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Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 7.06% while

Nifty Vs OI

Jan 31, 2012

Minifty futures open interest decreased by 15.51% as market closed at 5087.30 levels.
The Nifty Jan. future closed at a Premium of 24.80 point

against a Premium of 8.10 points. The February Series closed at a Premium of 52.75 points.
The Implied Volatility of at the money options is

increased from 19.93% to 21.33%.


The PCR-OI has being decreased from 1.30 to 1.22

points.
The total OI of the market is `1,00,611/-cr. and the

stock futures OI are `27,455/-cr.


Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, COREEDUTEC, RUCHISOYA, ALOKTEXT and WELCORP.

OI Gainers
SCRIP TATACOFFEE OIL MRF INDIANB BHEL OI 125000 73000 72875 559000 15173000 OI CHANGE (%) 87.27 52.88 34.64 31.84 31.47 PRICE 866.15 1201.90 7657.45 213.95 244.15 PRICE CHANGE (%) -4.33 0.12 3.59 -1.93 -10.76

View
Despite of sharp fall in the market FIIs were net

sellers of worth `201/- cr. only in cash market segment. On derivatives front they were net sellers in index futures indicating some long unwinding, while in index options they were net buyers in yesterdays trading session.
On Options front 5300 and 5400 call option have

seen good amount of buildup in open interest, while in put option 5200 strike price have seen some unwinding.
There is very strong support for the counter of GAIL

OI Losers
SCRIP VIPIND VOLTAS EXIDEIND IOB HINDZINC OI 1488750 2282000 1724000 1164000 1054000 OI CHANGE (%) -25.00 -16.90 -15.41 -14.79 -14.17 PRICE 107.70 90.80 130.80 86.00 132.45 PRICE CHANGE (%) -5.69 -4.37 0.69 -2.82 -1.08

at around `360-365 levels. We have seen good amount of buildup in this counter at the narrow range of `365-375 odd levels and we expect the counter could take the support at its strong support zone. Hence we recommend to go long on this stock with the target price of `392 and stop loss at `356.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.22 1.86 0.56 0.74 0.68 PCR-VOL 1.05 1.07 0.69 0.57 0.83

Historical Volatility
SCRIP
BHEL DIVISLAB INDIAINFO TATACOFFEE CROMPGREAV

HV
70.04 30.15 75.23 33.93 64.01 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 30-Jan-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 11322.06 30001.66 25751.51 809.74 67884.98 Change (%) -6.47 6.51 1.18 27.57 2.31

Turnover on 30-Jan-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1077.31 8573.54 1482.93 579.79

2232.25 (1,154.94) 7677.47 1642.68 583.99 896.07 (159.74) (4.20) (422.81)

446521 1180262 963306 30471 2620560

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

439110 1883865 524540 145331 2992846

10540.17 48674.96 13865.95 3956.66 77037.73

17.29 12.58 0.04 2.08 10.12

11713.56 12136.38

Nifty Spot =5087.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 116.45 71.10 116.45 39.65 71.10 39.65 31.45 68.55 5231.45 76.80 123.20 5176.80 Risk 45.35 Reward 54.65 BEP 5145.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 105.90 68.20 105.90 42.00 68.20 42.00 26.20 73.80 4973.80 63.90 136.10 5036.10 Risk 37.70 Reward 62.30 BEP 5062.30

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

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 30-01-2012

Scrip NIFTY

Strategy Long Call Ladder

Status Open

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Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539

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