Derivative Report

Aug 28, 2012

Comments
The Nifty futures open interest increased by 2.69% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.59% as market closed at 5350.25 levels.
The Nifty Aug. future closed at premium of 12.85 point

against premium of 16.00 points. The Sept. series closed at a premium of 42.85 points.
The Implied Volatility of at the money options is

increased from 12.89% to 15.26%.

Nifty PCR-OI has decreased from 1.29 to 1.27 levels. The total OI of the market is `1,56,607/- cr. and the

stock futures OI are `33,032/- cr.

Few of the

liquid counters where we have seen high rollovers are COREEDUTEC, MCDOWELL N, JINDALSAW, SUZLON and MCLEODRUS. View

OI Gainers
SCRIP TATACOMM TECHM PNB EDUCOMP JINDALSTEL OI 3179000 816000 3616250 3942000 6467500 OI CHANGE (%) 40.48 26.51 16.93 15.60 15.13 PRICE 228.15 875.10 679.05 158.10 377.55 PRICE CHANGE (%) -1.40 0.06 -4.51 -2.21 -5.32

FIIs were net buyers in cash market segment; they

were net buyers worth of `200/- cr. On derivatives front they were net buyers in index futures with buildup in open interest indicating some long buildup by them, while in index options they were net sellers in yesterdays trade.

On options front 5400 call option has seen good amount of buildup in open interest since the IVs gone up significantly the buildup could be much on the longer side. While the same strike price put option has seen decent unwinding in yesterdays trade. BANKNIFTY futures is quite low at 18% indicating longs have not carried forward.

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

Rollover in NIFTY futures is in line at 22%, while of

The counter of YESBANK has seen significant amount

EXIDEIND NMDC HDIL VOLTAS IFCI

1572000 1098000 27872000 2062000 85880000

-15.94 -14.35 -11.60 -9.64 -9.51

135.30 186.85 72.60 110.95 27.60

0.90 0.89 -4.42 -2.59 -5.96

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN BHARTIARTL INFY PCR-OI 1.27 0.63 0.27 0.22 1.03 PCR-VOL 1.08 0.60 0.62 0.39 0.87

of short buildup in last few trading sessions. Off late we have observed the counter has seen huge buildup in open interest with positive CoC and we feel its the mix of long and short both. The stock has decent support at around `335 levels and hence we expect some short covering bounce in this counter which could take the stock to around `354. Go long with the stop loss of `329 Historical Volatility
SCRIP JPPOWER ADANIENT SKUMARSYNF PNB JINDALSTEL HV 49.97 65.99 108.09 37.40 44.99

www.angelbroking.com

Derivative Report
Aug 28, 2012

FII Statistics for 27-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 18008.00 53519.38 26935.69 2273.10 100736.17 Change (%) 1.88 0.79 3.19 (4.56) 1.50

Turnover on 27-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3139.62

2756.19

383.43 (438.49) (550.59) 51.89 (553.76)

706158 2003279 1022616 82828 3814881

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,78,284 31,45,007 7,17,044 2,29,287 44,69,622

9729.58 84716.62 18674.04 6260.43 1,19,380.68

11.70 -13.68 26.07 -8.67 -7.12

9755.90 10194.39 4968.02 1007.04 5518.61 955.15

18870.58 19424.34

Nifty Spot =5350.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 13.40 1.75 13.40 0.60 1.75 0.60 1.15 98.85 5501.15 12.80 187.20 5412.80 Risk 11.65 Reward 88.35 BEP 5411.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 9.50 2.15 9.50 0.95 2.15 0.95 1.20 98.80 5198.80 8.55 191.45 5291.45 Risk 7.35 Reward 92.65 BEP 5292.65

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

www.angelbroking.com

Derivative Report
Aug 28, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012 21-08-2012 27-08-2012

Symbol AXISBANK NIFTY DLF TATASTEEL ICICIBANK

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

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

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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 Limited 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 endeavors 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). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com 3