Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.20% while

Nifty Vs OI

Nov 30, 2011

Minifty futures open interest decreased by 0.05% as market closed at 4805.10 levels.
The Nifty Dec. future closed at a Premium of 11.65 point

against a Premium of 19.00 points. The January Series closed at a Premium of 29.10 points.
The Implied Volatility of at the money options is

increased from 24.67% to 24.80%.

The PCR-OI has decreased from 1.26 points to 1.23

points.
The total OI of the market is `1,05,473.60cr. and the

stock futures OI are `24,954.61cr.

Stocks were cost of carry is positive are LITL, ALOKTEXT,

GMRINFRA, GUJFLUORO and JSWISPAT.

OI Gainers
SCRIP MRF TVSMOTOR CUMMINSIND MPHASIS ONMOBILE OI 31000 3404000 324400 585500 1508000 OI CHANGE (%) 20.98 19.52 17.20 10.47 8.33 PRICE 6932.05 59.95 349.80 321.95 69.45 PRICE CHANGE (%) 0.78 -2.68 -1.12 1.82 1.83

View
FIIs countinue to sell in the cash market segment;

they were net sellers worth of `321/- cr. On Derivatives front they were net buyers in index futures indicating some long buildup by them, while in index options they were net sellers.
On Options front Nifty 4900 and 5000 call options

have seen good buildup in open interest, while in put options deep out-of-the money put options of 4100 strike price have seen maximum buildup.
Some formation of long is visible in WIPRO, however

OI Losers
SCRIP PANTALOONR VIPIND BHEL JETAIRWAYS IBREALEST OI 7307000 2633750 8689500 723500 15460000 OI CHANGE (%) -14.22 -11.80 -10.80 -10.57 -10.52 PRICE 196.70 123.80 282.40 266.80 64.95 PRICE CHANGE (%) -11.87 1.68 0.18 -3.89 -2.33

`375-380 has being strong resistance for this counter. We expect further formation of long position can take this counter above the resistance level. Hence we recommend to buy with the target price of `398 and stop loss at `361.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE TATASTEEL PCR-OI 1.23 0.72 0.80 0.61 0.77 PCR-VOL 0.98 0.64 0.73 0.66 0.40

Historical Volatility
SCRIP
RUCHISOYA APIL BALRAMCHIN PANTALOONR BHARTIARTL

HV
48.43 54.49 75.89 148.88 42.57 For Private Circulation Only 1

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FII Statistics for 29-Nov-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13249.26 41089.17 24853.72 526.98 79719.13 Change (%) 9.42 -0.89 -0.88 19.41 0.78

Turnover on 29-Nov-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2602.13

2356.66

245.46 (781.00) 266.01 16.60 (252.93)

558881 1710181 1122461 22758 3414281

Index Futures Stock Futures Index Options Stock Options Total

678278 479502 2618480 110524 3886784

15177.81 10702.56 63858.60 2560.00 92298.96

35.35 11.44 11.35 4.66 14.49

10828.73 11609.73 1547.24 303.13 1281.23 286.52

15281.22 15534.14

Nifty Spot =4805.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 142.50 91.10 142.50 53.25 91.10 53.25 37.85 62.15 4937.85 89.25 110.75 4889.25 Risk 51.40 Reward 48.60 BEP 4851.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 128.80 93.50 128.80 67.15 93.50 67.15 26.35 73.65 4673.65 61.65 138.35 4738.35 Risk 35.30 Reward 64.70 BEP 4764.70

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Dec. 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 28-11-2011

Scrip RELINFRA

Strategy Long Call

Status OPEN

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