.20 point

against a Premium of 12.95 points. The January Series closed at a Premium of 43.70 points.
 The Implied Volatility of at the money options is

increased from 27.16% to 29.10%.
 The PCR-OI has decreased from 1.14 points to 1.08

 The total OI of the market is `1,22,412.20cr. and the

stock futures OI are `26,830.36cr.
 Stocks were cost of carry is positive are RUCHISOYA,


OI Gainers
SCRIP VIPIND CESC BGRENERGY 3IINFOTECH ASHOKLEY OI 3888750 766000 851000 9424000 24824000 OI CHANGE (%) 14.33 14.33 11.97 11.13 10.98 PRICE 102.05 230.00 236.40 17.85 25.50 PRICE CHANGE (%) -1.69 -4.88 -6.34 -7.03 -0.78

 FII’s were net sellers in cash market segment on

Friday’s trading session; they were net sellers worth `249/- cr. On Derivatives front they were net sellers in index futures indicating some more long unwinding by them and in index options also they were net sellers.
 On Options front deep out-of-the money and in the

OI Losers
SCRIP SREINFRA TATAPOWER CIPLA BAJAJ-AUTO DRREDDY OI 4256000 8451000 2589000 1047750 710500 OI CHANGE (%) -16.61 -12.89 -11.73 -10.68 -10.52 PRICE 28.20 95.20 325.65 1670.35 1572.45 PRICE CHANGE (%) -0.35 -3.05 -0.79 -3.34 1.12

money put options of 4400,5000 and 5100 strike price have seen some unwinding, while in call options 4800-5100 strike price have seen good amount of buildup in open interest.
 We have seen continuous buildup of positions in

RELIANCE in December series and we believe it’s a blend of both long and short positions, there is a scope of further addition of position in this counter and also this counter had taken the support near current level in recent past. This is a short term call where we would suggest to buy RELIANCE with the target price of `792 and stop loss at `738.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY ICICIBANK RELIANCE PCR-OI 1.08 0.88 0.79 0.40 0.53 PCR-VOL 0.91 0.76 0.78 0.31 0.63

Historical Volatility

76.75 34.24 75.59 37.57 40.29 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 09-Dec-2011
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11052.03 47627.21 25120.93 832.47 84632.65 Change (%) -10.91 3.69 -0.45 21.66 0.42

Turnover on 09-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)



3137.57 (1,091.51)

459607 1957337 1115549 37010 3569503

Index Futures Stock Futures Index Options Stock Options Total

775461 524882 4278826 164281 5743450

17520.04 11975.29 106442.62 3809.95 139747.90

1.88 3.70 8.92 3.60 7.38

23782.89 25255.44 (1,472.55) 1986.11 531.39 1883.99 545.60 102.12 (14.21)

28346.45 30822.61 (2,476.16)

Nifty Spot =4866.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 122.20 78.55 122.20 47.40 78.55 47.40 31.15 68.85 5031.15 74.80 125.20 4974.80 Risk 43.65 Reward 56.35 BEP 4943.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 96.10 66.55 96.10 44.35 66.55 44.35 22.20 77.80 4677.80 51.75 148.25 4748.25 Risk 29.55 Reward 70.45 BEP 4770.45

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 28-11-2011 05-12-2011


Strategy Long Call Long Put

Status Did not triggered Open

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