Derivative Report

June 15, 2012

Comments
The Nifty futures open interest decreased by 2.71% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.59% as market closed at 5054.75 levels.
The Nifty June future closed at a discount of 0.65 point

against a premium of 1.55 points. The July series closed at a premium of 23.45 points.
The Implied Volatility of at the money options is

increased from 22.49% to 24.41%.

The PCR-OI has decreased from 1.48 to 1.44 levels. The total OI of the market is `1,16,709/-cr. and the

stock futures OI are `25,211/-cr.

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

of-carry are ABGSHIP, COREEDUTEC, SKUMARSYNF and GUJFLUORO.

ALOKTEXT,

OI Gainers
SCRIP NTPC EDUCOMP KTKBANK TECHM TTKPRESTIG OI 7292000 7021000 6604000 279500 56375 OI CHANGE (%) 21.65 18.64 16.43 12.25 10.81 PRICE 148.25 129.90 86.40 677.70 3072.50 PRICE CHANGE (%) -3.92 -3.71 5.17 1.59 1.57

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `106/- cr. in yesterdays trading session.

On options front good amount of buildup was visible

in 5100 call option, while in put option no major buildup was seen except in 5000 strike price and decent amount of unwinding was observed in 4900 and 5100 put option in yesterdays trading session.
The

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

recent bounce back in the counter of BAJAJAUTO was mainly due to short covering; however the stock in yesterdays trading session has seen some fresh short positions with negative CoC. We feel the counter will find difficulty in sustaining at higher levels. Hence we recommend to go short with the target price of `1460 and stop loss at `1588.

INDIANB JETAIRWAYS HINDOILEXP VOLTAS NCC

507000 2097000 2618000 2418000 7512000

-20.41 -19.25 -11.79 -10.77 -9.80

174.95 374.05 115.20 101.20 36.85

-1.74 -1.89 -4.60 -2.69 0.27

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE LT PCR-OI 1.44 0.83 1.06 0.71 1.14 PCR-VOL 1.07 0.86 0.79 0.52 0.83

Historical Volatility
SCRIP MCLEODRUSS ADANIPORTS NTPC KTKBANK IBREALEST HV 41.21 42.79 34.53 48.23 64.40

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Derivative Report
June 15, 2012

FII Statistics for 13-June-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9954.92 41988.02 22834.29 1289.62 76066.84 Change (%) 7.01 1.67 (0.04) 2.82 1.82

Turnover on 14-June-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2029.05

952.49

1076.56 (262.37) (50.32) (7.76) 756.12

396774 1640041 933077 49408 3019300

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

499941 2991098 462393 210026 4163458

11918.82 76249.5 11375.59 5585.01 105128.91

10.37 8.38 -4.43 4.43 6.83

15374.64 15637.01 1074.29 1248.36 1124.61 1256.12

19726.34 18970.23

Nifty Spot =5054.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 104.35 55.05 104.35 24.80 55.05 24.80 30.25 69.75 5230.25 79.55 120.45 5179.55 Risk 49.30 Reward 50.70 BEP 5149.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 83.40 51.45 83.40 31.55 51.45 31.55 19.90 80.10 4980.10 51.85 148.15 5048.15 Risk 31.95 Reward 68.05 BEP 5068.05

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

Nifty Put-Call Analysis

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Derivative Report
June 15, 2012

Strategy Date 04-06-2012 11-06-2012

Symbol NIFTY TATAMOTORS

Strategy Ratio Put Spread Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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