Derivative Report

Sep 27, 2012

Comments
The Nifty futures open interest increased by 6.59% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.05% as market closed at 5663.45 levels.
The Nifty Sept. future closed at premium of 6.40 point

against a premium of 9.10 points. The Oct. series closed at a premium of 33.30 points.
The Implied Volatility of at the money options is

increased from 16.52% to 18.00%.

Nifty PCR-OI is unchanged at 1.22 levels. The total OI of the market is `1,73,852/- cr. and the

stock futures OI are `37,164/- cr.

Few of the large cap names where we have seen low

rollovers are BANKBARODA, M&M, HCLTECH, LT and HDFCBANK. View OI Gainers

SCRIP VOLTAS SYNDIBANK HINDZINC DRREDDY ACC OI 3942000 2484000 1918000 1263750 1108250 OI CHANGE (%) 27.49 18.85 17.96 17.04 15.65 PRICE 134.70 106.60 132.75 1623.55 1428.30 PRICE CHANGE (%) 6.06 3.48 1.33 -1.67 3.80 FIIs continue to buy in cash market segment; they

were net buyers worth of `688/- cr. On derivatives front they were net buyers in both index futures and in index options in yesterdays trade.
On options front 5700 call option and 5600 put

option has seen significant amount of buildup in open interest in September series. While in October series 5800 & 6000 call option has seen some good amount of buildup in open interest in yesterdays trading session.
Rollover in Nifty futures is in line at 53%, while of

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

BankNifty future the rollover is very low at 38%.

The recent bounce in INFY was mainly due to short

BOMDYEING TATACOFFEE COREEDUTEC SKUMARSYNF HCC

199500 169750 3256000 5776000 9544000

-51.28 -46.03 -38.46 -26.77 -26.27

494.80 965.45 337.30 20.40 18.40

-2.17 0.08 -0.47 7.07 -0.27

covering. The stock in last 4-5 trading session has seen some short positions getting buildup. Hence we feel the counter could see selling pressure at higher levels. Go short in October future at around `25802600 levels with the target price of `2450 and stop loss at `2650.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK INFY PCR-OI 1.22 1.46 1.28 1.08 0.98 PCR-VOL 0.98 0.80 0.65 0.66 0.57

Historical Volatility
SCRIP INDIACEM ACC CUMMINSIND COLPAL VOLTAS HV 51.15 28.08 37.57 21.87 49.71

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Derivative Report
Sep 27, 2012

FII Statistics for 26-September-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 21471.11 57556.55 33072.04 2542.22 114641.92 Change (%) 10.18 1.92 2.38 3.74 3.58

Turnover on 26-September-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

5772.60

5372.12

400.48 298.13 (769.30) (14.39) (85.08)

771027 2032002 1134929 85365 4023323

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,70,991 43,71,852 11,40,857 3,26,230 64,09,930

15733.02 124108.77 33127.73 9814.20 182783.71

-2.71 -3.83 -8.19 -4.28 -4.58

13694.99 13396.86 8530.50 1453.22 9299.81 1467.60

29451.31 29536.39

Nifty Spot =5663.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 12.05 0.70 12.05 0.30 0.70 0.30 0.40 99.60 5800.40 11.75 188.25 5711.75 Risk 11.35 Reward 88.65 BEP 5711.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 38.15 3.90 38.15 0.65 3.90 0.65 3.25 96.75 5596.75 37.50 162.50 5662.50 Risk 34.25 Reward 65.75 BEP 5665.75

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

Nifty Put-Call Analysis

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Derivative Report
Sep 27, 2012

Strategy Date 03-Sep-2012 10-Sep-2012 17-Sep-2012 24-Sep-2012

Symbol AXISBANK NIFTY BHEL BHARTIARTL

Strategy Long Call Ladder Long Call Ratio Call Spread Bull Call Spread

Status Strategy close with no profit no loss on 21-Sep-2012 Profit booked on 12-Sep-2012 Strategy close with no profit no loss on 21-Sep-2012 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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