Derivative Report

June 4, 2012

Comments
 The Nifty futures open interest increased by 7.71% while

Nifty Vs OI

BankNifty futures open interest is increased by 8.60% as market closed at 4841.60 levels.
 The Nifty June future closed at a discount of 17.05 point

against a discount of 2.65 points. The July series closed at a discount of 0.45 points.
 The Implied Volatility of at the money options is

increased from 22.60% to 24.56%.
 The PCR-OI has being increased from 1.09 to 1.23

levels.
 The total OI of the market is `90,671/-cr. and the stock

futures OI are `21,650/-cr.
 Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, COREEDUTEC, SKUMARSYNF and RUCHISOYA. OI Gainers
SCRIP ARVIND IGL GSPL ABB GAIL OI 2448000 2366000 3476000 155250 1428000 OI CHANGE (%) 26.97 20.90 19.20 19.19 19.10 PRICE 71.70 249.15 70.65 716.25 330.25

TTML,

View
PRICE CHANGE (%) -7.48 28.86 11.70 -2.44 2.82  FII’s were net sellers in cash market segment; they

were net sellers worth of `220/- cr. On derivatives front they were net sellers in index futures with good amount of buildup in open interest indicating some shorts buildup by them, while in index options they were net buyers and here also we have observed significant amount of buildup in open interest by them.
 On options front 5000-5100 call option have seen

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

good amount of buildup, while in put option 4200 strike price have seen maximum buildup in open interest followed by 4500-4700 strike price in Friday’s trading session.
 We have seen good amount of short positions getting

TECHM DIVISLAB HDFC MCDOWELL-N SIEMENS

267500 495000 6718500 1412750 245500

-10.98 -10.16 -8.47 -8.04 -7.62

656.55 908.70 643.25 582.95 644.45

-2.52 -2.66 -1.74 3.41 -4.89

buildup in the counter of TATASTEEL since last few trading session and also the rollover in this counter was quite high indicating most of the short position has being carried forward in this series. Hence we feel the stock could see more downside which could take the counter to around `364. Hence go short with the stop loss of `403.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.23 0.64 0.73 0.27 0.54 PCR-VOL 0.97 0.70 0.66 0.34 0.54

Historical Volatility
SCRIP GSPL IGL PETRONET INDIANB UNIONBANK HV 61.76 140.90 55.74 58.81 55.43

www.angelbroking.com

1

Derivative Report
June 4, 2012

FII Statistics for 1-June-2012
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7143.85 34928.92 19755.17 494.57 62322.52 Change (%) 8.31 13.02 1.85 257.03 9.15

Turnover on 1-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1127.78

1623.75

(495.97) 2054.48 123.30 70.48 1752.29

304231 1443398 860677 21179 2629485

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

444173 2271315 464907 147652 3328047

10077.83 55844.78 10358.28 3500.55 79781.44

-45.39 -61.24 -61.17 -46.00 -59.23

14691.52 12637.04 1338.41 615.93 1215.11 545.46

17773.64 16021.35

Nifty Spot =4841.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 142.70 90.30 142.70 52.10 90.30 52.10 38.20 61.80 4938.20 90.60 109.40 4890.60 Risk 52.40 Reward 47.60 BEP 4852.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 166.55 120.30 166.55 85.65 120.30 85.65 34.65 65.35 4765.35 80.90 119.10 4819.10 Risk 46.25 Reward 53.75 BEP 4853.75

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

Nifty Put-Call Analysis

www.angelbroking.com

2

Derivative Report
June 4, 2012

Strategy Date

Symbol

Strategy

Status

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team
Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com

3

Master your semester with Scribd & The New York Times

Special offer for students: Only $4.99/month.

Master your semester with Scribd & The New York Times

Cancel anytime.