Derivative Report

India Research
Sep 13, 2011 Comments
The Nifty futures open interest increased 4.12% while

Nifty Vs OI

Minifty futures open interest increased by 3.58% as market closed at 4946.80 levels.
The Nifty Sep future closed at a discount of 4.35 point

against a discount of 6.95 points. The October Series closed at a Premium of 7.20 points.
The Implied Volatility of at the money options is

increased from 24.24% to 30.47%.

The PCR-OI was unchanged at 1.36. The total OI of the market is `1,28,588.50cr and the

stock futures OI is `27,865.35cr.

Stocks where cost of carry is positive are GITANJALI,

SOBHA, SREINFRA, HAVELLS and PATNI.

OI Gainers
SCRIP YESBANK PATELENG JUBLFOOD JISLJALEQS JINDALSAW OI 4842000 2486000 672000 2760000 2218000 OI CHANGE (%) 10.95 9.13 8.87 8.83 8.83 PRICE 273.65 104.05 857.90 175.25 119.70 PRICE CHANGE (%) -6.89 -2.89 -6.17 2.88 -4.20

View
Yesterday FIIs sold significantly in cash market and

we observed fresh shorting by them in index futures. The way rupee was depreciating during market hours it was quite clear that FIIs were selling in equity markets.
Call writers are shifting downwards from 5400 and

OI Losers
SCRIP CHAMBLFERT SUNTV TATACHEM GTL JETAIRWAYS OI 5432000 565500 787000 4289000 1093500 OI CHANGE (%) -17.20 -13.33 -10.77 -9.51 -8.49 PRICE 111.90 288.55 329.30 72.05 277.05 PRICE CHANGE (%) -3.12 -3.27 -0.92 2.86 -4.71

5100 strikes. Put unwinding is been witness in 5000 and 5100 strike. This is saying that trend is downward, however sudden IV jump to 30+ levels indicate that markets will be volatile and frequent bounce back cannot be ruled out.
IDFC is near to its strong support of `105/-.

Interestingly fall was on relatively less volumes and we believe some contra longs have been formed. Buy with stop loss of ` 103/- and Target of `117/-.
SBIN can show some short covering bounce. For very

short term trader, buy around `1860/- with target of ` 1920/- and stop loss of ` 1835/-.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN BANKNIFTY INFY PCR-OI 1.36 1.01 0.40 1.90 0.52 PCR-VOL 1.01 0.82 0.60 0.88 0.83

Historical Volatility
SCRIP
HINDUNILVR YESBANK INDUSINDBK TITAN IOB

HV
26.07 56.56 50.75 47.93 44.16 For Private Circulation Only 1

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FII Statistics for 12-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 17984.41 54471.13 28341.53 1155.47 101952.54 Change (%) 6.51 0.14 0.68 3.12 1.40

Turnover on 12-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2085.42

3160.67 (1,075.26) (79.01) (83.85) (11.78)

731513 2202651 1169481 49478 4153123

Index Futures Stock Futures Index Options Stock Options Total

658925 481280 3694451 148665 4983321

15242.95 11781.54 92579.80 3651.84 123256.12

3.78 -14.36 15.87 0.12 10.06

11625.09 11704.10 1714.89 458.94 1798.74 470.72

15884.35 17134.24 (1,249.89)

Nifty Spot =4946.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 97.70 56.65 97.70 29.20 56.65 29.20 27.45 72.55 5127.45 68.50 131.50 5068.50 Risk 41.05 Reward 58.95 BEP 5041.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 112.95 82.50 112.95 59.75 82.50 59.75 22.75 77.25 4777.25 53.20 146.80 4846.80 Risk 30.45 Reward 69.55 BEP 4869.55

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sep 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 29-Aug-2011 05-Sep-2011 09-Sep-2011

Scrip ITC NIFTY BANKNIFTY

Strategy Covered Call Writing Ratio Put Spread Short Straddle

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