Derivative Report

India Research
March 27, 2012 Comments
The Nifty futures open interest increased by 1.81% while

Nifty Vs OI

Minifty futures open interest in increased by 5.74% as market closed at 5184.25 levels.
The Nifty March future closed at a premium of 7.05 point

against a premium of 7.15 points. The April series closed at a premium of 51.15 points.
The Implied Volatility of at the money options is

increased from 22.75% to 27.52%.

The PCR-OI has being decreased from 1.09 to 1.03

points.
The total OI of the market is `1,49,551/-cr. and the

stock futures OI are `31,972/-cr.

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

of-carry are JSWISPAT, ALOKTEXT, JPPOWER, VOLTAS and ASIANPAINT.

OI Gainers
SCRIP TITAN OIL TTKPRESTIG UNITECH PATNI OI 8062000 163750 91875 47840000 440000 OI CHANGE (%) 25.97 20.63 17.98 14.98 14.88 PRICE 228.85 1256.30 2926.65 28.30 505.40 PRICE CHANGE (%) -1.46 1.32 -5.42 -4.87 -1.23

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `135/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures indicating some shorts buildup by them, while in index options they were net buyers.
On options front 5200 and 5300 call option have

OI Losers
SCRIP JETAIRWAYS DISHTV WIPRO ALSTOMT&D SUNTV OI 1113000 15960000 3526000 167000 685000 OI CHANGE (%) -10.75 -10.40 -9.03 -8.74 -8.67 PRICE 329.85 59.50 423.10 197.50 305.05 PRICE CHANGE (%) -1.76 2.50 -0.51 2.84 -2.85

seen good amount of buildup in open interest, while in put option 5200 and 5300 strike price have seen significant amount of unwinding and 5100 put option have seen decent buildup in open interest in yesterdays trading session.
The recent correction in the counter of JISLJALEQS

was mainly due to long unwinding and we have not seen much of the shorts getting buildup into this stock. However some amount of long positions has being seen into this counter at higher levels and also the stock has decent support at around `95. Hence we recommend to go long on this counter with the target price of `105 and stop loss at `93.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.03 0.41 0.58 0.33 0.62 PCR-VOL 0.99 0.57 0.71 0.40 0.61

Historical Volatility
SCRIP
OPTOCIRCUI CIPLA BRFL TVSMOTOR NTPC

HV
51.63 33.66 40.49 49.46 36.31 For Private Circulation Only 1

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FII Statistics for 26-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 17560.70 53575.64 30181.69 1443.85 102761.88 Change (%) 6.90 4.22 0.92 -3.73 3.61

Turnover on 26-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3101.51

4536.10 (1,434.58) 634.08 (159.74) 7.64 (952.59)

678381 2067006 1080190 52619 3878196

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

738109 5021341 764293 151062 6674805

18286.42 132702.67 21347.61 4259.41 176596.11

1.63 4.58 7.77 -17.03 3.98

22681.73 22047.65 5129.10 610.19 5288.84 602.55

31522.54 32475.13

Nifty Spot =5184.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 52.20 18.15 52.20 5.40 18.15 5.40 12.75 87.25 5312.75 46.80 153.20 5246.80 Risk 34.05 Reward 65.95 BEP 5234.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 62.20 28.00 62.20 12.25 28.00 12.25 15.75 84.25 5084.25 49.95 150.05 5150.05 Risk 34.20 Reward 65.80 BEP 5165.80

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

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Derivative Report | India Research

Strategy Date 27-02-2012 05-03-2012 12-03-2012 19-03-2012 26-03-2012

Scrip NIFTY HINDALCO DLF M&M TATAMOTORS

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

Status Open Book Profit Open Open Open

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Email Id : - derivatives.desk@angelbroking.com

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