Derivative Report

Nov 27, 2012

Comments
The Nifty futures open interest increased by 3.60% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.01% as market closed at 5635.90 levels.
The Nifty Nov. future closed at premium of 6.85 point

against a premium of 6.75 points. The Dec. series closed at a premium of 42.05 points.
The Implied Volatility of at the money options is

increased from 10.74% to 13.12%.

Nifty PCR-OI has increased from 1.03 to 1.06 levels. The total OI of the market is Rs.1,57,051/- cr. and the

stock futures OI are Rs.35,669/- cr.

Few of the large cap names where we have seen high

rollover are BHEL, SAIL, HEROMOTOCO, SBIN and JPASSOCIAT. View OI Gainers
SCRIP ABIRLANUVO INDUSINDBK TCS NMDC HAVELLS OI 1088500 3175000 4328250 2018000 640000 OI CHANGE (%) 28.29 26.09 18.01 16.78 15.63 PRICE 1028.55 384.35 1293.70 163.15 572.15 PRICE CHANGE (%) 5.69 2.52 0.41 -2.45 -2.17 FIIs were net buyers in cash market segment worth

of `163/- cr. On derivatives front good amount of long buildup was seen in index futures, while in index options considerable amount of long unwinding was seen in yesterdays trade.
On options front not much of buildup was seen in

call option, while in put option 5600 strike price has seen significant amount of buildup in open interest in yesterdays trading session.
Rollover in NIFTY future is in line at 33%, while that

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

of BANKNIFTY future the rollover is bit on the lower side at 19%.

TATASTEEL has seen good amount of long buildup in

SAIL KTKBANK SUZLON HDIL HEXAWARE

23904000 23200000 135663000 26552000 8442000

-18.98 -11.42 -10.98 -10.37 -8.75

78.15 155.75 15.45 103.45 106.70

0.06 2.06 3.68 -0.86 4.82

yesterdays trading session. The stock has also seen decent amount of short positions at higher levels, Hence we feel the counter could see short covering rally which could take the stock to around `394. Go long with the stop loss of `360.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE MCDOWELL-N PCR-OI 1.06 0.86 0.46 0.29 0.87 PCR-VOL 1.01 0.91 0.67 0.39 0.42

Historical Volatility
SCRIP ABIRLANUVO BHUSANSTL HINDZINC BATAINDIA GUJFLUORO HV 37.48 21.13 34.11 25.07 42.25

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Derivative Report
Nov 27, 2012

FII Statistics for 26-November-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9361.53 52730.38 31824.20 2663.54 96579.65 Change (%) 4.76 (1.17) 2.46 (7.49) 0.44

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

Instrument

2088.67 9219.94 9395.85 1190.10

1926.81 9799.96 9422.96 1201.75

161.85 (580.02) (27.11) (11.66) (456.94)

372023 1870402 1175574 97549 3515548

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,68,090 30,39,326 10,29,272 2,93,008 46,29,696

7381.87 86083.46 28312.76 9080.10 130858.19

-2.84 -14.84 65.85 10.20 -2.34

21894.55 22351.49

Nifty Spot =5635.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 51.35 6.75 51.35 1.00 6.75 1.00 5.75 94.25 5705.75 50.35 149.65 5650.35 Risk 44.60 Reward 55.40 BEP 5644.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 11.35 2.00 11.35 1.00 2.00 1.00 1.00 99.00 5499.00 10.35 189.65 5589.65 Risk 9.35 Reward 90.65 BEP 5590.65

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

Nifty Put-Call Analysis

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Derivative Report
Nov 27, 2012

Strategy Date 29-Oct-2012 05-Nov-2012 12-Nov-2012 19-Nov-2012 26-Nov-2012

Symbol NIFTY TATAMOTORS DLF AXISBANK RELIANCE

Strategy Long Put Long Put Ladder Bear Put Spread Long Put Long Call

Status Open Profit booked on 19-Nov-2012 Profit booked on 19-Nov-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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