Derivative Report

India Research
Nov 03, 2011 Comments
The Nifty futures open interest increased by 0.79% while

Nifty Vs OI

Minifty futures open interest increased by 1.99% as market closed at 5258.45 levels.
The Nifty Nov. future closed at a Premium of 21.72 point

against a Premium of 33.45 points. The December Series closed at a Premium of 45.12 points.
The Implied Volatility of at the money options is

increased from 21.45% to 22.37%.

The PCR-OI is increased from 1.35 to 1.37 points. The total OI of the market is `1,17,742.40cr. and the

stock futures OI are `32,089.63cr.

Stocks were cost of carry is positive are BOSCHLTD,

SOBHA, ALOKTEXT, GMRINFRA and GVKPIL.

OI Gainers
SCRIP ALBK GVKPIL ARVIND ANDHRABANK BANKBARODA OI 2529000 68932000 4988000 2384000 2504000 OI CHANGE (%) 20.54 14.48 12.34 12.14 10.56 PRICE 160.85 13.30 106.70 118.30 800.15 PRICE CHANGE (%) 7.99 -4.32 -0.23 -1.87 0.23

View
There was again a muted performance by FIIs in

Cash market segment; they were net sellers of worth `8/- cr. in yesterdays trade. On derivatives front they were net sellers in index future indicating some long unwinding, while in index options also they were net sellers.
On Options front Nifty 5600 call option have shown

OI Losers
SCRIP GMDCLTD TATACHEM ESCORTS DIVISLAB BOMDYEING OI 402000 363000 4568000 618500 456000 OI CHANGE (%) -15.90 -7.63 -6.70 -6.64 -5.20 PRICE 187.95 328.10 89.10 762.85 420.90 PRICE CHANGE (%) 0.16 2.02 4.64 0.30 -1.92

some buildup, while in put option 4900 strike price have seen good amount of unwinding and out of the money put options 4700,4800 and 5100 strike price have seen some buildup in open interest.
On stocks front some of the large cap stocks where

we have seen some buildup in open interest are PNB, ABB, BHARTIARTL,IOC and RCOM.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE BANKNIFTY INFY PCR-OI 1.37 0.47 0.62 0.87 0.90 PCR-VOL 1.12 0.37 0.46 0.92 1.06

Historical Volatility
SCRIP
ALBK GVKPIL TECHM PNB ESCORTS

HV
56.44 43.76 49.43 45.78 51.65 For Private Circulation Only 1

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FII Statistics for 02-Nov-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 14840.94 40148.14 28583.81 594.15 84167.05 Change (%) -1.47 5.99 0.58 9.98 2.72

Turnover on 02-Nov-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1671.71

1938.40

(266.69) (16.36) (363.48) (3.35) (649.89)

567915 1526625 1156452 23086 3274078

Index Futures Stock Futures Index Options Stock Options Total

514083 421456 2793384 103508 3832431

12638.03 10345.40 73873.64 2595.47 99452.54

13.80 -12.97 9.83 -15.51 6.57

15138.29 15154.66 1008.96 276.04 1372.45 279.39

18095.00 18744.90

Nifty Spot =5257.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 102.05 59.20 102.05 31.15 59.20 31.15 28.05 71.95 5428.05 70.90 129.10 5370.90 Risk 42.85 Reward 57.15 BEP 5342.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5100 5200 5000 5100 5000 Price 81.30 53.30 81.30 34.20 53.30 34.20 19.10 80.90 5080.90 47.10 152.90 5152.90 Risk 28.00 Reward 72.00 BEP 5172.00

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 31/10/2011

Scrip NIFTY

Strategy Long Call

Status Open

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