Derivative Report

India Research
 The Nifty futures open interest increased by 1.68% while

Nifty Vs OI

Feb 09, 2012

Minifty futures open interest increased by 3.08% as market closed at 5368.15 levels.
 The Nifty Feb. future closed at a Premium of 20.55 point

against a Premium of 20.02 points. The March series closed at a Premium of 47.80 points.
 The Implied Volatility of at the money options is

decreased from 22.11% to 21.64%.
 The PCR-OI has being decreased from 1.43 to 1.41

 The total OI of the market is `1,32,987.1/-cr. and the

stock futures OI are `31,668/-cr.
 Few of the liquid counters where we have seen high cost-


OI Gainers
SCRIP BHARTIARTL VIPIND BFUTILITIE CHAMBLFERT BEL OI 15442000 3081250 569000 3284000 43250 OI CHANGE (%) 41.37 40.94 33.41 29.80 29.10 PRICE 354.00 117.95 433.35 91.75 1535.05 PRICE CHANGE (%) -6.53 6.21 6.93 6.19 3.56

 FII’s were net buyers in cash market segment; they

were net buyers worth of `384/-cr. in yesterday’s trading session. On derivatives front they were net buyers in index futures, while in index options they were net sellers.
 On Options front 5500 call option have seen

maximum buildup of open interest, while in put option 5300 and 5400 strike price have seen some buildup of open interest and 4900 put option have seen some unwinding in yesterday’s trading session.
 We have observed good amount of long buildup in

OI Losers
SCRIP JETAIRWAYS COLPAL SOUTHBANK CENTRALBK GESHIP OI 1746000 113000 6180000 1886000 340000 OI CHANGE (%) -29.11 -13.58 -12.59 -11.12 -10.99 PRICE 330.75 1025.10 25.90 98.35 252.20 PRICE CHANGE (%) -2.98 0.31 2.98 -0.96 2.29

the counter of TATAMTRDVR at lower levels, however in the past few trading session we have seen some long unwinding taking place into this stock and further we can anticipate some more unwinding to follow into this counter by other participants. Hence we recommend to go short with the target price of `113 and stop loss at `132.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.41 1.69 0.83 1.00 0.87 PCR-VOL 1.11 1.35 0.66 0.75 0.65

Historical Volatility

33.61 84.22 76.79 45.75 66.47 For Private Circulation Only 1

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Derivative Report | India Research

FII Statistics for 09-Feb-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 15177.20 39486.63 29223.18 1520.58 85407.59 Change (%) 3.14 3.21 1.67 9.95 2.80

Turnover on 09-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)




184.34 (94.71) (564.30) (46.43) (521.11)

566464 1471782 1018432 54013 3110691


569388 3131803 633042 192079 4526312

14325.68 84100.19 18004.17 5610.9 122040.93

11.78 0.27 0.29 13.98 2.07

17052.55 17147.26 1757.74 730.70 2322.05 777.13

21636.99 22158.10

Nifty Spot =5368.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 85.80 43.45 85.80 18.95 43.45 18.95 24.50 75.50 5524.50 66.85 133.15 5466.85 Risk 42.35 Reward 57.65 BEP 5442.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 60.55 35.70 60.55 20.30 35.70 20.30 15.40 84.60 5184.60 40.25 159.75 5259.75 Risk 24.85 Reward 75.15 BEP 5275.15

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 30-01-2012 06-02-2012


Strategy Long Call Ladder Short Strangle

Status Open Open

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