Derivative Report

India Research
Comments
The Nifty futures open interest increased by 4.73% while

Nifty Vs OI

Feb 22, 2012

Minifty futures open interest in increased by 1.69% as market closed at 5607.15 levels.
The Nifty Feb. future closed at a Premium of 15.00 point

against a Premium of 25.30 points. The March series closed at a Premium of 56.55 points.
The Implied Volatility of at the money options is

increased from 16.20% to 21.92%.

The PCR-OI has being increased from 1.70 to 1.80

points.
The total OI of the market is `1,54,625/-cr. and the

stock futures OI are `37,813/-cr.

Few of the liquid counters where we have seen high

rollovers are MCLEODRUSS, BHARATFORG, JSWSTEEL, ALOKTEXT and INFY.

OI Gainers
SCRIP VIPIND COLPAL BEL IDEA LITL OI 4066250 169500 87500 12532000 66804000 OI CHANGE (%) 67.94 34.52 26.81 22.00 19.13 PRICE 124.80 1012.20 1489.55 93.00 23.35 PRICE CHANGE (%) 7.59 0.05 -0.50 2.20 3.32

View
Good amount of buying was visible by FIIs in

yesterdays trading session; they were net buyers worth of `1400/- cr. On derivatives front they were net sellers in both index futures and in index options.
On options front no major buildup was seen in call

option however some unwinding was seen in 55005600 strike price, while in put option 5400 and 5600 strike price have seen maximum buildup of open interest in yesterdays trading session.
The counter of CENTRALBK have seen good amount

OI Losers
SCRIP VIDEOIND CUMMINSIND GODREJIND BEML TULIP OI 7712000 347500 1816000 199000 1050000 OI CHANGE (%) -13.37 -12.69 -11.97 -11.95 -6.58 PRICE 179.35 467.45 240.15 637.70 104.90 PRICE CHANGE (%) 2.84 0.21 10.77 0.58 0.53

of buildup in open interest with positive price movement in past few trading session and we feel majority of the build is on the longer side. Hence we recommend to go long on this stock with the target price of `121 and stop loss at `104.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.80 2.11 1.71 0.74 1.03 PCR-VOL 1.24 1.56 0.55 0.43 0.37

Historical Volatility
SCRIP
GODREJIND UNITECH ONGC HINDOILEXP MCLEODRUSS

HV
66.42 95.53 28.45 71.00 59.63 For Private Circulation Only 1

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FII Statistics for 21-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 18553.92 50063.21 34271.19 1879.74 104768.06 Change (%) 6.71 1.54 2.44 -2.56 2.65

Turnover on 21-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

7183.58

7238.99

(55.41) (282.62) (351.19) (18.21) (707.43)

659660 1785757 1101884 61533 3608834

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

706894 3319078 1180500 187742 5394214

19285.58 92373.71 36055.92 5764.25 153479.46

20.65 -24.87 9.58 -36.02 -15.14

11982.14 12264.76 9470.67 105.62 9821.86 123.83

28742.02 29449.45

Nifty Spot =5607.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 46.30 8.35 46.30 1.60 8.35 1.60 6.75 93.25 5706.75 44.70 155.30 5644.70 Risk 37.95 Reward 62.05 BEP 5637.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 24.35 5.25 24.35 1.65 5.25 1.65 3.60 96.40 5496.40 22.70 177.30 5577.30 Risk 19.10 Reward 80.90 BEP 5580.90

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

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Derivative Report | India Research

Strategy Date 30-01-2012 06-02-2012 13-02-2012 21-02-2012

Scrip NIFTY SBIN ICICIBANK M&M

Strategy Long Call Ladder Short Strangle Ratio Call Spread Bull Call Spread

Status Open Open Open Open

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Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

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