Derivative Report

July 19, 2012

Comments
The Nifty futures open interest decreased by 0.57% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.85% as market closed at 5216.30 levels.
The Nifty July future closed at premium of 7.25 point

against premium of 5.80 points. The August series closed at a premium of 30.00 points.
The Implied Volatility of at the money options is

decreased from 15.05% to 14.77%.

Nifty PCR-OI is unchanged at 1.09 levels. The total OI of the market is `1,39,541/-cr. and the

stock futures OI are `33,411/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are ONMOBILE, JETAIRWAYS and CHAMBALFERT.

LITL,

VIDEOIND,

OI Gainers
SCRIP TTKPRESTIG FINANTECH CANBK ADANIENT RUCHISOYA OI 106250 1981000 1615500 13523000 12412000 OI CHANGE (%) 34.71 15.48 14.09 13.13 12.96 PRICE 3439.65 752.90 407.30 199.45 88.85 PRICE CHANGE (%) 2.67 6.00 -2.06 2.16 -0.34

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `276/- cr. On derivatives front they were net sellers in index futures, while in index options there activity was quite flat.
On options front not much of activity was observed,

in call option 5200 strike price have seen some unwinding and in put option 5000 strike price have seen unwinding interest followed by some buildup in 5100 put option in yesterdays trading session.
We have seen decent short positions in the BHEL

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

BAJAJ-AUTO PETRONET ORCHIDCHEM ASHOKLEY BANKINDIA

1529375 2450000 6766000 22544000 3343000

-5.21 -4.22 -4.19 -3.72 -3.55

1518.15 146.85 123.55 24.20 330.50

5.25 0.38 3.18 1.04 0.09

since last few trading session, however in yesterdays trade the stock has see some signs of short covering followed by long buildup as CoC have jumped significantly. Hence we feel the counter could continue its positive movement which could take the stock to around `242. Go long with the stop loss of `224.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN TCS PCR-OI 1.09 1.04 0.43 0.64 0.46 PCR-VOL 0.90 1.23 0.44 0.77 0.63

Historical Volatility
SCRIP BAJAJ-AUTO TATACOMM FINANTECH CENTURYTEX PANTALOONR HV 34.48 39.86 49.27 46.44 61.58

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Derivative Report
July 19, 2012

FII Statistics for 18-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15321.46 44127.99 26898.43 1958.24 88306.12 Change (%) (0.85) 1.39 1.09 0.42 0.87

Turnover on 18-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1208.70

1481.45

(272.76) 21.62 (270.19) (7.06) (528.39)

605807 1691522 1014116 70585 3382030

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,59,300 32,46,750 5,34,369 2,37,766 43,78,185

8926.45 84999.05 14106.76 6424.95 1,14,457.21

9.94 4.49 14.82 -2.87 5.62

10105.47 10083.86 1776.18 1123.99 2046.36 1131.05

14214.33 14742.72

Nifty Spot =5216.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 58.05 17.55 58.05 3.45 17.55 3.45 14.10 85.90 5314.10 54.60 145.40 5254.60 Risk 40.50 Reward 59.50 BEP 5240.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 34.95 10.15 34.95 3.20 10.15 3.20 6.95 93.05 5093.05 31.75 168.25 5168.25 Risk 24.80 Reward 75.20 BEP 5175.20

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 19, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012 16-July-2012

Symbol INFY NIFTY ICICIBANK DLF

Strategy Long Strangle Long Call Long Call Ladder Bull Call Spread

Status Profit booked on 11-July-2012 Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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