Derivative Report

India Research
Oct 14, 2011 Comments
The Nifty futures open interest decreased by 3.16% while

Nifty Vs OI

Minifty futures open interest decreased by 3.90% as market closed at 5077.85 levels.
The Nifty Oct. future closed at a Discount of 3.80 point

against a Premium of 13.45 points. The November Series closed at a Premium of 11.50 points.
The Implied Volatility of at the money options is

decreased from 25.97% to 25.76%.

The PCR-OI has decreased from 1.56 to 1.48 points. The total OI of the market is `1,21,953.10cr. And the

stock futures OI are `29,018/-cr.

Stocks where cost of carry is positive are GLAXO,

STRTECH, HOTELEELA, JSWISPAT and NHPC.

OI Gainers
SCRIP TULIP LUPIN INDIANB AREVAT&D BAJAJHIND OI 832000 1337000 388000 827000 17897344 OI CHANGE (%) 17.51 15.56 12.79 12.21 11.71 PRICE 152.95 453.80 204.90 214.80 36.70 PRICE CHANGE (%) -1.48 -1.84 -1.73 1.20 -0.94

View
Cash base buying is now slowly and steadily picking

up the steam from FIIs. Again there was unwinding in index futures mainly shorts and buying of index options but quantum has reduced.
4600 put saw significant amount of unwinding in

open interest. We believe these are put buyers who are now squaring off their positions as market unlikely to go to those levels in this expiry. 51005300 calls witnessed substantial addition in OI.
ITC has witnessed some unwinding at higher levels.

OI Losers
SCRIP ORIENTBANK HOTELEELA DHANBANK IOB DISHTV OI 536000 3312000 2964000 1248000 10320000 OI CHANGE (%) -11.70 -9.01 -8.24 -7.96 -6.96 PRICE 299.15 39.15 64.60 98.55 80.35 PRICE CHANGE (%) -1.06 6.39 -2.20 0.46 3.21

Huge long positions were formed at lower levels. We are anticipating further long unwinding but would recommend buying 200 put with stop loss of `1/and target of `6/-.
POLARIS has been consolidating in the broader

range of `125-135. We are not witnessing rising volume with rising open interest. We anticipate break-out from current range and hence recommend going long with target price of `154 and stop loss of `123.

Put-Call Ratio
SCRIP NIFTY INFY SBIN RELIANCE BANKNIFTY PCR-OI 1.48 1.47 0.56 1.04 1.30 PCR-VOL 1.20 1.14 0.41 0.52 1.08

Historical Volatility
SCRIP
HOTELEELA KFA ADANIPOWER MCDOWELL-N HINDPETRO

HV
51.55 90.35 58.43 55.85 31.57 For Private Circulation Only 1

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Derivative Report | India Research

FII Statistics for 13-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13141.93 46046.95 27308.68 1151.26 87648.82 Change (%) -1.15 0.49 0.71 13.26 0.46

Turnover on 13-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2268.77

2037.62

231.14 143.78 (49.18) 2.05 327.80

524879 1813854 1120791 45147 3504671

Index Futures Stock Futures Index Options Stock Options Total

574472 521950 3588450 160877 4845749

13605.78 13062.80 91247.97 4152.21 122068.76

-17.80 -8.46 -11.39 -22.71 -12.29

12746.19 12602.41 1857.92 526.81 1907.09 524.76

17399.69 17071.89

Nifty Spot =5077.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 79.90 41.05 79.90 18.15 41.05 18.15 22.90 77.10 5222.90 61.75 138.25 5161.75 Risk 38.85 Reward 61.15 BEP 5138.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 66.05 40.45 66.05 24.40 40.45 24.40 16.05 83.95 4883.95 41.65 158.35 4958.35 Risk 25.60 Reward 74.40 BEP 4974.40

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

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 03-10-2011 10-10-2011

Scrip NIFTY SBIN

Strategy Long Put Ladder Long Call

Status Continue Book Profit

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