Derivative Report

May 31, 2012

Comments
The Nifty futures open interest increased by 2.15% while

Nifty Vs OI

Minifty futures open interest is increased by 1.98% as market closed at 4950.70 levels.
The Nifty May future closed at a discount of 17.65 point

against a discount of 8.45 points. The June series closed at a discount of 18.70 points.
The Implied Volatility of at the money options is

increased from 21.10% to 22.75%.

The PCR-OI has being decreased from 1.08 to 1.07

levels.
The total OI of the market is `1,37,094/-cr. and the

stock futures OI are `28,057/-cr.

Few of the large cap names where we have seen low

rollovers are ITC, BANKBARODA, COALINDIA, ONGC and RANBAXY. View OI Gainers
SCRIP MPHASIS PTC SKUMARSYNF MRPL GMDCLTD OI 299000 2792000 21912000 1820000 558000 OI CHANGE (%) 19.84 14.99 12.62 12.07 12.05 PRICE 375.30 56.50 31.80 55.55 179.45 PRICE CHANGE (%) -0.37 1.80 9.09 -3.98 0.11 There was muted performance by FIIs in cash market

segment; they were net sellers of worth `11/- cr. only. On derivatives front they were net sellers in index futures indicating some shorts buildup by them, while in index options they were net buyers with decent buildup of open interest in yesterdays trading session.
On options front 5000 call option have seen some

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

buildup and 5100 strike price have seen some unwinding, while in put option not much of buildup was observed however some unwinding was visible in 5000 put option in yesterdays trading session. In June series 5100 and 5300 call option and 4900 put option have seen maximum buildup. The highest open interest in June series is in 5000 call option and 4500 put option.
Rollovers in NIFTY futures is at 45.58% and that of

IDEA TVSMOTOR NTPC AUROPHARMA BOSCHLTD

10168000 8212000 10212000 2492000 6125

-16.85 -15.31 -9.98 -9.84 -9.26

78.60 34.15 145.25 108.25 8791.10

1.03 -2.71 -0.17 -1.95 -0.07

BANKNIFTY futures is at 58.27%.

Recent bounce back in the counter of MARUTI was

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.07 0.75 1.05 0.45 0.55 PCR-VOL 0.97 0.82 0.73 0.40 0.32

mainly due to short covering. However in yesterdays trading session the counter has seen good amount of buildup with negative CoC. We feel majority of the buildup is on the shorter side. Hence we recommend to go short with the target price of `1095 and stop loss at `1180. Historical Volatility
SCRIP TATAMOTORS TATAMTRDVR SCI HAVELLS SKUMARSYNF HV 73.87 72.13 51.74 56.16 69.19

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Derivative Report
May 31, 2012

FII Statistics for 30-May-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15180.98 46511.81 23814.75 1455.27 86962.81 Change (%) 6.76 3.75 1.07 2.42 3.48

Turnover on 30-May-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3942.45

4197.02

(254.58) 1029.65 283.85 29.61 1088.53

640531 1880061 1008862 58658 3588112

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

587551 4308013 916652 222598 6034814

13814.44 107154.09 21466.69 5642.24 148077.46

8.29 0.47 -3.09 -3.87 0.44

16376.21 15346.56 5519.14 761.74 5235.29 732.14

26599.54 25511.01

Nifty Spot =4990.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 4.30 0.35 4.30 0.25 0.35 0.25 0.10 99.90 5100.10 4.05 195.95 5004.05 Risk 3.95 Reward 96.05 BEP 5003.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 12.25 1.15 12.25 0.50 1.15 0.50 0.65 99.35 4799.35 11.75 188.25 4888.25 Risk 11.10 Reward 88.90 BEP 4888.90

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

Nifty Put-Call Analysis

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Derivative Report
May 31, 2012

Strategy Date 30-04-2012 07-05-2012 14-05-2012 21-05-2012 28-05-2012

Symbol NIFTY NIFTY RELIANCE BANKNIFTY BHEL

Strategy Long Put Long Put Ladder Long Call Long Call Bull Call Spread

Status Profit booked on 04-05-2012 Open Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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Derivative Research Team

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