Derivative Report

Nov 26, 2012

Comments
The Nifty futures open interest decreased by 0.85% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.26% as market closed at 5626.60 levels.
The Nifty Nov. future closed at premium of 6.75 point

against a premium of 12.70 points. The Dec. series closed at a premium of 39.70 points.
The Implied Volatility of at the money options is

decreased from 11.15% to 10.74%.

Nifty PCR-OI has decreased from 1.06 to 1.03 levels. The total OI of the market is Rs.1,54,939/- cr. and the

stock futures OI are Rs.34,752/- cr.

Few of the liquid counters where we have seen high

rollover are MCLEODRUSS, SUZLON, PUNJLLOYD, PEL and JPASSOCIAT. View OI Gainers
SCRIP HCLTECH KTKBANK UNITECH ZEEL VOLTAS OI 3703000 26192000 91924000 6792000 5174000 OI CHANGE (%) 25.12 16.53 15.03 9.76 9.02 PRICE 636.45 152.35 26.60 204.35 102.10 PRICE CHANGE (%) 1.38 9.02 -2.21 4.31 -1.30 FIIs were net buyers in cash market segment worth

of `366/- cr. On derivatives front FIIs continue to show muted activity on net basis, however in index futures they were net buyers while in index options some long unwinding was observed by them in Fridays trade.
On options front not much of buildup was observed

in put option however good amount of unwinding was seen in 5500-5600 put option. While in call option 5700 strike price has seen maximum buildup in open interest in Fridays trading session.
Rollover in NIFTY and BANKNIFTY future is in line at

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

23% and 16% respectively.

TATAMOTORS has seen good amount of short

ALOKTEXT PUNJLLOYD IOC CROMPGREAV SRTRANSFIN

39380000 35704000 1484000 9302000 394500

-10.84 -9.58 -9.18 -6.61 -6.29

11.15 49.45 259.05 114.55 631.45

0.00 -1.00 0.21 2.97 1.39

psotions getting buildup at higher level. However in Fridays trade the stock has seen some long buildup around its support of `255 with increase in CoC. Hence we feel the counter could see short covering bounce which could take the stock to around `274. Go long with the stop loss of `254.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE MCDOWELL-N PCR-OI 1.03 0.85 0.45 0.31 0.86 PCR-VOL 0.96 0.97 0.63 0.43 0.49

Historical Volatility
SCRIP BHUSANSTL KTKBANK RANBAXY NTPC ZEEL HV 16.04 60.47 26.64 27.20 46.93

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Derivative Report
Nov 26, 2012

FII Statistics for 23-November-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8859.98 53273.76 30763.91 2849.75 95747.40 Change (%) 1.90 (0.95) 2.02 0.93 0.35

Turnover on 23-November-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1191.14

1176.78

14.37 (196.78) (99.07) (42.49) (323.98)

355103 1892450 1147313 105446 3500312

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,79,477 35,75,236 5,90,753 2,70,767 47,16,233

7597.66 101084.09 17071.66 8239.90 133993.30

-0.51 9.59 15.13 -5.23 8.59

12203.35 12400.14 3658.75 1144.43 3757.82 1186.93

18197.69 18521.67

Nifty Spot =5626.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 49.25 8.65 49.25 1.30 8.65 1.30 7.35 92.65 5707.35 47.95 152.05 5647.95 Risk 40.60 Reward 59.40 BEP 5640.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 17.05 3.05 17.05 1.25 3.05 1.25 1.80 98.20 5498.20 15.80 184.20 5584.20 Risk 14.00 Reward 86.00 BEP 5586.00

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

Nifty Put-Call Analysis

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Derivative Report
Nov 26, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012 19-Nov-2012

Symbol NIFTY TATAMOTORS DLF AXISBANK

Strategy Long Put Long Put Ladder Bear Put Spread Long Put

Status Open Profit booked on 19-Nov-2012 Profit booked on 19-Nov-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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