Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 30.16%

Nifty Vs OI

Jan 02, 2012

while Minifty futures open interest decreased by 23.94% as market closed at 4624.30 levels.
The Nifty Jan. future closed at a Premium of 10.10 point

against a Premium of 26.85 points. The February Series closed at a Premium of 29.50 points.
The Implied Volatility of at the money options is

increased from 24.65% to 25.50%.

The PCR-OI has being increased from 0.80 to 1.06

points.
The total OI of the market is `83,342/-cr. and the stock

futures OI are `22,976/-cr.

Stocks were cost of carry is positive are RUCHISOYA,

PATELENG, COREEDUTEC, 3IINFOTECH and TTML.

OI Gainers
SCRIP ABGSHIP OI 3246000 OI CHANGE (%) 4.37 PRICE 391.50 PRICE CHANGE (%) -0.08 -

View
FIIs were net sellers in cash market segment on

Fridays trading session; they were net sellers worth of `178/- cr. On Derivatives front they were net sellers in index futures, while in index options they were net buyers.
On Options front deep out-of-the money put options

OI Losers
SCRIP PFC BRFL COLPAL TULIP MAX OI 2670000 847000 84500 606000 352000 OI CHANGE (%) -68.79 -64.44 -53.31 -50.89 -50.21 PRICE 138.15 271.45 990.55 102.40 146.15 PRICE CHANGE (%) 4.66 -1.13 1.00 -4.52 0.83

of 4100 and 4200 strike price have added good amount of open interest, while in call options at-themoney and out-of-the money call option of 4700 and 5000 strikes have seen maximum buildup of open interest.
`188-190 has acted very strong resistance for the

counter of TATAMOTORS. We have seen lot of short positions have got rolled over in this counter in current series and hence we recommend to go short on this counter at around `180 with the target price of `164 and stop loss at `188.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.06 0.50 2.08 0.59 0.25 PCR-VOL 1.00 0.41 0.89 0.76 0.46

Historical Volatility
SCRIP
ABAN VIDEOIND GSPL COREEDUTEC IRB

HV
90.45 26.64 40.98 38.71 50.34 For Private Circulation Only 1

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FII Statistics for 30-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 9095.14 22641.54 22149.23 547.78 54433.70 Change (%) -0.22 7.90 0.58 146.63 3.93

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

Instrument

894.68 7326.23 461.53 402.50 9084.94

1003.68 7053.78 603.26 381.63 9042.35

(109.00) 272.45 (141.73) 20.87 42.59

400405 980760 972591 22665 2376421

Index Futures Index Options Stock Futures Stock Options Total

419203 1957574 339244 101539 2817560

8884.80 46294.23 7514.77 2322.52 65016.31

-49.22 -65.88 -66.34 -36.90 -63.71

Nifty Spot =4624.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4800 4700 4900 4800 4900 Price 92.55 55.35 92.55 30.65 55.35 30.65 24.70 75.30 4824.70 61.90 138.10 4761.90 Risk 37.20 Reward 62.80 BEP 4737.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4600 4500 4600 4400 4500 4400 Price 111.20 75.65 111.20 49.65 75.65 49.65 26.00 74.00 4474.00 61.55 138.45 4538.45 Risk 35.55 Reward 64.45 BEP 4564.45

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

For Private Circulation Only

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Strategy Date

Scrip

Strategy

Status

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