Derivative Report

India Research
 The Nifty futures open interest decreased by 3.00% while

Nifty Vs OI

Feb 13, 2012

Minifty futures open interest decreased by 9.80% as market closed at 5381.60 levels.
 The Nifty Feb. future closed at a Premium of 16.05 point

against a Premium of 24.70 points. The March series closed at a Premium of 46.00 points.
 The Implied Volatility of at the money options is

increased from 19.80% to 20.43%.
 The PCR-OI has being decreased from 1.45 to 1.41

 The total OI of the market is `1,37,195.1/-cr. and the

stock futures OI are `33,014/-cr.
 Few of the liquid counters where we have seen high cost-


OI Gainers
SCRIP CUMMINSIND OIL TATACHEM IFCI SOUTHBANK OI 404500 206250 865000 56480000 8270000 OI CHANGE (%) 47.09 42.73 25.18 23.38 20.38 PRICE 459.80 1321.30 357.00 38.90 26.45 PRICE CHANGE (%) 6.73 2.12 1.55 7.61 -0.75

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

were net buyer’s worth of `196/- cr. on Friday’s trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
 On Options front 5500 and 5600 call option have

seen some buildup in open interest, while in put option 5400 strike price have seen maximum buildup in open interest on Friday’s trading session.
 The counter of DCB has seen good amount of

OI Losers
SCRIP VIPIND ORIENTBANK SUNTV EKC DELTACORP OI 1878750 669000 1506000 3096000 7858000 OI CHANGE (%) -28.50 -20.55 -18.33 -17.13 -15.07 PRICE 114.70 303.15 340.80 42.90 79.35 PRICE CHANGE (%) -4.26 1.68 3.27 -3.92 -3.41

buildup in open interest in the past few trading session. We feel majority of the buildup is on the longer side. Hence we recommend to go long on this stock with the target price of `54 and stop loss at `45.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.41 1.73 0.86 0.94 0.81 PCR-VOL 1.08 1.24 0.68 0.51 0.53

Historical Volatility

30.59 55.49 51.52 47.51 38.11 For Private Circulation Only 1

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Derivative Report | India Research

FII Statistics for 10-Feb-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15699.37 41801.62 30417.21 1668.06 89586.26 Change (%) 2.30 3.56 0.84 3.69 2.44

Turnover on 10-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)



3237.52 (1,366.00) 724.04 (436.25) 12.01

584754 1553993 1049610 58802 3247159


596964 3580474 652701 217585 5047724

15198.61 96709.97 18831.4 6329.01 137068.99

25.14 26.84 4.75 8.20 22.14

20596.15 19872.10 2026.28 929.53 2462.52 917.52

25423.47 26489.66 (1,066.19)

Nifty Spot =5412.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 78.65 37.10 78.65 14.65 37.10 14.65 22.45 77.55 5522.45 64.00 136.00 5464.00 Risk 41.55 Reward 58.45 BEP 5441.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 44.90 23.10 44.90 11.65 23.10 11.65 11.45 88.55 5188.55 33.25 166.75 5266.75 Risk 21.80 Reward 78.20 BEP 5278.20

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

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SEBI Registration No: INB 010996539


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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Derivative Research Team
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