Derivative Report

India Research
Comments
The Nifty futures open interest increased by 0.10% while

Nifty Vs OI

Jan 05, 2012

Minifty futures open interest decreased by 3.50% as market closed at 4749.65 levels.
The Nifty Jan. future closed at a Premium of 10.55 point

against a Premium of 17.90 points. The February Series closed at a Premium of 28.95 points.
The Implied Volatility of at the money options is

increased from 24.74% to 25.10%.

The PCR-OI has being decreased from 1.15 to 1.14

points.
The total OI of the market is `94,635/-cr. and the stock

futures OI are `24,815/-cr.

Stocks were cost of carry is positive are ABGSHIP, TTML,

SRTRANSFIN, HINDPETRO and LITL.

OI Gainers
SCRIP TATACHEM TTKPRESTIG TVSMOTOR BAJAJ-AUTO OIL OI 393000 51125 4456000 1375750 45000 OI CHANGE (%) 23.58 23.19 20.69 14.74 13.92 PRICE 314.10 2512.35 48.20 1425.55 1129.85 PRICE CHANGE (%) -0.65 -0.41 -1.23 -4.61 -0.75

View
Yesterday FIIs were net buyers in cash market

segment; they were net buyers worth of `139/- cr. On Derivatives front they were net sellers in index futures, while in index options they were net buyers.
On Options front there was not much of buildup

OI Losers
SCRIP VIPIND ARVIND ORCHIDCHEM ORIENTBANK MCDOWELL-N OI 2862500 2688000 3524000 953000 1317000 OI CHANGE (%) -24.45 -13.07 -11.90 -11.84 -11.01 PRICE 81.30 69.70 138.10 213.00 561.15 PRICE CHANGE (%) -4.24 0.80 -1.07 4.23 9.56

visible, the buildup was quite scattered in both call and put options. In Call option 4900 strike has seen some buildup, while in put option 4500 strike has added maximum open interest .There was some unwinding seen in 4100 put option in yesterdays trade.
We have seen consolidation in the counter of SAIL in

the range of `80-82 levels. The stock has seen some fresh long buildup followed by short covering in the recent days. Hence we recommend to go long on this counter with the target price of `91 and stop loss at `79.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE INFY PCR-OI 1.14 0.66 2.13 0.75 0.47 PCR-VOL 0.94 0.52 1.00 0.65 0.88

Historical Volatility
SCRIP
BAJAJHLDNG MCDOWELL-N HINDUNILVR ACC NEYVELILIG

HV
45.01 75.70 29.78 36.36 43.65 For Private Circulation Only 1

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Derivative Report | India Research

FII Statistics for 04-Jan-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 10517.38 25621.64 23310.28 890.69 60339.99 Change (%) 4.12 3.77 -0.50 12.70 2.25

Turnover on 04-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1209.92

1358.88

(148.95) 332.62 52.46 16.78 252.90

448271 1080292 981231 35523 2545317

Index Futures Index Options Stock Futures Stock Options Total

512984 2561138 455235 120581 3649938

11248.07 61370.87 10771.23 2994.87 86385.04

-0.32 -1.24 3.87 -9.53 -0.83

11607.06 11274.44 1293.85 391.55 1241.39 374.77

14502.37 14249.47

Nifty Spot =4749.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4900 4800 5000 4900 5000 Price 93.45 54.10 93.45 28.00 54.10 28.00 26.10 73.90 4926.10 65.45 134.55 4865.45 Risk 39.35 Reward 60.65 BEP 4839.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4600 4700 4500 4600 4500 Price 89.15 58.30 89.15 37.20 58.30 37.20 21.10 78.90 4578.90 51.95 148.05 4648.05 Risk 30.85 Reward 69.15 BEP 4669.15

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

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 02-Jan-2012

Scrip TATASTEEL

Strategy Ratio Bull Call Spread

Status Open

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Email Id : - derivatives.desk@angelbroking.com

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