Derivative Report

India Research
Nov 02, 2011 Comments
The Nifty futures open interest decreased by 1.83% while

Nifty Vs OI

Minifty futures open interest decreased by 8.96% as market closed at 5257.95 levels.
The Nifty Nov. future closed at a Premium of 33.45 point

against a Premium of 20.50 points. The December Series closed at a Premium of 55.05 points.
The Implied Volatility of at the money options is

increased from 20.05% to 21.45%.

The PCR-OI is decreased from 1.39 to 1.35 points. The total OI of the market is `1,14,441.20cr. and the

stock futures OI are `31,866.20cr.

Stocks were cost of carry is positive are GVKPIL,

ALOKTEXT, AREVAT&D, HAVELLS and JSWISPAT.

OI Gainers
SCRIP COLPAL HAVELLS NMDC CENTRALBK OIL OI 254250 668000 937000 2256000 47750 OI CHANGE (%) 33.64 31.76 26.45 18.36 15.76 PRICE 1041.35 380.70 236.95 101.95 1269.95 PRICE CHANGE (%) 3.91 7.10 0.00 -5.65 -2.23

View
There was muted performance by FIIs in Cash

market segment after being net buyers for so many days; they were net sellers of worth `21/- cr. in yesterdays trade. On derivatives front they were net sellers in index future indicating some long unwinding, while in index options they continue to be net buyers.
On Options front Nifty 5300 call option have seen

OI Losers
SCRIP GLAXO TECHM PFC CENTURYTEX KFA OI 12250 329500 8026000 2582000 9408000 OI CHANGE (%) -10.09 -7.44 -6.03 -5.73 -5.39 PRICE 2103.50 591.60 154.60 318.15 24.10 PRICE CHANGE (%) 2.23 1.04 3.10 -1.41 -1.23

good amount of addition in open interest, while in put option 5100 strike price have seen some buildup.
Current fall in market from higher level has not seen

significant shorting pressure or cash base selling in market. Previous resistance of 5150-5200 may now act as strong support for the market and hence we would not advise to short this market. SBIN has witnessed good accumulation of long positions in last two trading sessions when market has been correcting. `1860-1880 is good support for the counter. Buy in support zone with target price of `1975 and stop loss of `1843.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.35 0.44 0.61 0.87 0.90 PCR-VOL 1.13 0.40 0.72 0.97 1.35

Historical Volatility
SCRIP
HAVELLS COLPAL CENTRALBK FORTIS ABIRLANUVO

HV
47.58 27.97 51.04 31.09 39.97 For Private Circulation Only 1

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FII Statistics for 01-Nov-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15105.27 37877.85 28498.14 539.55 82020.81 Change (%) -3.81 3.61 1.59 11.17 1.51

Turnover on 01-Nov-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1873.53

2371.50

(497.98) 1,404.98 (368.21) 16.60 555.39

576390 1440378 1149745 20992 3187505

Index Futures Stock Futures Index Options Stock Options Total

449775 467095 2533267 115630 3565767

11105.93 11886.91 67259.86 3072.05 93324.75

17.78 6.21 35.44 4.07 27.44

13244.16 11839.18 1505.97 346.48 1874.18 329.88

16970.13 16414.75

Nifty Spot =5257.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 105.80 61.75 105.80 32.75 61.75 32.75 29.00 71.00 5429.00 73.05 126.95 5373.05 Risk 44.05 Reward 55.95 BEP 5344.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 76.20 49.60 76.20 31.55 49.60 31.55 18.05 81.95 5081.95 44.65 155.35 5155.35 Risk 26.60 Reward 73.40 BEP 5173.40

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Nov. 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 31/10/2011

Scrip NIFTY

Strategy Long Call

Status Open

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