Derivative Report

Sep 26, 2012

Comments
The Nifty futures open interest increased by 8.30% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.61% as market closed at 5673.90 levels.
The Nifty Sept. future closed at premium of 9.10 point

against a premium of 12.05 points. The Oct. series closed at a premium of 34.80 points.
The Implied Volatility of at the money options is

decreased from 17.95% to 16.52%.

Nifty PCR-OI has decreased from 1.23 to 1.22 levels. The total OI of the market is `1,70,390/- cr. and the

stock futures OI are `36,782/- cr.

Few of the liquid counters where we have seen low

rollovers are FEDERALBNK, PFC, ORIENTBANK, CANBK and DABUR. View OI Gainers
SCRIP CAIRN PANTALOONR GODREJIND ULTRACEMCO ARVIND OI 21097000 17680000 1132000 855000 6576000 OI CHANGE (%) 129.81 38.78 37.21 20.13 19.30 PRICE 333.75 206.55 291.55 1836.30 79.00 PRICE CHANGE (%) -3.78 9.55 7.28 0.51 6.30 FIIs continue to buy in cash market segment; they

were net buyers worth of `5,846/- cr. On derivatives front good amount of long buildup was formed by them in index futures, while in index options some long unwinding was observed.
On

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

options front 5800 call option has seen significant amount of buildup in open interest followed by some unwinding in 5400-5500 call option, while in put option most of the strike price has seen decent unwinding except in 5700 strike price where some buildup was observed and 5500 put option has seen maximum unwinding in yesterdays trade. BankNifty futures the rollover is quite less at 26% compared to its last three month average.

Rollover in Nifty futures is in line at 39%, while that of

COREEDUTEC ESSAROIL SREINFRA GLAXO SOBHA

5291000 5472000 1872000 17750 102000

-29.97 -27.54 -26.65 -25.65 -19.05

336.30 49.40 25.85 1987.20 351.50

-0.24 -5.18 1.77 0.11 1.68

The recent bounce in STER was mainly due to short

covering. The stock in last 3-4 trading session has seen good amount of short positions getting buildup at higher levels and also majority of the short positions in this counter formed during the start of this expiry is still intact. Hence we recommend to go short on this stock with the target price of `94 and stop loss at `105. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.22 1.44 1.18 1.07 1.03 PCR-VOL 1.00 0.92 0.79 0.91 0.66

SCRIP BOMDYEING GODREJIND AUROPHARMA MCDOWELL-N RENUKA

HV 55.40 50.41 50.46 74.79 55.62

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Derivative Report
Sep 26, 2012

FII Statistics for 25-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 19479.54 56570.32 32355.97 2468.79 110874.62 Change (%) 16.07 (1.34) 3.92 (3.68) 2.87

Turnover on 25-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

5725.49

5080.53

644.96 (658.74) (610.32) 95.13 (528.96)

699820 1993634 1108595 82284 3884333

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,81,156 45,37,040 12,21,369 3,28,327 66,67,892

16170.68 129056.52 36082.59 10252.85 191562.63

34.78 9.42 22.46 -15.58 11.67

16867.76 17526.51 9214.71 1615.39 9825.02 1520.25

33423.35 33952.31

Nifty Spot =5673.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 20.00 2.80 20.00 0.70 2.80 0.70 2.10 97.90 5802.10 19.30 180.70 5719.30 Risk 17.20 Reward 82.80 BEP 5717.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 34.90 5.40 34.90 1.15 5.40 1.15 4.25 95.75 5595.75 33.75 166.25 5666.25 Risk 29.50 Reward 70.50 BEP 5670.50

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

Nifty Put-Call Analysis

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Derivative Report
Sep 26, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012 24-Sep-2012

Symbol AXISBANK NIFTY BHEL BHARTIARTL

Strategy Long Call Ladder Long Call Ratio Call Spread Bull Call Spread

Status Strategy close with no profit no loss on 21-Sep-2012 Profit booked on 12-Sep-2012 Strategy close with no profit no loss on 21-Sep-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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

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