Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 1.34% while

Nifty Vs OI

March 9, 2012

Minifty futures open interest in decreased by 1.39% as market closed at 5220.45 levels.
The Nifty March future closed at a premium of 38.25

point against a premium of 28 points. The April series closed at a premium of 76.55 points.
The Implied Volatility of at the money options is

decreased from 26.88% to 26.00%.

The PCR-OI has being decreased from 1.17 to 1.13

points.
The total OI of the market is `1,27,402/-cr. and the

stock futures OI are `30,958/-cr.

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

of-carry are WELCORP, PTC, NHPC, JETAIRWAYS and GVKPIL.

OI Gainers
SCRIP IRB BAJAJHLDNG BOMDYEING FINANTECH PFC OI 1780000 59500 403000 1222250 3370000 OI CHANGE (%) 47.35 40.00 17.84 16.46 16.05 PRICE 169.30 812.95 426.95 861.65 181.10 PRICE CHANGE (%) -4.97 0.99 -1.81 1.56 -3.52

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `505/- cr. in Wednesdays trading session. On derivatives front they were net sellers in both index futures and in index options.
On options front 5300 call option have seen descent

buildup in open interest , while in put option not much of buildup was visible except 5000 strike price where we have seen some buildup and 5200-5300 strike price have seen good amount of unwinding in open interest in Wednesdays trading session.
The recent correction in the counter of ICICIBANK

OI Losers
SCRIP NCC CENTURYTEX GESHIP ABIRLANUVO AREVAT&D OI 2412000 3354000 176000 674000 192000 OI CHANGE (%) -19.92 -10.46 -10.20 -9.56 -8.57 PRICE 56.95 304.90 235.65 870.70 185.15 PRICE CHANGE (%) 2.34 3.64 0.19 -0.13 1.84

was mainly due to short buildup. However we have seen some long position getting buildup into this counter in Wednesdays trading session and also the stock has good support at around `850-855 levels. We anticipate a mix of fresh long buildup and short covering rally into this stock which could take the counter to around `916. Hence go long with the stop loss of `842.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.13 0.52 0.93 0.43 0.89 PCR-VOL 0.89 0.52 0.75 0.44 0.54

Historical Volatility
SCRIP
RAYMOND POLARIS HCLTECH HINDPETRO ADANIENT

HV
55.74 62.12 28.46 44.62 92.04 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 7-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 13062.22 44651.04 27971.49 1499.15 87183.89 Change (%) -3.49 2.81 1.19 5.20 1.34

Turnover on 7-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2287.94

3030.61

(742.67) (135.39) (183.41) 3.08

499120 1710775 987756 53940 3251591

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

615430 3022513 529678 144042 4311663

15154.93 80794.09 14875.21 4229.96 115054.2

-38.27 -30.15 -25.90 -22.74 -30.59

19851.30 19986.69 1672.18 734.16 1855.59 731.08

24545.58 25603.96 (1,058.38)

Nifty Spot =5220.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 161.70 110.30 161.70 69.40 110.30 69.40 40.90 59.10 5340.90 92.30 107.70 5292.30 Risk 51.40 Reward 48.60 BEP 5251.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 106.05 70.80 106.05 45.30 70.80 45.30 25.50 74.50 5074.50 60.75 139.25 5139.25 Risk 35.25 Reward 64.75 BEP 5164.75

Note: Above mentioned Bullish or Bearish Spreads in Nifty (March 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 27-02-2012 05-02-2012

Scrip NIFTY HINDALCO

Strategy Ratio Bull Call Spread Long Put Ladder

Status Open Open

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539