Derivative Report

India Research
April 9, 2012 Comments
The Nifty futures open interest decreased by 4.01% while

Nifty Vs OI

Minifty futures open interest is decreased by 2.99% as market closed at 5322.90 levels.
The Nifty April future closed at a premium of 21.65 point

against a premium of 24.75 points. The May series closed at a premium of 53.90 points.
The Implied Volatility of at the money options is

increased from 18.10% to 18.62%

The PCR-OI increased from 1.19 to 1.21 points. The total OI of the market is `96,720/-cr. and the stock

futures OI are `26,126/-cr.

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

of-carry are MTNL, IFCI, PANTALOONR, OFSS and OPTOCIRCUI.

OI Gainers
SCRIP SRTRANSFIN MAX DHANBANK BGRENERGY ALSTOMT&D OI 380000 638000 4864000 1140000 199000 OI CHANGE (%) 40.48 32.09 24.72 22.58 13.07 PRICE 612.35 175.05 75.70 355.80 181.80 PRICE CHANGE (%) 1.51 3.46 5.87 2.60 -1.54

View
FIIs were net buyers in cash market segment worth of

`45/-cr. in Wednesdays trading session. On derivatives front they were net sellers in index futures worth of `168/-cr. while in index options they were net buyers of `462/-cr.
On options front no significant amount of build up

OI Losers
SCRIP VOLTAS TTKPRESTIG SIEMENS NAGAROIL INDIACEM OI 2264000 70500 380750 2475000 3948000 OI CHANGE (%) -11.49 -9.32 -8.86 -6.78 -6.53 PRICE 121.20 3215.50 787.45 9.25 113.90 PRICE CHANGE (%) 2.11 0.87 -0.17 21.71 4.78

was visible in call option; while in put option 5200 and 4800 strike price have seen good amount of build up in open interest; however there was some unwinding visible in 4700 put option in Wednesdays trading session.
The counter of AXISBANK is pretty much light in terms

of open interest with negative cost-of-carry. We anticipate some fresh short positions could buildup into this counter which could take the stock to around `1070. Hence we recommend to go short with the stop loss of `1196.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.21 0.49 1.01 0.49 1.21 PCR-VOL 1.09 0.46 0.86 0.42 1.05

Historical Volatility
SCRIP
GAIL NAGAROIL SOBHA GLAXO MAX

HV
34.58 228.44 56.06 28.15 52.27 For Private Circulation Only 1

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FII Statistics for 04-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 9,119 30,073 22,668 670 62,529 Change (%) 0.41 0.72 1.45 12.75 1.03

Turnover on 04-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

948.57 8441.33 712.94 320.90

1116.94 7978.79 864.00 340.67

(168.36) 462.54 (151.06) (19.76) 123.36

342,620 1,130,031 794,708 23,239 2,290,598

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

318642 1833311 345437 99560 2596950

7982.35 49018.15 9984.39 2819.91 69804.8

-12.23 -0.52 -10.76 -9.84 -3.96

10300.39 10300.39

Nifty Spot =5322.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 122.60 70.80 122.60 34.45 70.80 34.45 36.35 63.65 5436.35 88.15 111.85 5388.15 Risk 51.80 Reward 48.20 BEP 5351.80

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 80.40 49.85 80.40 29.65 49.85 29.65 20.20 79.80 5179.80 50.75 149.25 5249.25 Risk 30.55 Reward 69.45 BEP 5269.45

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

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 02-04-2012

Scrip NIFTY

Strategy Ratio Put Spread

Status Open

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