Derivative Report

Oct 22, 2012

Comments
The Nifty futures open interest decreased by 3.04% while

Nifty Vs OI

BankNifty futures open interest is decreased by 6.92% as market closed at 5684.25 levels.
The Nifty Oct. future closed at premium of 4.05 point

against a premium of 17.75 points. The Nov. series closed at a premium of 36.00 points.
The Implied Volatility of at the money options is

decreased from 13.67% to 12.80%.

Nifty PCR-OI has decreased from 1.07 to 1.01 levels. The total OI of the market is `1,60,861/- cr. and the

stock futures OI are `36,991/- cr.

Few of the liquid counters where we have seen high

rollovers are PUNJLLOYD, JSWSTEEL, MCLEODRUSS, JSWSTEEL and BHEL. View OI Gainers
SCRIP EXIDEIND INDHOTEL GODREJIND LICHSGFIN GMRINFRA OI 4326000 9528000 1369000 12115000 67176000 OI CHANGE (%) 49.38 23.36 17.51 15.15 14.46 PRICE 148.20 66.45 306.50 247.65 22.55 PRICE CHANGE (%) -8.83 -5.87 2.23 -1.66 -2.16 FIIs have slowed down its activity in cash market

segment; they were net buyers worth of `80/- cr. only. On derivatives front they were net sellers in index futures, while in index options they were net buyers in Fridays trading session.
On options front 5700-5800 call option has seen

significant amount of buildup in open interest followed by some unwinding in 5900 strike price. While in put option not much of buildup was observed however considerable amount of unwinding was seen in 5600-5800 put option in Fridays trade.
Rollover in NIFTY future is bit on the lower side at

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

15%, while that of BANKNIFTY future rollover is in line at 20%.

BPCL has seen good amount of short positions

NCC KTKBANK JSWENERGY SAIL INFY

4764000 25544000 25320000 29488000 4031875

-13.26 -10.51 -10.15 -10.06 -9.59

47.70 131.45 61.80 82.20 2383.35

-4.70 0.54 -2.83 -0.18 0.24

getting buildup at higher levels. `335 is the strong support for this stock and hence can expect some short covering bounce in this counter. Go long at around `338-340 levels with the target price of `358 and stop loss at `328.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.01 0.89 0.50 0.98 0.39 PCR-VOL 0.95 0.79 0.48 0.75 0.51

Historical Volatility
SCRIP EXIDEIND INDHOTEL GRASIM BPCL GAIL HV 54.81 45.87 25.14 26.38 27.24

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Derivative Report
Oct 22, 2012

FII Statistics for 19-October-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15622.37 52857.20 31401.69 2919.92 102801.18 Change (%) 0.49 0.25 0.20 1.14 0.30

Turnover on 19-October-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1589.21

1871.75

(282.53) 562.01 (25.76) (15.55) 238.16

622617 1859086 1072645 92284 3646632

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,05,358 42,93,049 7,64,629 3,34,571 57,97,607

11143.75 122983.42 22868.98 10578.77 167574.92

-7.01 -8.56 13.96 -7.17 -5.83

19949.16 19387.15 4868.11 1903.33 4893.88 1918.88

28309.82 28071.65

Nifty Spot =5684.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 29.95 5.50 29.95 1.25 5.50 1.25 4.25 95.75 5804.25 28.70 171.30 5728.70 Risk 24.45 Reward 75.55 BEP 5724.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 41.20 9.25 41.20 1.40 9.25 1.40 7.85 92.15 5592.15 39.80 160.20 5660.20 Risk 31.95 Reward 68.05 BEP 5668.05

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

Nifty Put-Call Analysis

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Derivative Report
Oct 22, 2012

Strategy Date 01-Oct-2012 08-Oct-2012 15-Oct-2012

Symbol SBIN ICICIBANK RELIANCE

Strategy Short Strangle Bull Call Spread Long Call Ladder

Status Profit booked on 08-Oct-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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