Derivative Report

Oct 04, 2012

Comments
The Nifty futures open interest increased by 3.61% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.22% as market closed at 5731.25 levels.
The Nifty Oct. future closed at premium of 37.00 point

against a premium of 35.35 points. The Nov. series closed at a premium of 65.50 points.
The Implied Volatility of at the money options is

increased from 15.07% to 15.37%.

Nifty PCR-OI is unchanged at 1.06 levels. The total OI of the market is `1,31,649/- cr. and the

stock futures OI are `33,282/- cr.

Few of the liquid counter where we have seen high Cost-

of-Carry are INDIACEM, GVKPIL, ASHOKLEY, JPPOWER and GRASIM. View OI Gainers
SCRIP IVRCLINFRA RELCAPITAL ANDHRABANK MPHASIS ABB OI 46032000 7619000 1166000 595000 204750 OI CHANGE (%) 37.79 16.05 14.76 14.42 14.07 PRICE 50.75 444.30 111.95 420.25 791.50 PRICE CHANGE (%) 4.19 0.10 -1.48 1.58 0.08 FIIs continue to buy in cash market segment; they

were net buyers worth of `602/- cr. On derivatives front they formed significant amount of long positions in both index futures and in index options in yesterdays trading session.
On options front 5800-6000 call option has seen

significant amount of buildup in open interest, while in put option 5600-5700 strike price has seen maximum buildup followed by some unwinding in 5200-5300 put option in yesterdays trading session.
The recent bounce in TATAMOTORS was mainly due

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

SYNDIBANK INDUSINDBK DRREDDY TECHM COLPAL

2004000 1735000 1371750 1628500 148750

-15.73 -8.73 -8.54 -7.16 -6.00

111.65 369.50 1683.15 994.20 1226.65

-1.41 1.52 2.37 -0.89 1.55

to short covering. `275-280 is the resistance for this stock and also 280 call option has maximum open positions with good amount of buildup seen in yesterdays trade. We feel majority of the buildup in the call option is on the shorter side and hence the counter could find difficult in crossing that level. Hence we recommend to go short with the target price of `260 and stop loss at `282.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY TATASTEEL PCR-OI 1.06 0.85 1.06 0.76 0.39 PCR-VOL 0.95 0.67 0.75 0.73 0.35

Historical Volatility
SCRIP SINTEX MRF SIEMENS HAVELLS TATACOMM HV 56.79 28.45 31.40 34.47 27.35

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Derivative Report
Oct 04, 2012

FII Statistics for 03-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15351.02 44737.99 29691.35 1264.11 91044.46 Change (%) 5.50 8.34 0.91 25.00 5.55

Turnover on 03-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2033.16 9470.16 1298.86 1217.95

1062.75 9126.61 1372.56 1317.51

970.41 343.55 (73.70) (99.55) 1140.71

548161 1561282 1004021 40449 3153913

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,70,484 19,88,289 5,09,037 2,26,187 29,93,997

7502.15 57318.79 15719.11 7499.82 88039.87

39.58 29.92 22.87 36.41 29.88

14020.13 12879.42

Nifty Spot =5731.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 69.60 33.55 69.60 14.20 33.55 14.20 19.35 80.65 5919.35 55.40 144.60 5855.40 Risk 36.05 Reward 63.95 BEP 5836.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 58.00 31.50 58.00 16.60 31.50 16.60 14.90 85.10 5585.10 41.40 158.60 5658.60 Risk 26.50 Reward 73.50 BEP 5673.50

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

Nifty Put-Call Analysis

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Derivative Report
Oct 04, 2012

Strategy Date 01-Oct-20112

Symbol SBIN

Strategy Short Strangle

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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