Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 1.07% while

Nifty Vs OI

March 23, 2012

Minifty futures open interest in increased by 8.63% as market closed at 5228.45 levels.
The Nifty March future closed at a premium of 11.60

point against a premium of 29.55 points. The April series closed at a premium of 58.15 points.
The Implied Volatility of at the money options is

increased from 20.10% to 24.66%.

The PCR-OI has being decreased from 1.14 to 1.02

points.
The total OI of the market is `1,43,838/-cr. and the

stock futures OI are `32,405/-cr.

Few of the liquid counters where we have seen high cost-

of-carry are COREEDUTECH, PANTALOONR and LICHSGFIN.

TATACOMM,

TTML,

OI Gainers
SCRIP TECHM OIL JUBLFOOD BHUSANSTL FORTIS OI 878000 115500 899500 603000 6448000 OI CHANGE (%) 38.16 29.78 20.41 16.41 15.68 PRICE 724.85 1240.75 1115.95 396.50 104.75 PRICE CHANGE (%) 5.80 -1.06 0.45 -0.83 -2.15

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `247/- cr. in yesterdays trading session. On derivatives front they were net buyers in index futures indicating some short covering by them and in index options also they were net buyers.
On options front 5200 and 5400 call option have

OI Losers
SCRIP TTKPRESTIG BGRENERGY JETAIRWAYS IRB ABAN OI 67625 904000 1164000 1440000 2491000 OI CHANGE (%) -33.78 -21.66 -21.40 -21.31 -17.02 PRICE 3018.85 329.15 329.40 191.50 434.85 PRICE CHANGE (%) -5.06 -6.82 -4.41 -5.85 -7.41

seen good amount of buildup in open interest, while in put option most of the strike price have seen significant unwinding especially in 5100-5400 put option where we have seen maximum unwinding in yesterdays trading session.
We have seen significant amount of shorts getting

buildup in the counter of CAIRN since last few trading sessions. However the counter has descent support at around `335-337 odd level and hence we expect some short covering around that level which could take the counter to `367. Hence we recommend to go long with the stop loss of `332.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.02 0.48 0.67 0.35 0.64 PCR-VOL 1.13 0.54 0.87 0.47 0.63

Historical Volatility
SCRIP
KOTAKBANK JINDALSTEL MRPL JSWENERGY ABAN

HV
42.57 63.85 52.76 83.01 84.29 For Private Circulation Only 1

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FII Statistics for 22-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 15635.98 48662.29 30035.18 1533.32 95866.77 Change (%) -1.28 1.05 0.44 0.36 0.46

Turnover on 22-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2589.83

2137.89

451.94 1,371.09 (114.84) 15.34 1,723.53

599616 1861595 1063519 55615 3580345

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

767510 5651384 729793 212578 7361265

19124.99 151379.72 21412.05 6303.55 198220.31

33.03 35.37 16.43 7.46 31.74

31894.48 30523.39 3191.67 933.49 3306.51 918.15

38609.47 36885.94

Nifty Spot =5228.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 92.60 44.60 92.60 18.10 44.60 18.10 26.50 73.50 5326.50 74.50 125.50 5274.50 Risk 48.00 Reward 52.00 BEP 5248.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 54.80 27.65 54.80 15.25 27.65 15.25 12.40 87.60 5087.60 39.55 160.45 5160.45 Risk 27.15 Reward 72.85 BEP 5172.85

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 27-02-2012 05-03-2012 12-03-2012 19-03-2012

Scrip NIFTY HINDALCO DLF M&M

Strategy Ratio Bull Call Spread Long Put Ladder Covered Call Long Call Ladder

Status Open Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

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