Derivative Report

Dec 28, 2012

Comments
The Nifty future open interest decreased by 35.12% while

Nifty Vs OI

BankNifty future open interest is decreased by 27.11% as market closed at 5870.10 levels.
The Nifty Jan. future closed at premium of 60.20 point

against a premium of 58.40 points. The Feb. series closed at a premium of 95.80 points.
The Implied Volatility of at the money options is

increased from 13.66% to 13.85%.

Nifty PCR-OI has decreased from 1.12 to 0.88 levels. The total OI of the market is Rs.92,196/- cr. and the

stock futures OI are Rs.33,721/- cr.

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

of-carry are RENUKA, WELCORP, IBREALEST, KTKBANK and GVKPIL. View OI Gainers
SCRIP JISLJALEQS OI 19832000 OI CHANGE (%) 1.88 PRICE 74.95 PRICE CHANGE (%) -3.31 After a long while FIIs has seen being net sellers in

cash market segmet of worth `133/- cr. On derivatives front they were net sellers in all the three main segment of index futures, index options and stock future with sharp reduction in open interest, this is the normal phenomena on the expiry day.
On options front in next series 5900-6100 call option

has seen good amount of buildup in open interest, while in put option 5500 strike price saw maximum buildup in open interest in yesterdays trade. Highest buildup in open interest for January series is in 5800 put option and 6000 call option as of now.
Rollover in NIFTY future was bit on the lower side at

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

around 62%, while that of BANKNIFTY future rollover was more or less in line at 68%.
CAIRN has seen significant amount of short positons

BHUSANSTL HCLTECH BANKINDIA YESBANK TECHM

245500 2521000 2967000 4804000 1405250

-44.71 -36.86 -33.64 -33.03 -31.89

461.70 625.30 336.90 466.25 919.65

0.09 -1.52 -0.74 0.06 0.68

getting buildup in December expiry and with decent rollover majority of the buildup has being carried forward. With international crude oil price going up slowly and also stock has shown some strength around its support of `310-312 levels we feel the counter could see more short covering rally. Hence we recommend to go long with the target price of `337 and stop loss at `310. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.88 0.79 0.83 0.39 1.03 PCR-VOL 0.91 0.60 0.80 0.37 0.87

SCRIP NHPC WELCORP DABUR POWERGRID INDHOTEL

HV 35.00 32.36 19.63 18.40 34.52

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Derivative Report
Dec 28, 2012

FII Statistics for 27-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7889.68 26902.22 30004.69 194.70 64991.29 Change (%) (52.66) (43.62) (21.36) (91.58) (38.45)

Turnover on 27-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2965.72

3392.46

(426.74) (58.63) (886.73) 135.18 (1236.91)

265286 915611 940150 6435 2127482

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,98,513 55,25,984 12,30,003 3,56,178 76,10,678

14501.55 164408.21 37639.97 11219.95 227769.68

26.27 22.63 20.28 22.72 22.46

13434.42 13493.04 7918.82 1335.19 8805.55 1200.01

25654.14 26891.05

Nifty Spot =5870.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 111.45 64.30 111.45 32.65 64.30 32.65 31.65 68.35 6031.65 78.80 121.20 5978.80 Risk 47.15 Reward 52.85 BEP 5947.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 78.45 45.10 78.45 24.30 45.10 24.30 20.80 79.20 5779.20 54.15 145.85 5845.85 Risk 33.35 Reward 66.65 BEP 5866.65

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

Nifty Put-Call Analysis

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Derivative Report
Dec 28, 2012

Strategy Date 03-Dec-2012 07-Dec-2012 17-Dec-2012 24-Dec-2012

Symbol TATASTEEL RELINFRA BHEL NIFTY

Strategy Long Call Bull Call Spread Long Call Ladder Long Call

Status Profit booked on 19-Dec-2012 Loss on expiry Loss on expiry Profit booked on 26-Dec-2012

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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