Derivative Report

June 27, 2012

Comments
The Nifty futures open interest increased by 5.24% while

Nifty Vs OI

BankNifty futures open interest is increased by 6.63% as market closed at 5120.80 levels.
The Nifty June future closed at premium of 4.90 point

against a discount of 5.35 points. The July series closed at a premium of 26.35 points.
The Implied Volatility of at the money options is

decreased from 19.95% to 18.55%.

The PCR-OI has increased from 1.45 to 1.50 levels. The total OI of the market is `1,42,630/-cr. and the

stock futures OI are `30,085/-cr.

Few of the liquid counters where we have seen high

rollovers are ALOKTEXT, JINDALSAW and SUZLON.

WELCORP,

PUNJLLOYD,

OI Gainers
SCRIP SUNTV ANDHRABANK JISLJALEQS ZEEL DIVISLAB OI 822000 1034000 7322000 2548000 597000 OI CHANGE (%) 31.10 25.18 20.35 16.56 16.15 PRICE 300.95 124.25 77.85 139.95 980.25 PRICE CHANGE (%) 2.73 1.14 1.83 3.06 3.35

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `13/- cr. On derivatives front they were net buyers in index futures worth of `800/- cr. with significant buildup in open interest indicating some long buildup by them while in index options they were also net buyers.
Yesterday there was no significant buildup observed

in call options, however 5300 call option have seen some unwinding, while in put option 5100 saw significant amount of buildup and 5200 saw some unwinding of contracts.
Rollovers in NIFTY futures is at 43.90% and that of

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

BANKNIFTY futures is at 39.67.

The counter of BAJAJ-AUTO has seen significant

ABGSHIP ADANIPORTS SUZLON HINDPETRO COLPAL

2840000 6544000 110968000 4401000 136500

-18.06 -12.49 -9.16 -7.76 -7.46

373.10 118.05 17.90 338.15 1133.40

-0.90 1.16 0.85 2.75 1.20

amount of buildup in last few trading sessions, we feel majority buildup is on the longer side and in yesterday trading session maximum amount of long buildup has been observed with sharp increase in CoC. Hence we recommend to go long on the stock with target price of 1645 and stoploss at 1520.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN TATAMOTORS RELIANCE PCR-OI 1.49 0.98 0.78 0.51 0.75 PCR-VOL 0.95 0.89 0.66 0.51 0.68

Historical Volatility
SCRIP TATAGLOBAL UNIPHOS DIVISLAB SREINFRA FEDERALBNK HV 41.60 34.20 32.35 57.15 25.70

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Derivative Report
June 26, 2012

FII Statistics for 26-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17112.80 50533.65 25163.59 1352.30 94162.34 Change (%) 8.99 1.70 2.24 (4.91) 3.01

Turnover on 26-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

4227.38

3426.94

800.44 928.43 (161.92) (30.04) 1536.90

682950 1974472 1009147 52206 3718775

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

585085 4542189 864803 161519 6153596

14274.84 116671.54 21723.64 4204.95 156874.96

-15.73 -12.56 7.78 -29.32 -11.11

16133.65 15205.22 6287.95 818.31 6449.87 848.35

27467.27 25930.37

Nifty Spot =5120.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 42.75 7.05 42.75 0.75 7.05 0.75 6.30 93.70 5206.30 42.00 158.00 5142.00 Risk 35.70 Reward 64.30 BEP 5135.70

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 19.50 4.00 19.50 1.15 4.00 1.15 2.85 97.15 4997.15 18.35 181.65 5081.65 Risk 15.50 Reward 84.50 BEP 5084.50

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

Nifty Put-Call Analysis

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Derivative Report
June 26, 2012

Strategy Date 04-06-2012 11-06-2012 18-06-2012 25-06-2012

Symbol NIFTY TATAMOTORS TATASTEEL INFY

Strategy Ratio Put Spread Long Put Ladder Bear Put Spread Bear Put Spread

Status Open Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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