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Derivative Report

India Research
The Nifty futures open interest increased by 18.87% while

Nifty Vs OI

Feb 23, 2012

Minifty futures open interest in decreased by 11.69% as market closed at 5505.35 levels.
The Nifty Feb. future closed at a Premium of 12.75 point

against a Premium of 15.00 points. The March series closed at a Premium of 57.30 points.
The Implied Volatility of at the money options is

increased from 21.92% to 25.32%.

The PCR-OI has being decreased from 1.80 to 1.62

The total OI of the market is `1,58,335/-cr. and the

stock futures OI are `36,624/-cr.

Few of the large cap stocks where we have seen low

rollovers are UNITECH, HINDUNILVR and M&M.



OI Gainers
SCRIP ESSAROIL ADANIPORTS MCDOWELL-N ITC STER OI 13988000 8392000 2810250 31660000 30626000 OI CHANGE (%) 35.81 25.97 20.92 17.16 15.59 PRICE 69.35 143.85 574.00 208.55 119.55 PRICE CHANGE (%) 1.39 -5.76 -13.61 0.55 -6.82

FIIs were net buyers in cash market segment; they

were net buyers worth of `830/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front 5500-5700 call option have seen

good amount of buildup in open interest, while in put option 5500 and 5600 strike price have seen maximum unwinding in open interest in yesterdays trading session.
Rollovers in NIFTY futures are at 57.83% and that of

OI Losers
SCRIP VIPIND 3IINFOTECH SOUTHBANK BOMDYEING OIL OI 2561250 6016000 10140000 534000 137000 OI CHANGE (%) -37.01 -24.19 -23.53 -22.50 -22.27 PRICE 111.10 18.70 26.85 458.65 1305.75 PRICE CHANGE (%) -10.98 -9.44 -3.76 -3.32 -0.05

BANKNIFTY futures are at 54.61%.

We have seen good amount of short covering

followed by some long buildup in the counter of GESHIP in past few trading sessions. The counter has seen some long unwinding in last two trading session, however we have not seen much of volume in cash market segment while the stock going down. Hence we recommend to buy on dips at around `245-248 levels with the target price of `274 and stop loss at `233.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.62 1.80 1.08 0.82 1.07 PCR-VOL 1.16 0.94 0.69 0.47 0.61

Historical Volatility

55.80 98.71 91.29 64.16 64.13 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 22-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 22164.72 51403.51 32719.63 1771.67 108059.53 Change (%) 21.59 4.59 -0.46 -1.89 6.05

Turnover on 22-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)




(346.98) 643.74 (696.08) (11.88) (411.21)

802087 1867790 1096786 60367 3827030


918957 5312176 1449197 255681 7936011

24698.93 147922.69 43918.08 7873.02 224412.72

28.07 60.14 21.81 36.58 46.22

18331.01 17687.27 9859.25 10555.34 151.82 163.70

35223.09 35634.29

Nifty Spot =5505.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 40.60 4.95 40.60 0.75 4.95 0.75 4.20 95.80 5604.20 39.85 160.15 5539.85 Risk 35.65 Reward 64.35 BEP 5535.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 23.75 4.05 23.75 1.00 4.05 1.00 3.05 96.95 5396.95 22.75 177.25 5477.25 Risk 19.70 Reward 80.30 BEP 5480.30

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

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 30-01-2012 06-02-2012 13-02-2012 21-02-2012


Strategy Long Call Ladder Short Strangle Ratio Call Spread Bull Call Spread

Status Open Open Open Open

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Derivative Research Team

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