Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 2.64% while

Nifty Vs OI

Dec 14, 2011

Minifty futures open interest decreased by 3.43% as market closed at 4800.60 levels.
The Nifty Dec. future closed at a Premium of 10.75 point

against a Premium of 9.10 points. The January Series closed at a Premium of 35.75 points.
The Implied Volatility of at the money options is

decreased from 29.16% to 27.05%.

The PCR-OI has decreased from 1.06 points to 1.05

points.
The total OI of the market is `1,26,005.50cr. and the

stock futures OI are `26,500/-cr.

Stocks were cost of carry is positive are GITANJALI, SCI,

KSOILS, RUCHISOYA and JINDALSWHL.

OI Gainers
SCRIP AREVAT&D IVRCLINFRA DISHTV GRASIM IBREALEST OI 1023000 13644000 9528000 666000 15108000 OI CHANGE (%) 70.78 39.57 30.59 16.97 16.36 PRICE 197.20 33.95 60.40 2414.20 51.75 PRICE CHANGE (%) 4.04 1.65 2.11 4.03 -2.91

View
FIIs were net sellers in cash market segment in

yesterdays trading session; they were net sellers worth `561/- cr. On Derivatives front they were net sellers in index futures and in index options they were net buyers.
On Options front most of the put options have seen

OI Losers
SCRIP INDIANB PETRONET NHPC 3IINFOTECH GLAXO OI 228000 3052000 42561000 8752000 9250 OI CHANGE (%) -8.80 -8.62 -7.07 -6.89 -6.33 PRICE 189.95 157.80 21.00 18.75 1869.60 PRICE CHANGE (%) 0.05 3.07 -2.33 6.84 0.29

some unwinding and amongst them 5000 strike price have seen maximum unwinding, while in call options 4700 and 5100 strike price have seen descent buildup in open interest and Nifty 5300 call options have seen some unwinding.
We have seen huge accumulation of short positions

in MARUTI in last few trading sessions and also lot of short positions was being carry forward from last series of expiry to this series. Hence we recommend to go short on this counter between `960-970 levels with the target price of `880 and stop loss at `1012.

Put-Call Ratio
SCRIP NIFTY SBIN ICICIBANK BANKNIFTY RELIANCE PCR-OI 1.05 0.67 0.36 0.66 0.45 PCR-VOL 0.85 0.61 0.36 0.62 0.59

Historical Volatility
SCRIP
WELCORP BEL COLPAL JISLJALEQS NHPC

HV
85.78 22.18 24.13 55.11 29.16 For Private Circulation Only 1

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FII Statistics for 13-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11456.83 47961.44 25166.34 857.04 85441.65 Change (%) -0.44 0.38 1.71 2.11 0.70

Turnover on 13-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1593.95

2101.57

(507.62) 1.55 49.87 7.53 (448.67)

485951 1998375 1138432 39130 3661888

Index Futures Index Options Stock Futures Stock Options Total

732143 4095294 515941 163175 5506553

16099.13 99986.12 11537.19 3737.18 131359.62

4.60 -10.83 5.03 -3.34 -7.73

20490.14 20488.59 1641.45 531.82 1591.58 524.29

24257.35 24706.02

Nifty Spot =4800.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 113.95 70.35 113.95 40.65 70.35 40.65 29.70 70.30 4929.70 73.30 126.70 4873.30 Risk 43.60 Reward 56.40 BEP 4843.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 103.80 67.25 103.80 40.45 67.25 40.45 26.80 73.20 4673.20 63.35 136.65 4736.65 Risk 36.55 Reward 63.45 BEP 4763.45

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 28-11-2011 05-12-2011 12-12-2011

Scrip RELINFRA TATAMOTORS NIFTY

Strategy Long Call Long Put Short Strangle

Status Did not triggered Open Open

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