Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.70% while

Nifty Vs OI

Jan 04, 2012

Minifty futures open interest increased by 4.97% as market closed at 4765.30 levels.
The Nifty Jan. future closed at a Premium of 17.90 point

against a Premium of 11.35 points. The February Series closed at a Premium of 37.25 points.
The Implied Volatility of at the money options is

decreased from 26.40% to 24.74%.

The PCR-OI has being increased from 1.07 to 1.15

points.
The total OI of the market is `93,094/-cr. and the stock

futures OI are `24,879/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

3IINFOTECH, NHPC, JSWENERGY and MCLEODRUSS.

OI Gainers
SCRIP VIPIND GLAXO MRF OIL IOB OI 3788750 12625 32000 39500 752000 OI CHANGE (%) 59.61 29.49 25.49 23.44 20.90 PRICE 84.90 1986.35 7069.05 1138.35 76.05 PRICE CHANGE (%) 9.55 0.23 1.81 -3.20 3.68

View
FIIs were net buyers in cash market segment in

yesterdays trade; they were net buyers worth of `255/- cr. On Derivatives front they were net buyers in index futures indicating some long buildup by them, while in index options also they were net buyers.
On Options front 4700 call option have seen some

OI Losers
SCRIP PFC SESAGOA POLARIS TATASTEEL VOLTAS OI 2442000 9856000 2100000 17508000 1894000 OI CHANGE (%) -10.02 -7.26 -6.91 -6.70 -5.96 PRICE 143.10 163.45 125.95 361.85 79.25 PRICE CHANGE (%) 5.18 4.04 2.77 6.08 5.46

unwinding in open interest and some build up was visible in deep out-of-the money call option of 5100 strike price, while in put option deep out-of-the money put option of 4100 strike have seen some unwinding and 4700 put option have seen descent buildup in open interest in yesterdays trade.
We have seen formation of longs building in the

counter of ALOKTEXT and also the stock is trading near its support level. Hence we recommend to go long on this counter with the target price of `22 and stop loss at `17.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.15 0.69 2.13 0.79 0.41 PCR-VOL 0.86 0.41 0.55 0.52 0.77

Historical Volatility
SCRIP
BHUSANSTL SCI TECHM KOTAKBANK GMRINFRA

HV
50.13 59.05 43.36 51.59 70.56 For Private Circulation Only 1

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FII Statistics for 03-Jan-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 10132.65 24769.84 23454.03 791.29 59147.81 Change (%) 5.95 1.81 0.55 15.44 2.15

Turnover on 03-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1909.16 8998.52 1246.08 377.78

1143.23 8963.42 872.66 386.97

765.93 35.10 373.42 (9.19) 1,165.27

430541 1041041 986183 31521 2489286

Index Futures Index Options Stock Futures Stock Options Total

518784 2598880 445577 137364 3700605

11284.20 62144.18 10370.28 3310.35 87109.01

31.58 37.04 27.63 40.32 35.24

12531.55 11366.28

Nifty Spot =4765.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 104.70 62.05 104.70 33.20 62.05 33.20 28.85 71.15 4928.85 71.50 128.50 4871.50 Risk 42.65 Reward 57.35 BEP 4842.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 82.20 54.05 82.20 35.05 54.05 35.05 19.00 81.00 4581.00 47.15 152.85 4652.85 Risk 28.15 Reward 71.85 BEP 4671.85

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 02-Jan-2012

Scrip TATASTEEL

Strategy Ratio Bull Call Spread

Status Open

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