Derivative Report

India Research
Sep 6, 2011 Comments
The Nifty futures open interest increased 5.99% while

Nifty Vs OI

Minifty futures open interest increased by 1.45% as market closed at 5017.20 levels.
The Nifty Sep future closed at a discount of 6.90 point

against a discount of 5.90 points. The October Series closed at a Premium of 3.45 points.
The Implied Volatility of at the money options is

increased from 21.50% to 24.47%

The PCR-OI has increased from 1.35 to 1.38 points The total OI of the market is `1,19,367cr and the stock

futures OI is `27,193cr.
Stocks where cost of carry is positive are LITL, FSL, BEML,

JPPOWER and UNITECH.

OI Gainers
SCRIP BFUTILITIE DELTACORP JINDALSAW TTKPRESTIG ONGC OI 346500 4642000 2154000 64125 12255000 OI CHANGE (%) 41.43 31.06 18.61 17.12 14.08 PRICE 515.10 94.65 124.95 2982.65 256.95 PRICE CHANGE (%) 17.09 5.64 3.31 6.06 -2.63

View
Interestingly, despite global concerns and markets

correcting FIIs not selling in cash market. However they did formed some short positions in index futures with significant rise in open interest.
Last

few trading sessions we are witnessing substantial addition of OI in out-of-money puts. Yesterday significant built-up was observed in 4400 and 4800 put options. Rise in IV suggests its more of buying. trading sessions as market and stock bounced from lower levels. We dont expect counter to sustain at higher levels. Expect new lows of 685 and fix stop loss of 792.

OI Losers
SCRIP FEDERALBNK SOUTHBANK GAIL RELCAPITAL RELINFRA OI 559000 2214000 1452000 3503000 4731500 OI CHANGE (%) -9.11 -6.46 -5.31 -5.26 -5.26 PRICE 385.20 21.20 417.70 429.55 476.20 PRICE CHANGE (%) 5.10 2.91 0.66 5.39 5.46

TATAMOTORS has seen short covering in last three

UNITECH is seeing significant addition in OI and

cash market volumes are very high. This is happening near lows. Buy 27.50 CE @ Rs. 1.50/-.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 1.38 1.89 0.59 0.69 0.56 PCR-VOL 1.08 1.10 0.45 0.58 0.81

Historical Volatility
SCRIP
BFUTILITIE HEROMOTOCO DABUR TECHM GUJFLUORO

HV
110.21% 40.63% 33.50% 59.41% 60.54% For Private Circulation Only 1

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FII Statistics for 05-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15655.31 51002.87 27685.56 680.68 95024.43 Change (%) 12.88 4.03 1.00 22.87 4.57

Turnover on 05-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2417.59 6655.42 1560.44 277.75

2983.67 6768.70 1210.88 300.56

(566.08) (113.28) 349.56 (22.81) (352.61)

627481 2033355 1125357 27649 3813842

Index Futures Stock Futures Index Options Stock Options Total

520804 432844 2249331 105123 3308102

12209.69 10782.78 56386.36 2679.66 82058.49

-5.04 -1.49 -0.68 2.24 -1.37

10911.19 11263.80

Nifty Spot =5017.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 128.70 78.75 128.70 44.45 78.75 44.45 34.30 65.70 5134.30 84.25 115.75 5084.25 Risk 49.95 Reward 50.05 BEP 5049.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 121.20 86.60 121.20 62.95 86.60 62.95 23.65 76.35 4876.35 58.25 141.75 4941.75 Risk 34.60 Reward 65.40 BEP 4965.40

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 29-Aug-2011 03-Sep-2011

Scrip ITC NIFTY

Strategy Covered Call Writing Ratio Put Spread

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