Derivative Report

Aug 27, 2012

Comments
The Nifty futures open interest increased by 0.11% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.07% as market closed at 5386.70 levels.
The Nifty Aug. future closed at premium of 16.00 point

against premium of 11.80 points. The Sept. series closed at a premium of 42.20 points.
The Implied Volatility of at the money options is

increased from 12.45% to 12.89%.

Nifty PCR-OI has decreased from 1.30 to 1.29 levels. The total OI of the market is `1,54,951/- cr. and the

stock futures OI are `33,275/- cr.

Few of the

liquid counters where we have seen high rollovers are MCDOWELL N, MCLEODRUSS, SUZLON HINDALCO and MARUTI.

OI Gainers
SCRIP JISLJALEQS FORTIS IFCI JINDALSAW YESBANK OI 24060000 5392000 94904000 2348000 9594000 OI CHANGE (%) 35.93 25.10 22.46 22.04 12.55 PRICE 76.45 93.70 29.30 120.00 344.50 PRICE CHANGE (%) 5.35 -5.85 -16.14 0.25 -2.70

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `226/- cr. On derivatives front they were net buyers in both index futures and in index options.
On options front not much of buildup was observed

in call option except 5500 strike price which continues to see some buildup and decent unwinding was seen in 5400 and 5600 call option. While in put option 5400-5500 strike price has seen significant amount of unwinding followed by some buildup in 5300 put option in Fridays trade.
Rollovers in NIFTY futures is steady at 14%, while in

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

BANKNIFTY futures the rollover compare to its last expiry is quite less at 11% versus 32%.
We have seen significant amount of short position

OPTOCIRCUI EXIDEIND SKUMARSYNF AIL HDIL

6185000 1870000 17672000 308000 31528000

-15.45 -10.78 -10.60 -9.14 -8.59

127.40 134.05 22.35 392.20 75.45

4.47 3.20 6.94 -3.28 -3.32

getting buildup in PFC since last few trading session. The counter has decent support at around `168-170 and hence we expect short covering bounce in this stock which could take the counter to around `182. Go long with the stop loss of `166.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY BHARTIARTL PCR-OI 1.29 0.79 0.34 1.11 0.23 PCR-VOL 1.27 0.72 0.58 0.35 0.24

Historical Volatility
SCRIP IFCI FORTIS EXIDEIND YESBANK DABUR HV 91.65 35.88 28.67 27.99 29.06

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Derivative Report
Aug 27, 2012

FII Statistics for 24-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17808.06 53477.32 26545.81 2413.61 100244.81 Change (%) 1.25 1.22 1.85 0.03 1.36

Turnover on 24-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1403.11

1256.32

146.80 586.03 (571.75) (119.21) 41.86

693148 1987560 991044 86788 3758540

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,39,303 36,41,091 5,53,945 2,41,729 47,76,068

8710.56 98138.45 14812.13 6854.64 1,28,515.77

-4.93 0.78 -9.96 0.60 -1.00

13350.43 12764.40 2316.60 1042.43 2888.35 1161.65

18112.57 18070.72

Nifty Spot =5386.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 33.25 4.85 33.25 1.05 4.85 1.05 3.80 96.20 5503.80 32.20 167.80 5432.20 Risk 28.40 Reward 71.60 BEP 5428.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 31.10 7.30 31.10 2.30 7.30 2.30 5.00 95.00 5295.00 28.80 171.20 5371.20 Risk 23.80 Reward 76.20 BEP 5376.20

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

Nifty Put-Call Analysis

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Derivative Report
Aug 27, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012 21-08-2012

Symbol AXISBANK NIFTY DLF TATASTEEL

Strategy Long Call ladder Bull Call Spread Ratio Call Spread Long Call

Status Open Profit booked on 23-Aug-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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