Weekly Derivatives

September 14, 2012 Nifty Options OI Distribution

100 Nifty Call Put Concentration (Sep)

Nifty highlights
Week on week Current Previous Change (%) Spot 5576 5342.6 4.4 Fut 5585 5359 4.2 COC(%) 4.5 5.5 Tot Fut OI 24700550 21581350 14.5 PCR OI 1.03 0.94 PCR Vol 1.17 0.93 ATM IV (%) 14.4 15.8 -

Shares in Lacs

80 100.1 88.4 82.9 96.7 60 40 20 0

Source: NSE, Seediff, ICICIdirect.com Research

59.1 71.9

34.2

50.7

Weekly Analysis
9.4 1.2

14.1

23.0

5.0

4.3

Supported by positive news flows both domestically and internationally (German

5200 5300 5400 5500 5600 5700 5800 CALL OI PUT OI

FII statistics
Index Fut Date 7-Sep 10-Sep 11-Sep 12-Sep 13-Sep Net Buy 652 -471 103 437 98 Stock Fut Net Buy 675 23 142 -28 -161 Index Opt Net Buy 1969 936 530 483 -353 Cash Net Buy 516 727 556 580 0

constitutional court favourable ruling, QE3 announcement along with diesel price hike), the Nifty clocked strong gains this week. Momentum was observed in Fridays trade as the Nifty added over 130 points in Fridays session. Among heavyweights, the strongest move was seen in banking and metal stocks while pharma stocks like Cipla and Ranbaxy observed profit taking India VIX continued with its downward journey and in Fridays trading session saw closure of long vega positions created ahead of the FOMC announcement. In the process, it made the low of 13.86, which is the second lowest level since April 7, 2010. India VIX is likely to remain subdued and, in turn, may keep the comfort level in the market In the options segment, OI activity turned bullish wherein near the money Put strikes of 5300 and 5400 saw aggressive additions. On the Call side, closure was visible in 5400 and 5500 strikes while addition was seen in the 5700 Call strike. Thus, the options build-up is suggesting 5400 will act as a strong support

NSE Turnover
140,000 130,000 120,000 127,059 100,000 90,000 80,000 70,000 60,000 7-Sep 131,751 135,357 110,000 119,236 121,942 106761 116,590

Index Outlook

Nifty: The Nifty may continue to trade with a positive bias towards its previous

Market OI (in | Cr)

Turnover (in | Cr)

highs of 5630. A breach of this level may trigger further short covering towards 5680. On downsides, we expect 5400-5450 to act as strong support Bank Nifty: The Bank Nifty saw sharp short covering in Fridays session, breaching the highest Call base of the 10500 strike. Short covering in PSU banking stocks may continue and the Bank Nifty is expected to remain positive till it holds above 10500. In such a scenario, it may test 11000 on the higher side Stock OI activity Noteworthy additions were observed in pharma stocks during last week while banking and capital goods stocks observed fresh long addition. Technology and telecom stocks also saw fresh addition of open interest. At the same time, stocks from the FMCG and metal space witnessed closure of short positions Sectoral OI Change
20 15 10 5 0 -5 FM CG Infrastructure Technology Autom obile Finance Realty Banking M edia Capital_Goods Fertilisers Oil_Gas Pharm a M etals Pow er Cem ent Sugar

99,117

10-Sep

76,375

11-Sep

12-Sep

Nifty Spot , Advance Decline and India Vix

Date 7-Sep 10-Sep 11-Sep 12-Sep 13-Sep Nifty Spot Nse Advances NSE Declines India VIX 5342 5363 5390 5431 5435 1040 802 813 873 612 446 679 655 605 880 15.3 15.3 15.4 15.0 15.7

13-Sep

81,880

Telecom

Textile

% Chg in Futures OI

Analyst
Amit Gupta amit.gup@icicisecurities.com Azeem Ahmad azeem.ahmad@icicisecurities.com Raj Deepak Singh rajdeepak.singh@icicisecurities.com

Source: Company, ICICIdirect.com Research

Weekly Strategy*
i) HDFC BANK (HDFBAN) Buy HDFBAN Sept Fut in the rng of 605-610 View: Bullish Target :640 Stop Loss : 590 iI) TITAN INDUSTRIES (TITIND) Buy TITIND Sept Fut in the rng of 237-240 View: Bullish Target : 254 Stop Loss : 230

Market lot :500 Market lot :1000 Note: Initiate the stock recommendation within +/- 0.5% of the stated price range.

Strategy follow up
Date 07-Sep-12 07-Sep-12 Underlying NTPC CONCOF View Buy Buy Strategy Buy Fut Buy Fut Reco Target 171.5 181.0 982.0 1045.0 SL 166.1 937.0 Profit/Loss 5000 5500 Comment Profits booked Profits booked

ICICI Securities Ltd | Retail Equity Research

Transport

Derivatives research product basket

Directional Long build up/Short covering Futures Short build up Futures High OI stocks delivery product Plain vanilla options Deep Value Strategy Hybrid Strategies Index/Stocks Rollover week product ( Long/Short rollover stocks) VWAP(expiry day product) Non-directional Theta & Vega strategies Delta differential strategy Option indicators analysis Gamma neutral delta neutral strategy Reverse, Synthetic options & Situational arbitrage Opportunity Matrix Calendar Spreads Ratio Spreads Quant products Pairs trading Enhanced portfolio VIX analysis Quant Picks Volatility Insights

Pankaj Pandey

Head Research ICICIdirect.com Derivatives Desk

ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC Andheri (East), Mumbai 400 093 research@icicidirect.com

pankaj.pandey@icicisecurities.com

DISCLAIMER: The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Limited. "The author may be holding a small number of shares/position in the above-referred companies as on date of release of this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an open position in the above referred companies as on the date of release of this report." This report is based on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and needs of specific recipient. This may not be taken in substitution for the exercise of independent judgement by any recipient. The recipient should independently evaluate the investment risks. ICICI Securities Ltd and affiliates accept no liabilities for any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future performance. Actual results may differ materially from those set forth in projections. ICICI Securities Ltd may have issued other reports that are inconsistent with and reach different conclusion from the information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject ICICI Securities Ltd and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.

ICICI Securities Ltd | Retail Equity Research

Page 2