Derivative Report

India Research
Sep 9, 2011 Comments
The Nifty futures open interest decreased 0.97% while

Nifty Vs OI

Minifty futures open interest increased by 4.93% as market closed at 5153.25 levels.
The Nifty Sep future closed at a premium of 1.75 point

against a discount of 7.45 points. The October Series closed at a Premium of 13.05 points.
The Implied Volatility of at the money options is

increased from 23.29% to 23.52%

The PCR-OI is unchanged to 1.43 points. The total OI of the market is `1,28,397.70cr and the

stock futures OI is `28,645.21cr.

Stocks where cost of carry is positive are TULIP, GVKPIL,

FSL, MLL and BEML.

OI Gainers
SCRIP DELTACORP VIPIND OIL CHAMBLFERT ARVIND OI 6606000 753000 38500 7152000 2384000 OI CHANGE (%) 37.22 30.50 27.27 26.81 19.44 PRICE 105.25 983.15 1319.15 116.50 85.25 PRICE CHANGE (%) 7.89 7.62 1.70 5.05 3.08

View
FIIs were inactive in yesterdays trading session on

net activity basis. There was no net buying in cash where as in FNO market they sidelined index and were buyers in stock futures.
5000 and 5100 calls saw some unwinding but the

quantum of unwinding is very less. Same strike price puts have added meaningful open interest as market sustained above 5100 levels.
RPOWER is consolidating in the narrow range of `82

OI Losers
SCRIP YESBANK JETAIRWAYS EDUCOMP SOUTHBANK AUROPHARMA OI 4200000 1268500 4139000 2106000 3624000 OI CHANGE (%) -9.15 -8.90 -7.22 -6.77 -6.74 PRICE 296.85 299.40 230.60 22.05 136.25 PRICE CHANGE (%) 2.13 -1.87 3.11 0.46 -0.95

85/-. Some long positions are getting added and we believe there will be further addition. Buy with target of `94/- and stop loss of `81/-.
There has been no addition of OI in entire rally in

JPASSOCIAT. It is now running into its resistance of `72 75/-. Avoid forming fresh longs here. And around resistance zone go short with stop loss of `76/- with target price of `64/-.

Put-Call Ratio
SCRIP NIFTY RELIANCE SBIN BANKNIFTY INFY PCR-OI 1.43 1.43 0.53 2.03 0.60 PCR-VOL 0.99 0.79 0.29 0.96 0.50

Historical Volatility
SCRIP
RANBAXY DELTACORP VIPIND GSPL HINDUNILVR

HV
39.54 73.15 77.53 49.72 16.76 For Private Circulation Only 1

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FII Statistics for 08-Sep-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 17762.65 56422.14 29349.27 1068.97 104603.03 Change (%) -1.08 1.11 0.93 14.47 0.81

Turnover on 08-Sep-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1890.65 8265.20 1744.98 364.45

1913.74 8080.34 1141.48 381.04

(23.09) 184.86 603.50 (16.58) 748.68

692340 2190028 1153704 42774 4078846

Index Futures Stock Futures Index Options Stock Options Total

518596 476628 2437431 130453 3563108

12442.50 12178.91 62399.11 3325.60 90346.12

3.15 -5.39 -7.42 -5.64 -5.75

12265.28 11516.59

Nifty Spot =5153.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 91.15 52.75 91.15 28.40 52.75 28.40 24.35 75.65 5324.35 62.75 137.25 5262.75 Risk 38.40 Reward 61.60 BEP 5238.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 93.60 65.10 93.60 46.45 65.10 46.45 18.65 81.35 4981.35 47.15 152.85 5052.85 Risk 28.50 Reward 71.50 BEP 5071.50

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sep 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 29-Aug-2011 03-Sep-2011

Scrip ITC NIFTY

Strategy Covered Call Writing Ratio Put Spread

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