Derivative Report

India Research
April 27, 2012 Comments
The Nifty futures open interest increased by 1.38% while

Nifty Vs OI

Minifty futures open interest is increased by 1.38% as market closed at 5189.00 levels.
The Nifty May future closed at a premium of 25.70 point

against a premium of 32.55 points. The June series closed at a premium of 42.60 points.
The Implied Volatility of at the money options is

decreased from 21.27% to 18.20%.

The PCR-OI has being decreased from 1.04 to 0.94

points.
The total OI of the market is `1,36,967/-cr. and the

stock futures OI are `30,951/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are ABGSHIP, JSWISPAT, TTML, GSPL, and VIDEOIND.

OI Gainers
SCRIP BAJAJHLDNG ASIANPAINT ABB UNIONBANK EXIDEIND OI 61000 321875 256000 2697000 2264000 OI CHANGE (%) 125.93 51.47 39.32 34.78 29.52 PRICE 849.95 3482.00 810.30 219.80 123.65 PRICE CHANGE (%) 1.86 1.74 3.57 2.33 0.53

View
FIIs were net sellers in cash market segment they

were net sellers worth of `376/- cr. in yesterdays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On options front in May series we have seen good

amount of buildup in 5400 and 5600 call option, while in put option 5100 strike price have seen maximum buildup in yesterdays trading session.
The counter of HINDALCO has seen continuous short

OI Losers
SCRIP SAIL TATAMTRDVR JUBLFOOD BHARATFORG BIOCON OI 10772000 7816000 774000 4244000 2513000 OI CHANGE (%) -15.92 -14.97 -14.85 -14.81 -13.76 PRICE 97.75 179.05 1176.55 319.70 227.35 PRICE CHANGE (%) -1.66 2.26 0.38 1.70 -2.36

buildup since the start of the April series. However in last 2-3 trading session we have seen some unwinding followed by decent buildup in yesterdays trading session. We feel the unwinding could be of short covering and the buildup in yesterdays trading session could be the mix of long and short both. As the counter has decent support at around `113-114 we can expect some short covering bounce back in this counter which could take the stock to around `129. Hence go long with the stop loss of `112.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 0.94 0.32 0.78 0.71 0.68 PCR-VOL 0.88 0.54 1.07 0.70 0.52

Historical Volatility
SCRIP
UNIPHOS TATACOMM COLPAL TATACHEM NHPC

HV
51.79 43.87 33.87 30.90 28.40 For Private Circulation Only 1

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FII Statistics for 26-April-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 9124.90 23315.22 20061.48 121.98 52623.59 Change (%) -34.77 -41.10 -16.26 -89.83 -33.29

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

Instrument

4016.15

4364.62

(348.47) 88.91 60.69 15.88 (182.99)

354155 898652 739444 4203 1996454

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

637675 5323510 1080432 193415 7235032

15831.86 139463.23 29562.25 5512.88 190370.21

-26.41 -1.75 -1.24 0.87 -4.27

13580.27 13491.36 6611.92 213.62 6551.23 197.74

24421.96 24604.95

Nifty Spot =5189.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 122.65 74.25 122.65 40.25 74.25 40.25 34.00 66.00 5334.00 82.40 117.60 5282.40 Risk 48.40 Reward 51.60 BEP 5248.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 108.90 72.15 108.90 46.05 72.15 46.05 26.10 73.90 5073.90 62.85 137.15 5137.15 Risk 36.75 Reward 63.25 BEP 5163.25

Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. 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 09-04-2012 16-04-2012 23-04-2012

Scrip NIFTY TATAMOTORS HDFC SBIN

Strategy Ratio Put Spread Ratio Put Spread Call Hedge Long Put

Status Profit on expiry No profit no loss on expiry Loss on expiry Profit on expiry

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