Derivative Report

India Research
Comments
The Nifty futures open interest increased by 1.34% while

Nifty Vs OI

Feb 21, 2012

Minifty futures open interest decreased by 0.59% as market closed at 5564.30 levels.
The Nifty Feb. future closed at a Premium of 25.30 point

against a Premium of 15.85 points. The March series closed at a Premium of 60.80 points.
The Implied Volatility of at the money options is

decreased from 16.35% to 16.20%.

The PCR-OI has being increased from 1.65 to 1.70

points.
The total OI of the market is `1,51,578/-cr. and the

stock futures OI are `36,305/-cr.

Few of the liquid counters where we have seen high

rollovers are BHARATFORG, ALOKTEXT, JSWSTEEL, GMRINFRA and PUNJLLOYD.

OI Gainers
SCRIP BEL BEML PATNI MCDOWELL-N ONGC OI 69000 226000 265000 2215250 10783000 OI CHANGE (%) 28.97 25.91 22.12 19.76 16.75 PRICE 1497.05 634.00 474.90 678.05 281.25 PRICE CHANGE (%) -1.24 4.15 3.03 0.19 -0.02

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `537/-cr. on Fridays trading session. On Derivatives front they were net buyers in both index futures and in index options.
On Options front 5800 and 5900 call option have

seen good amount of buildup in open interest, while in put option 5600 strike price have seen maximum buildup of open interest in Fridays trading session.
We have seen good amount of long buildup in the

OI Losers
SCRIP ABB BHEL VIJAYABANK DABUR IOB OI 391000 17495000 6284000 3198000 1612000 OI CHANGE (%) -22.42 -16.67 -16.44 -15.93 -15.51 PRICE 890.95 303.55 67.50 104.50 109.05 PRICE CHANGE (%) 2.43 6.68 1.12 1.11 3.46

counter of CESC with the positive price movement in the past few trading session and we expect the momentum to continue in this stock. Hence we recommend to go long with the target price of `316 and stop loss at `281.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.70 2.00 1.65 0.65 1.00 PCR-VOL 1.19 0.99 0.57 0.32 0.37

Historical Volatility
SCRIP
MTNL TITAN PETRONET PATNI BHEL

HV
90.76 55.73 35.84 25.87 64.34 For Private Circulation Only 1

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FII Statistics for 17-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 17252.49 48927.15 32910.77 1898.26 100988.67 Change (%) 1.29 5.91 -1.61 0.73 2.59

Turnover on 17-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3532.11

2731.70

800.41 1,392.34 446.17 (10.16) 2,628.76

618173 1758689 1075679 63152 3515693

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

594237 4439373 1065405 286353 6385368

15985.38 122953.49 32904.55 9009.45 180852.86

31.69 43.46 22.90 7.18 35.96

27196.29 25803.95 6293.29 887.49 5847.12 897.65

37909.18 35280.42

Nifty Spot =5564.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 39.25 9.40 39.25 1.75 9.40 1.75 7.65 92.35 5707.65 37.50 162.50 5637.50 Risk 29.85 Reward 70.15 BEP 5629.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 19.00 8.10 19.00 3.90 8.10 3.90 4.20 95.80 5395.80 15.10 184.90 5484.90 Risk 10.90 Reward 89.10 BEP 5489.10

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. 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 30-01-2012 06-02-2012 13-02-2012 21-02-2012

Scrip NIFTY SBIN ICICIBANK M&M

Strategy Long Call Ladder Short Strangle Ratio Call Spread Bull Call Spread

Status Open Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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