Derivative Report

Dec 04, 2012

Comments
The Nifty futures open interest increased by 1.74% while

Nifty Vs OI

BankNifty futures open interest is decreased by 4.33% as market closed at 5870.95 levels.
The Nifty Dec. future closed at premium of 40.65 point

against a premium of 29.20 points. The Jan. series closed at a premium of 72.15 points.
The Implied Volatility of at the money options is

increased from 12.90% to 13.69%.

Nifty PCR-OI has decreased from 1.11 to 1.10 levels. The total OI of the market is Rs.1,26,166/- cr. and the

stock futures OI are Rs.33,804/- cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are GUFLUORO, JPPOWER, GVKPIL, NHPC and UCOBANK. View OI Gainers
SCRIP EXIDEIND TATACHEM PANTALOONR UNIONBANK CESC OI 2886000 1652000 13516000 4262000 2904000 OI CHANGE (%) 35.49 24.40 17.76 16.13 14.02 PRICE 147.05 334.35 230.70 237.90 316.00 PRICE CHANGE (%) 3.56 2.33 9.60 -1.50 2.49 FIIs continues to buy in cash market segment they

were net buyers worth of `303/- cr. On derivatives front some short positions was formed by them in index futures, while in index option they formed some long buildup in yesterdays trading session.
On options front 6000-6200 call option has seen

considerable amount of buildup in open interest, while in put option 5500 and 5800 put option has seen maximum buildup in yesterdays trade.
The counter of CIPLA is very much long heavy in

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

terms of open interest. We believe with market expected to head higher defence stock like these can see some profit booking. Hence we feel the counter could see some long unwinding pressure which could take the stock to around `400. Go short at around `418-420 levels with the stop loss at `430.

KTKBANK MPHASIS PETRONET ULTRACEMCO IRB

24896000 224500 2608000 919875 8002000

-8.30 -6.46 -4.12 -4.08 -3.57

183.80 402.55 163.35 1999.75 136.20

4.47 3.32 0.43 2.76 0.40

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE TATAMOTORS PCR-OI 1.10 1.01 0.63 0.42 0.71 PCR-VOL 0.96 0.99 0.40 0.40 0.69

Historical Volatility
SCRIP INDHOTEL ACC ADANIENT UNIPHOS TATACOMM HV 39.40 27.21 59.78 45.07 34.21

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Derivative Report
Dec 03, 2012

FII Statistics for 03-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10987.25 39215.11 30141.28 1247.16 81590.80 Change (%) 1.32 4.29 (0.03) 41.52 2.65

Turnover on 03-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

727.92 9174.66 1110.23 952.36

978.97 8527.81 1183.47 1056.32

(251.05) 646.85 (73.24) (103.96) 218.60

376958 1335125 1058871 45142 2816096

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,08,254 20,19,926 4,88,124 2,14,215 29,30,519

5964.18 59784.29 14736.56 6514.50 86999.53

-37.62 -24.28 -27.22 -24.00 -25.85

11965.17 11746.56

Nifty Spot =5870.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 88.50 46.30 88.50 21.10 46.30 21.10 25.20 74.80 6025.20 67.40 132.60 5967.40 Risk 42.20 Reward 57.80 BEP 5942.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 77.35 42.05 77.35 21.85 42.05 21.85 20.20 79.80 5779.80 55.50 144.50 5844.50 Risk 35.30 Reward 64.70 BEP 5864.70

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

Nifty Put-Call Analysis

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Derivative Report
Dec 03, 2012

Strategy Date 03-Dec-2012

Symbol TATASTEEL

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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