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Derivative Report

India Research
Nov 17, 2011 Comments
The Nifty futures open interest decreased by 0.65% while

Nifty Vs OI

Minifty futures open interest decreased by 4.75% as market closed at 5030.45 levels.
The Nifty Nov. future closed at a Premium of 14.45 point

against a Premium of 9.70 points. The December Series closed at a Premium of 42.00 points.
The Implied Volatility of at the money options is

decreased from 24.85% to 23.79%.


The PCR-OI has decreased from 1.21 points to 1.13

points.
The total OI of the market is `1,34,439.30cr. and the

stock futures OI are `32,438.05cr.


Stocks were cost of carry is positive are RUCHISOYA,

FSL, NCC, PTC and ADANIPOWER.

OI Gainers
SCRIP MUNDRAPORT SINTEX IDEA YESBANK ASHOKLEY OI 4702000 6280000 11444000 6946000 29088000 OI CHANGE (%) 63.72 28.11 25.65 22.10 21.20 PRICE 132.55 90.65 98.85 270.70 26.20 PRICE CHANGE (%) -8.33 -9.62 4.71 -4.92 -0.38

View
Its quite clear now that FIIs are on sell mode.

Yesterday too they sold in cash market segment and shorted in index futures significantly. They are also hedging their short exposure by buying some at-themoney calls.
PCR-OI has fallen substantially especially because of

yesterdays development in options segment. We saw most of the puts in November series unwinding positions while 5000 and 5200 saw substantial builtup.
TATAMOTORS have relatively less open interest ever

OI Losers
SCRIP KFA IGL JETAIRWAYS ORIENTBANK INDHOTEL OI 12208000 197000 1073500 625000 7776000 OI CHANGE (%) -20.60 -10.25 -8.33 -8.22 -7.30 PRICE 24.90 413.10 248.95 281.05 59.80 PRICE CHANGE (%) 14.22 -1.65 4.32 -0.32 -0.17

since it corrected from 200+ levels. We expect some formation of short positions in the counter. We suggest shorting around 183-185 with target of 172 and stop loss of 187.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY ICICIBANK RELIANCE PCR-OI 1.13 0.25 0.64 0.29 0.43 PCR-VOL 0.90 0.38 0.40 0.42 0.64

Historical Volatility
SCRIP
BRFL MPHASIS MUNDRAPORT SREINFRA KFA

HV
50.22 59.54 69.83 72.75 108.92 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 16-Nov-2011


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 14927.71 46253.60 29088.24 985.77 91255.32 Change (%) 0.31 5.78 1.21 2.67 3.27

Turnover on 16-Nov-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2723.54

3551.11

(827.57) 1,228.44 (126.09) 9.32 284.10

600491 1838950 1256244 41593 3737278

Index Futures Stock Futures Index Options Stock Options Total

788789 706834 5460483 188285 7144391

18555.02 16266.80 139912.72 4521.94 179256.48

35.71 26.13 36.27 0.40 34.02

24491.34 23262.90 3231.42 563.43 3357.51 554.10

31009.73 30725.63

Nifty Spot =5030.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 46.60 18.45 46.60 5.65 18.45 5.65 12.80 87.20 5212.80 40.95 159.05 5140.95 Risk 28.15 Reward 71.85 BEP 5128.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 55.60 26.40 55.60 11.75 26.40 11.75 14.65 85.35 4885.35 43.85 156.15 4956.15 Risk 29.20 Reward 70.80 BEP 4970.80

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

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 31/10/2011 08/11/2011 14/11/2011

Scrip NIFTY MARUTI ICICIBANK

Strategy Long Call Long Put Long Call

Status Open Open Open

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Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539

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