Derivative Report

July 27, 2012

Comments
The Nifty futures open interest decreased by 24.24%

Nifty Vs OI

while BankNifty futures open interest is decreased by 19.51% as market closed at 5043.00 levels.
The Nifty Aug. future closed at premium of 38.30 point

against premium of 29.60 points. The Sept. series closed at a premium of 65.75 points.
The Implied Volatility of at the money options is

decreased from 17.06% to 16.58%.

Nifty PCR-OI increased from 0.98 to 1.01 levels. The total OI of the market is `91,510/-cr. and the stock

futures OI are `26,827/-cr.

Few of the liquid counters where we have seen high

Cost-of-Carry are IOB, HCC, ASHOKLEY, BFUTILITIE and RENUKA. View OI Gainers
SCRIP SUZLON OI 129288000 OI CHANGE (%) 0.35 PRICE 16.90 PRICE CHANGE (%) 0.00 FIIs were net sellers in cash market segment; they

were net sellers worth of `1,181/- cr., since there was expiry the selling could be the close of their arbitrage positions. On derivatives front they were net sellers in index futures, while in index options they were net buyers in yesterdays trade.
On options front in Aug. series 5100-5200 call

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

options have seen considerable amount of buildup, while in put option 4600-5100 strike price have seen significant amount of buildup in yesterdays trade. The highest buildup in Aug. series is at 5000 put option, while in call option the buildup is quite scattered however the maximum buildup is in 5200 call option as of now.
The rollover in BANKNIFTY futures is at 79% and that

of NIFTY futures is at 70%.

The counter of IDBI has seen significant amount of

TTKPRESTIG GMDCLTD INDIANB SUNTV EXIDEIND

31875 228000 181000 616000 1042000

-74.90 -52.50 -49.30 -48.49 -46.07

3202.00 180.85 183.80 296.65 128.80

-5.62 -2.22 -4.33 3.43 0.04

short buildup and since the rollover was high in this stock we feel most of the short positions have being rolled over in the next series. `84-86 is strong support for this stock and hence we expect some short covering bounce which could take the counter to around `95. Go long with the stop loss of `83. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCR-OI 1.01 0.47 0.54 0.45 0.64 PCR-VOL 1.12 0.44 0.44 0.49 0.55

SCRIP IOB BIOCON MTNL ALOKTEXT KTKBANK

HV 49.63 33.09 66.68 37.35 55.09

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Derivative Report
July 27, 2012

FII Statistics for 26-July-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11112.43 28216.55 22427.89 217.87 61974.73 Change (%) (33.10) (39.43) (18.25) (87.26) (32.96)

Turnover on 26-July-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3958.32

4400.39

(442.06) 425.70 (79.09) 90.33 (5.13)

440722 1119041 880667 8897 2449327

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

7,81,532 58,95,266 12,24,052 2,50,481 81,51,331

19127.62 1,51,434.20 31254.41 6903.09 2,08,719.32

25.39 12.27 14.99 18.17 14.70

13395.11 12969.42 6431.63 679.11 6510.72 588.78

24464.17 24469.30

Nifty Spot =5043.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 5100 5000 5200 5100 5200 Price 149.10 92.25 149.10 50.75 92.25 50.75 41.50 58.50 5141.50 98.35 101.65 5098.35 Risk 56.85 Reward 43.15 BEP 5056.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 111.55 71.30 111.55 42.30 71.30 42.30 29.00 71.00 4971.00 69.25 130.75 5030.75 Risk 40.25 Reward 59.75 BEP 5059.75

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

Nifty Put-Call Analysis

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Derivative Report
July 27, 2012

Strategy Date 02-July-2012 02-July-2012 09-July-2012 16-July-2012 24-July-2012

Symbol INFY NIFTY ICICIBANK DLF BANKNIFTY

Strategy Long Strangle Long Call Long Call Ladder Bull Call Spread Long Call

Status Profit booked on 11-July-2012 Loss on expiry Marginal profit on expiry Loss on expiry Loss on expiry

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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