Derivative Report

July 16, 2012

Comments
The Nifty futures open interest increased by 3.15% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.86% as market closed at 5227.25 levels.
The Nifty July future closed at premium of 13.20 point

against premium of 16.15 points. The August series closed at a premium of 38.25 points.
The Implied Volatility of at the money options is

decreased from 15.78% to 15.68%.

Nifty PCR-OI has decreased from 1.15 to 1.12 levels. The total OI of the market is `1,34,535/-cr. and the

stock futures OI are `32,400/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are ESCORTS, TATACOFFEE, FORTIS, ASHOKLEY and VIJAYABANK.

OI Gainers
SCRIP ADANIPORTS INFY DCB NAGAROIL CUMMINSIND OI 7464000 4443875 11776000 2370000 466000 OI CHANGE (%) 17.17 14.74 13.06 12.86 12.29 PRICE 118.00 2226.10 47.55 7.40 429.45 PRICE CHANGE (%) -1.14 -1.53 3.50 0.00 -0.76

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `282/- cr. in Fridays trading session. On derivatives front they were net sellers in both index futures and in index options, however there activity on open intererest front was quite flat.
On options front 5300-5400 call option have seen

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

decent buildup in open interest and 5500 strike price have seen some unwinding, while in put option not much of buildup was observed, however good amount of unwinding was visible in 4800 and 5200 put option in Fridays trading session.
The recent correction in SBIN was mainly due to long

SOBHA MCDOWELL-N ONMOBILE TATAMTRDVR JETAIRWAYS

368000 3788000 9880000 10310000 2310000

-13.21 -12.44 -12.10 -8.44 -6.48

339.90 775.25 38.35 130.10 376.50

0.49 1.19 0.39 1.98 -0.70

unwinding and has not seen much of the formation of shorts. At lower levels the counter has seen good amount of long position and hence we feel the stock could resume its upward trend which could take the counter to around `2280. Go long with the stop loss of `2130.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN TCS PCR-OI 1.12 0.54 1.07 0.61 0.67 PCR-VOL 0.93 0.65 1.42 0.55 0.63

Historical Volatility
SCRIP MTNL FINANTECH LICHSGFIN DCB JINDALSTEL HV 42.63 41.02 28.91 46.40 51.62

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Derivative Report
July 16, 2012

FII Statistics for 13-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14944.94 43879.27 26414.44 1943.45 87182.11 Change (%) 2.22 0.34 1.51 7.86 1.17

Turnover on 13-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1255.33

1294.63

(39.31) (139.99) (292.47) (20.21) (491.98)

589909 1678550 986993 68732 3324184

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,30,421 26,96,449 4,06,847 2,63,550 36,97,267

8265.16 71331.62 11486.72 7845.12 98928.62

-28.65 -24.99 -16.77 -37.27 -25.61

9951.06 10091.05 1172.58 1373.84 1465.04 1394.05

13752.80 14244.78

Nifty Spot =5227.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 82.65 34.70 82.65 10.45 34.70 10.45 24.25 75.75 5324.25 72.20 127.80 5272.20 Risk 47.95 Reward 52.05 BEP 5247.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 42.75 17.30 42.75 6.80 17.30 6.80 10.50 89.50 5089.50 35.95 164.05 5164.05 Risk 25.45 Reward 74.55 BEP 5174.55

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

Nifty Put-Call Analysis

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Derivative Report
July 16, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012

Symbol INFY NIFTY ICICIBANK

Strategy Long Strangle Long Call Long Call Ladder

Status Profit booked on 11-July-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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