Derivative Report

Dec 11, 2012

Comments
The Nifty futures open interest decreased by 2.02% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.55% as market closed at 5908.90 levels.
The Nifty Dec. future closed at premium of 33.55 point

against a premium of 37.50 points. The Jan. series closed at a premium of 67.20 points.
The Implied Volatility of at the money options is

decreased from 13.23% to 13.06%.

Nifty PCR-OI has increased from 1.05 levels to 1.08

levels.
The total OI of the market is Rs.1,46,127/- cr. and the

stock futures OI are Rs.37,488/- cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are LICHSGFIN, ARVIND, SINTEX, SAIL and UCOBANK. View OI Gainers
SCRIP NMDC FEDERALBNK KTKBANK DENABANK ORIENTBANK OI 6194000 2337500 27372000 11548000 1968000 OI CHANGE (%) 74.77 43.23 41.27 20.69 18.48 PRICE 154.75 505.70 195.65 121.50 364.75 PRICE CHANGE (%) -3.82 4.83 12.08 4.43 5.51 FIIs continues to buy in cash market segment they

were net buyers worth of `698/- cr. On derivatives front short covering was observed by them in index futures, while in index options and stock futures they formed some short positions in yesterdays trade.
On options front 6000 and 6200 call option has

seen decent amount of buildup in open interest, followed by some unwinding in 6100 and 6300 strike price, while in put option 5800-5900 strike price saw maximum buildup in yesterdays trading session.
The counter of BANKINDIA had seen significant

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

JSWENERGY JUBLFOOD BANKINDIA TATAGLOBAL PEL

13096000 616750 3329000 15178000 614500

-15.14 -12.64 -9.69 -5.36 -3.98

66.65 1333.50 305.65 172.85 550.20

-2.55 1.97 3.91 1.55 4.61

amount of short positions getting buildup at around `285-300 levels in November series and most of these positions are still intact. With breach of this level in yesterdays trade the stock saw good amount of short covering bounce. We feel the counter could see further short covering rally and also with the help of long buildup which was seen in this counter since last few trading session the stock could continue its uptrend. Go long at around `305-308 levels with the stop loss of `290 and target of `334.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN DLF INFY PCR-OI 1.08 1.05 0.78 0.27 0.47 PCR-VOL 0.87 0.86 0.68 0.41 0.63

Historical Volatility
SCRIP FEDERALBNK PEL OFSS KTKBANK BANKINDIA HV 31.32 31.67 23.31 85.24 33.62

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Derivative Report
Dec 11, 2012

FII Statistics for 10-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11365.57 44068.61 32427.94 1912.93 89775.06 Change (%) (1.89) 1.93 0.81 0.69 1.00

Turnover on 10-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

622.77

519.67

103.10 (108.22) (398.78) (71.21) (475.10)

387598 1489927 1113783 68637 3059945

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

1,77,264 23,60,584 4,65,027 2,28,056 32,30,931

5158.38 70378.25 14752.41 7613.54 97902.58

-43.40 -24.51 -18.53 -19.82 -24.66

10499.80 10608.02 954.15 1009.17 1352.94 1080.38

13085.90 13561.00

Nifty Spot =5908.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 89.65 42.30 89.65 16.45 42.30 16.45 25.85 74.15 6025.85 73.20 126.80 5973.20 Risk 47.35 Reward 52.65 BEP 5947.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 48.30 21.60 48.30 9.35 21.60 9.35 12.25 87.75 5787.75 38.95 161.05 5861.05 Risk 26.70 Reward 73.30 BEP 5873.30

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

Nifty Put-Call Analysis

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Derivative Report
Dec 11, 2012

Strategy Date 03-Dec-2012 10-Dec-2012

Symbol TATASTEEL RELINFRA

Strategy Long Call Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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