Nifty Quant Analysis for Feb 29, 2012

Nifty clocked intraday volatility of 1.6%, which is lower than the long term average. Immediate support level lies at 5324 and resistance level lies at 5409 respectively. FII's bought INR 2937.55 and sold INR 2209.96 crores, whereas DII's
bought INR 1283.87 and sold INR 1871.08 crores in the cash market respectively. Indian rupee strengthens by INR -0.12 vis-a-vis USD.
Nifty Intra Day Call for Feb 29, 2012

NSE CASH TURNOVER, FII & DII, Adv/Dec Activity

Initiating a Short Trade with SL 5391

20,000

10 Yr Gsec / Overnight MIBOR (%) Spread

Historical Nifty Movement vis-a-vis EPS Change

18,000

6.00%

1,000

0%

1.00%

-2%

6,000

0.00%

4,000

14,000

10,000

4-Nov-11

4-Jan-12

4-Sep-11

4-May-11

4-Jul-11

4-Mar-11

4-Nov-10

4-Jan-11

4-Sep-10

4-May-10

4-Jul-10

2,000

2,000

Unchanged

Nifty MidCap 50

50
30
20

-2,000

10
0

27-Feb-12

25-Feb-12

23-Feb-12

DII (Net)

21-Feb-12

19-Feb-12

17-Feb-12

15-Feb-12

13-Feb-12

11-Feb-12

FII (Net)

9-Feb-12

7-Feb-12

5-Feb-12

3-Feb-12

1-Feb-12

Spread

Declines

40

30-Jan-12

90 Days EPS Change

Advances

4,000

8,000

4-Jan-10

-2.00%

6,000

12,000

3.00%

-1.00%

8,000

16,000

4-Mar-10

Nifty Close

4-Jan-12

2.00%

4-Sep-11

2%

4-Nov-11

4%

2,000

4-May-11

3,000

4-Jul-11

6%

4-Mar-11

4,000

4.00%

4-Jan-11

8%

4-Sep-10

5,000

4-Nov-10

5.00%

4-May-10

10%

4-Jul-10

6,000

4-Mar-10

12%

4-Jan-10

7,000

60
50
40
30
20
10
0

10,000

Advances

Declines

Unchanged

Nifty Junior

Turnover (Rs. Cr)

Short Level from 5398 till 5373 & Square Off Level 5346
Nifty Option Analytics

45
40
35
30
25
20
15
10
5
0
Advances

Declines

400,000
350,000
300,000
250,000
200,000
150,000
100,000
50,000
0
-50,000
-100,000
-150,000

Highest Call and Put Trades

250,000

250,000

200,000

200,000

150,000

150,000

100,000

100,000

50,000

50,000

Unchanged

5,600

Nifty

5,500

5,700

5,300

No of Contracts Traded (CE)

5,200

5,400

No of Contracts Traded (PE)

1,200,000
1,000,000
800,000
600,000
400,000
200,000
0
-200,000
-400,000

2,700
3,000
3,300
3,600
3,900
4,200
4,500
4,800
5,100
5,400
5,700
6,000
6,300
6,600
6,900
7,200
7,500

Nifty Advance & Declines

Change in Open Interest (Current Month)

2,700
3,000
3,300
3,600
3,900
4,200
4,500
4,800
5,100
5,400
5,700
6,000
6,300
6,600
6,900
7,200
7,500

Nifty Put Call Ratio is at 1.433

-600,000
-800,000

Cng in OI (CE)

Cng in OI (PE)

DO NOT TRADE IF OPTIMAL ENTRY POINTS ARE BREACHED BY MORE THAN 0.30% UP OR DOWN DEPENDING UPON BUY OR SELL CALL

Asia

China
HangSeng
Japan
Australia
Time Stamp

Index

2,452.29
21,568.73
9,722.52
4,262.70
2/28/2012 21:41

Movement

+5.24 (0.21%)
+350.87 (1.65%)
+88.59 (0.92%)
-4.70 (-0.11%)

Inst. Cash Market (IN RS CR)

FII Activity
Buy
28-Feb-12
2,937.55
DII Activity
Buy
28-Feb-12
1,283.87

Global Markets
Europe
Index
Movement

FTSE 100
CAC 40
EURO STOXX 5

Sell
2,209.96
Sell
1,871.08

5,921.69
3,448.54
2,515.11

+6.14 (0.10%)
+7.09 (0.21%)
+2.05 (0.08%)

Net
727.59
Net
-587.21

US

Dow Jones
S&P 500
Nasdaq

Index

12064.53
1277.94
2734.71

Movement

-0.0019
-0.0031
-0.0071

Moving Averages
5D MA

5,415

5,451

5,044

Nifty fundamentals

P/E
P/B
Div Yield (%)

Remember the strike rate is around 80%. Hence we hold 20% risk of non performance.

Support & Resistance

13D MA 90D MA 200D MA

5,168

S1

5,324

S2

5,273

S3

5,240

Nifty Spot Market Activity

19.05
3.03
1.47

Date
28-Feb-12

Open
5,311

High
5,391

Low
5,306

Close
5,376

R1

5,409

R2

5,442

No of
Shares
Traded
208,133,889

R3

5,494

Turnover
(Rs. Cr)
7,816

Disclaimer: This report/message is for the personal information of the authorized recipient and does not construe to be any investment, legal or taxation advice to you. Himadri Roy is not soliciting any action based upon it. This report/message is not for public distribution and has been furnished to solely for your information and should not be
reproduced or redistributed to any other person in any other form. The report/message is based upon the information I consider reliable, but I do not represent that it is accurate or complete, and it should not be relied upon such.

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