Derivative Report

India Research
Oct 03, 2011 Comments
The Nifty futures open interest decreased 37.41% while

Nifty Vs OI

Minifty futures open interest decreased by 30.48% as market closed at 4943.25 levels.
The Nifty Oct. future closed at a discount of 8.95 point

against a premium of 14.70 points. The November Series closed at a Premium of 5.15 points.
The Implied Volatility of at the money options is

increased from 28.50% to 29.57%.

The PCR-OI has decreased from 1.50 to 1.40 points. The total OI of the market is `95,373.48cr. And the

stock futures OI are `25,065.90cr.

Stocks where cost of carry is positive are TULIP, DCHL,

JSWENERGY, GTOFFSHARE and IGL.

OI Gainers
SCRIP COALINDIA RELCAPITAL DIVISLAB ABGSHIP EXIDEIND OI 5569000 6540500 746000 3255000 1830000 OI CHANGE (%) 18.72 3.83 3.47 2.39 1.22 PRICE 333.20 315.15 735.50 394.30 129.60 PRICE CHANGE (%) -4.98 -12.35 -1.26 -0.47 -1.71

View
We have negative global cues to deal with and

SGXNIFTY suggests gap down opening of 60-70 points. FII's have bought index options in big way in the beginning of the series.
4400 put has added 46,702 contracts in October

series and if we club FII's action in options along with rise in implied volatility then conclusion can be drawn that this addition is more of buying of put option.
Fridays correction in IOC had seen very paltry

OI Losers
SCRIP TULIP RECLTD INDIANB MAX ITC OI 488000 3670000 345000 544000 13762000 OI CHANGE (%) -80.03 -44.30 -43.90 -43.33 -42.62 PRICE 159.25 173.90 213.70 188.90 198.00 PRICE CHANGE (%) 0.09 0.67 -2.62 -2.55 -2.10

volumes. Counter is at its strong support and with fall in crude we may see buying interest emerging in it. Go long with stop loss of `304 and target of `323.
INFY in has seen less rollover of positions and is near

to its resistance zone of `2550-2600. Fresh shorting may emerge in this counter. Short with stop loss of `2590 and target of `2430.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE INFY TATASTEEL PCR-OI 1.40 0.53 0.67 0.32 0.38 PCR-VOL 1.22 0.79 0.59 0.84 0.49

Historical Volatility
SCRIP
KFA VOLTAS RELCAPITAL SINTEX TATASTEEL

HV
92.34 52.18 96.44 62.98 53.98 For Private Circulation Only 1

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FII Statistics for 30-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13035.27 36612.87 26012.49 612.07 76272.70 Change (%) 4.43 9.32 1.14 128.79 5.92

Turnover on 30-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2314.85 10150.64 1482.69 415.63

2402.80 8460.18 1790.95 382.05

(87.95) 1,690.47 (308.26) 33.59 1,327.84

532228 1481360 1091366 24208 3129162

Index Futures Stock Futures Index Options Stock Options Total

635679 510882 2578727 111623 3836911

14595.42 12252.49 64239.18 2792.10 93879.20

-35.38 -57.60 -62.70 -32.77 -58.80

14363.82 13035.97

Nifty Spot =4943.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 117.10 74.70 117.10 44.20 74.70 44.20 30.50 69.50 5130.50 72.90 127.10 5072.90 Risk 42.40 Reward 57.60 BEP 5042.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 4800 4900 4700 4800 4700 Price 141.40 106.90 141.40 79.95 106.90 79.95 26.95 73.05 4773.05 61.45 138.55 4838.55 Risk 34.50 Reward 65.50 BEP 4865.50

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

Nifty Put-Call Analysis

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Strategy Date

Scrip

Strategy

Status

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