Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 1.89% while

Nifty Vs OI

Jan 09, 2012

Minifty futures open interest decreased by 0.22% as market closed at 4746.90 levels.
The Nifty Jan. future closed at a Premium of 13.10 point

against a Premium of 8.15 points. The February Series closed at a Premium of 32.60 points.
The Implied Volatility of at the money options is

decreased from 24.93% to 24.81%.

The PCR-OI has being increased from 1.16 to 1.18

points.
The total OI of the market is `1,01,851.60cr. and the

stock futures OI are `26,030/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

LITL, VIDEOIND, TATACOMM and COREEDUTEC.

OI Gainers
SCRIP INDIANB RANBAXY HEROMOTOCO VIPIND CHAMBLFERT OI 626000 2393000 1434125 3005000 2678000 OI CHANGE (%) 32.35 27.29 24.87 21.11 19.02 PRICE 188.15 440.00 1729.80 82.80 84.05 PRICE CHANGE (%) 2.23 0.06 -5.38 2.60 7.00

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `28/- cr. On Derivatives front they were net sellers in index futures and in index options also they were net sellers in Saturdays trading session.
On

OI Losers
SCRIP ONMOBILE TTKPRESTIG CESC BPCL BOMDYEING OI 1208000 52750 708000 1308500 256000 OI CHANGE (%) -8.21 -6.01 -5.60 -5.39 -5.19 PRICE 67.45 2507.30 215.70 476.15 379.95 PRICE CHANGE (%) -0.88 -0.02 2.89 3.53 4.84

Options front after combining Friday and Saturdays data not much of buildup was visible in call option except 5000 strike price, while in put option deep out-of-the money put option of 4000 and 4300 strike price have seen some buildup in open interest. was mainly due to long unwinding. We expect some long positions could build up in this counter at lower levels. Hence we recommend to go long on this counter at around `390-392 levels with the target price of `415 and stop loss at `381.

The recent correction in the counter of HINDUNILVR

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.18 0.62 2.02 0.69 0.57 PCR-VOL 0.81 0.21 1.12 0.31 0.69

Historical Volatility
SCRIP
BALRAMCHIN HEROMOTOCO MTNL CHAMBLFERT POLARIS

HV
74.36 43.98 60.94 58.20 44.19 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 07-Jan-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 10715.78 28502.13 24291.94 942.65 64452.50 Change (%) 0.08 0.46 0.01 0.00 0.22

Turnover on 07-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

10.53 27.83 11.26 0.00 49.61

19.54 116.68 16.26 0.00 152.48

(9.01) (88.85) (5.00) 0.00 (102.87)

456485 1202304 1021264 38090 2718143

Index Futures Index Options Stock Futures Stock Options Total

49528 252890 53044 19557 375019

1136.16 6149.62 1160.32 437.31 8883.41

-91.92 -92.24 -90.18 -87.59 -91.83

Nifty Spot =4746.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 84.25 46.55 84.25 22.90 46.55 22.90 23.65 76.35 4923.65 61.35 138.65 4861.35 Risk 37.70 Reward 62.30 BEP 4837.70

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 79.50 48.55 79.50 28.80 48.55 28.80 19.75 80.25 4580.25 50.70 149.30 4649.30 Risk 30.95 Reward 69.05 BEP 4669.05

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

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 02-Jan-2012

Scrip TATASTEEL

Strategy Ratio Bull Call Spread

Status Open

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539