Derivative Report

India Research
Comments
The Nifty futures open interest increased by 11.44% while

Nifty Vs OI

Dec 30, 2011

Minifty futures open interest decreased by 2.67% as market closed at 4646.25 levels.
The Nifty Jan. future closed at a Premium of 26.85 point

against a Premium of 26.05 points. The February Series closed at a Premium of 46.15 points.
The Implied Volatility of at the money options is

decreased from 30.44% to 24.65%.

The PCR-OI has being decreased from 0.88 to 0.80

points.
The total OI of the market is `1,42,079/-cr. and the

stock futures OI are `28,443/-cr.

Stocks were cost of carry is positive are GVKPIL,

RUCHISOYA, TTML, GITANJALI and MTNL.

OI Gainers
SCRIP ALBK INDIAINFO TTML CUMMINSIND IFCI OI 3329000 2468000 29616000 323300 91720000 OI CHANGE (%) 36.66 27.74 25.94 24.73 23.94 PRICE 115.45 44.40 11.95 342.20 23.65 PRICE CHANGE (%) -1.74 -5.13 -7.36 -0.18 -6.71

View
Yesterday FIIs sold significantly in cash market

segment; they were net sellers worth of `1016/- cr. On Derivatives front they were net sellers in index futures, while in index options they were net buyers.
On Options front deep out-of-the money put option

of 4200 strike have seen some buildup in open interest, while in call option 4600 and 4700 strikes have seen maximum buildup in open interest.
We are seeing significant amount of short positions

OI Losers
SCRIP FSL MRF HOTELEELA HAVELLS TRIVENI OI 7500000 33625 2904000 739000 892000 OI CHANGE (%) -41.86 -27.30 -23.09 -17.89 -15.21 PRICE 5.75 6920.25 28.95 384.75 12.85 PRICE CHANGE (%) -10.85 4.64 -1.86 -0.25 -5.86

getting buildup in AXISBANK counter in December series and rollover is also quite significant at around 79%. `780-800 level is the strong support for the stock and hence we recommend to go long on this counter for an upside till `865 on back of short covering and keeping stop loss at `778.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 0.80 0.34 0.76 0.43 0.39 PCR-VOL 0.80 0.71 0.93 0.58 0.63

Historical Volatility
SCRIP
TTML TULIP SKUMARSYNF COLPAL PIRHEALTH

HV
57.18 55.74 82.34 24.98 28.80 For Private Circulation Only 1

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FII Statistics for 29-Dec-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 9194.21 21081.49 22209.12 243.61 52728.44 Change (%) -28.67 -52.89 -19.85 -79.67 -38.93

Turnover on 29-Dec-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3465.26

3570.82

(105.55) 493.60 (132.26) (1.99) 253.80

401304 908931 967025 9190 2286450

Index Futures Index Options Stock Futures Stock Options Total

797753 5701644 1048698 168230 7716325

17495.68 135673.85 22327.69 3680.61 179177.83

21.79 15.40 23.72 23.04 17.13

13859.64 13366.05 5096.03 173.57 5228.29 175.57

22594.52 22340.72

Nifty Spot =4646.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4700 4800 4700 4900 4800 4900 Price 111.15 69.90 111.15 41.10 69.90 41.10 28.80 71.20 4828.80 70.05 129.95 4770.05 Risk 41.25 Reward 58.75 BEP 4741.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4600 4500 4600 4400 4500 4400 Price 96.80 65.65 96.80 43.20 65.65 43.20 22.45 77.55 4477.55 53.60 146.40 4546.40 Risk 31.15 Reward 68.85 BEP 4568.85

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. 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 28-11-2011 05-12-2011 12-12-2011 19-12-2011 26-12-2011

Scrip RELINFRA TATAMOTORS NIFTY NIFTY TATASTEEL

Strategy Long Call Long Put Short Strangle Long Call Long Call

Status Did not triggered Profit on Expiry Book Profit Did not triggered Loss on Expiry

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