Derivative Report

Sep 24, 2012

Comments
The Nifty futures open interest increased by 6.87% while

Nifty Vs OI

BankNifty futures open interest is increased by 5.70% as market closed at 5691.15 levels.
The Nifty Sept. future closed at premium of 15.90 point

against a premium of 16.75 points. The Oct. series closed at a premium of 37.70 points.
The Implied Volatility of at the money options is

increased from 17.40% to 17.90%.

Nifty PCR-OI has increased from 1.16 to 1.25 levels. The total OI of the market is `1,62,223/- cr. and the

stock futures OI are `34,667/- cr.

Few of the liquid counters where we have seen high

rollovers are JSWENERGY, MCDOWELL, MCLEODRUSS, JSWSTEEL and KTKBANK. View OI Gainers
SCRIP MAX PTC BEL RELCAPITAL IVRCLINFRA OI 536000 4808000 48250 7542000 32168000 OI CHANGE (%) 78.67 45.87 38.85 21.36 18.81 PRICE 200.35 66.35 1224.40 399.90 47.00 PRICE CHANGE (%) 4.75 7.17 1.57 10.31 7.66 FIIs were net buyers in cash market segment worth

of `2,328/- cr. On derivatives good amount of short positions formed by them in index futures, stock futures and in index options in Fridays trade.
On options front 5800-5900 call option has seen

decent amount of buildup in open interest and 55005700 call option observed considerable amount of unwinding, while in put option significant amount of buildup was seen in 5600-5700 strike price, followed by some unwinding in 5300-5400 put option in Fridays trading session.
Rollover in NIFTY futures is at 18% while in

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

BANKNIFTY futures it is 15%; more or less in line with last three month average rollover.
We have seen significant amount of open interest

BAJAJHLDNG GESHIP DELTACORP BHUSANSTL ANDHRABANK

49250 75000 4816000 328000 1408000

-42.40 -35.90 -21.92 -17.59 -14.98

787.50 253.90 70.65 469.45 110.90

5.39 0.99 -1.80 2.43 3.66

getting buildup in RANBAXY in last 4-5 trading session with continuous increase in CoC. We feel majority of the buildup is on the longer side however some shorts were also observed in this stock at higher levels. Hence a mix of long buildup and short covering rally could come in this counter which could take the stock to around `562. Go long with the stop loss of `518. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.25 1.65 1.28 0.99 1.08 PCR-VOL 0.94 1.00 0.70 0.70 0.80

SCRIP RUCHISOYA ABIRLANUVO RELCAPITAL GRASIM BAJAJHLDNG

HV 26.00 45.09 65.23 27.55 36.01

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Derivative Report
Sep 24, 2012

FII Statistics for 21-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 14690.24 57878.08 29846.10 2679.38 105093.81 Change (%) 6.11 6.46 2.24 13.31 5.34

Turnover on 21-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3777.69

4186.67

(408.98) (1760.01) (344.77) (303.10) (2816.85)

528675 2034113 1043587 88422 3694797

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

6,92,799 65,82,664 8,98,568 4,64,546 86,38,577

18873.87 186367.41 25440.88 13730.10 244412.26

111.62 107.74 44.16 37.57 93.58

28026.13 29786.14 3832.46 2782.72 4177.22 3085.81

38418.99 41235.84

Nifty Spot =5691.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 57.20 19.65 57.20 5.50 19.65 5.50 14.15 85.85 5814.15 51.70 148.30 5751.70 Risk 37.55 Reward 62.45 BEP 5737.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 46.85 16.65 46.85 6.40 16.65 6.40 10.25 89.75 5589.75 40.45 159.55 5659.55 Risk 30.20 Reward 69.80 BEP 5669.80

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

Nifty Put-Call Analysis

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Derivative Report
Sep 24, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012

Symbol AXISBANK NIFTY BHEL

Strategy Long Call Ladder Long Call Ratio Call Spread

Status Strategy close on no profit no loss on 21-Sep-2012 Profit booked on 12-Sep-2012 Strategy close on no profit no loss on 21-Sep-2012

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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