Derivative Report

India Research
Comments
The Nifty futures open interest increased by 2.25% while

Nifty Vs OI

March 1, 2012

Minifty futures open interest in decreased by 1.15% as market closed at 5385.20 levels.
The Nifty March future closed at a premium of 54.3 point

against a premium of 66 points. The April series closed at a premium of 89.60 points.
The Implied Volatility of at the money options is

increased from 24.50% to 25.37%.

The PCR-OI has being increased from 1.30 to 1.31

points.
The total OI of the market is `1,14,959/-cr. and the

stock futures OI are `31,603/-cr.

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

of-carry are SREIINFRA, JSWISPAT, TATACOFEE, MTNL and ABGSHIP.

OI Gainers
SCRIP BGRENERGY ROLTA BEL ANDHRABANK TATAGLOBAL OI 1345000 2264000 106750 1706000 8616000 OI CHANGE (%) 37.81 34.76 28.61 28.08 24.01 PRICE 368.95 105.10 1617.95 130.90 125.55 PRICE CHANGE (%) 9.61 7.08 3.40 8.50 4.02

View
Despite of high volatility in yesterdays trading session

FIIs have being net buyers in cash market segment; they were net buyers worth of `580/-cr. However on derivatives front they were net sellers in both index futures and in index options.

OI Losers
SCRIP GMDCLTD MTNL INDIACEM PFC RECLTD OI 1018000 26992000 2952000 3324000 3748000 OI CHANGE (%) -17.64 -13.46 -11.40 -10.21 -9.03 PRICE 205.20 32.15 100.85 199.05 215.70 PRICE CHANGE (%) -1.42 1.26 5.38 2.39 1.08

On options front not much of buildup was visible in both call and put options in yesterdays trading session and most of the buildup was quite scattered. In call option 5600 strike price have seen maximum buildup; while in put option 5000 and 5300 strike price have seen maximum buildup of open interest in yesterdays trading session. counter of IDBI at around `110-111 in past few trading sessions. The counter is light in open interest and we have seen some short buildup in yesterdays trading session and also the stock is finding difficult to cross its resistance level of `115-116. Hence we recommend to go short with the target price of `100 and stop loss at `115.

We have seen some amount of consolidation in the

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.31 0.65 0.86 0.51 1.13 PCR-VOL 1.02 0.55 0.80 0.56 0.81

Historical Volatility
SCRIP
ONGC ANDHRABANK UNIPHOS IGL HINDPETRO

HV
31.78 65.22 54.49 58.39 44.85 For Private Circulation Only 1

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FII Statistics for 29-Feb-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 13467.85 41194.95 28238.34 1238.60 84139.73 Change (%) 2.22 4.60 0.71 14.65 3.07

Turnover on 29-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1709.21

1866.11

(156.89) (145.96) (275.16) (12.17) (590.19)

497452 1530056 955081 41850 3024439

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

572474 2260747 608021 159456 3600698

14613.76 62299.78 18203.88 4905.38 100022.80

13.95 7.95 6.70 10.81 8.69

12927.72 13073.68 1885.92 906.42 2161.08 918.60

17429.28 18019.47

Nifty Spot =5385.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 174.70 122.40 174.70 81.65 122.40 81.65 40.75 59.25 5540.75 93.05 106.95 5493.05 Risk 52.30 Reward 47.70 BEP 5452.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 100.60 72.55 100.60 50.75 72.55 50.75 21.80 78.20 5178.20 49.85 150.15 5250.15 Risk 28.05 Reward 71.95 BEP 5271.95

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

Nifty Put-Call Analysis

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Derivative Report | India Research

Strategy Date 27-02-2012

Scrip NIFTY

Strategy Ratio Bull Call Spread

Status Open

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Derivative Research Team

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