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Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 0.55% while

Nifty Vs OI

Feb 17, 2012

Minifty futures open interest decreased by 4.50% as market closed at 5521.95 levels.
The Nifty Feb. future closed at a Premium of 15.85 point

against a Premium of 20.60 points. The March series closed at a Premium of 51.60 points.
The Implied Volatility of at the money options is

increased from 15.91% to 16.35%.


The PCR-OI has being increased from 1.61 to 1.65

points.
The total OI of the market is `1,48,458/-cr. and the

stock futures OI are `36,587/-cr.


Few of the liquid counters where we have seen high cost-

of-carry are ORIENTBANK, RUCHISOYA, ASHOKLEY, DHANBANK and GVKPIL.

OI Gainers
SCRIP GMDCLTD GESHIP ORIENTBANK IFCI ORCHIDCHEM OI 1232000 438000 1108000 85808000 4704000 OI CHANGE (%) 103.30 31.53 27.65 17.02 16.61 PRICE 190.40 269.80 300.90 46.85 182.05 PRICE CHANGE (%) 1.93 2.68 -2.51 11.55 3.94

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `184/-cr. On derivatives front they were net sellers in index futures, while in index options good amount of buying was visible by them in yesterdays trading session.
On Options front 5600 call option have seen some

buildup in open interest, while in put option 5400 strike price have seen maximum buildup of open interest in yesterdays trading session.
The recent correction in the counter of BHARTIARTL

OI Losers
SCRIP IRB JSWENERGY TULIP FEDERALBNK 3IINFOTECH OI 1798000 13048000 1250000 972000 9376000 OI CHANGE (%) -14.14 -13.22 -11.47 -11.31 -10.81 PRICE 201.50 67.05 110.50 442.65 20.45 PRICE CHANGE (%) 6.53 -0.59 -0.94 1.97 -0.97

was due to short positions buildup into this stock, but since past few trading session we have seen good amount of buildup into this counter with stock consolidating in the narrow price range and we believe majority of the buildup is on the longer side. Hence we recommend to go long with the target price of `374 and stop loss at `341.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.65 1.95 1.71 0.67 1.02 PCR-VOL 1.32 0.84 0.59 0.54 0.46

Historical Volatility
SCRIP
ABIRLANUVO SCI KTKBANK COALINDIA IFCI

HV
44.70 78.59 61.39 46.48 92.59 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 16-Feb-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 16862.35 45842.58 33149.33 1879.05 97733.32 Change (%) 1.84 4.20 0.76 -1.06 2.56

Turnover on 16-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2077.56

2407.13

(329.57) 1,989.59 (946.17) (34.78) 679.08

610283 1660566 1093292 62695 3426836

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

460135 3132099 871622 271745 4735601

12138.62 85704.12 26773.92 8406.07 133022.73

-15.18 -30.04 2.44 -5.68 -22.60

18708.90 16719.31 4514.22 1090.29 5460.39 1125.06

26390.98 25711.90

Nifty Spot =5521.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 71.95 24.10 71.95 5.50 24.10 5.50 18.60 81.40 5618.60 66.45 133.55 5566.45 Risk 47.85 Reward 52.15 BEP 5547.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 34.80 13.75 34.80 6.15 13.75 6.15 7.60 92.40 5392.40 28.65 171.35 5471.35 Risk 21.05 Reward 78.95 BEP 5478.95

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. 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 30-01-2012 06-02-2012 13-02-2012

Scrip NIFTY SBIN ICICIBANK

Strategy Long Call Ladder Short Strangle Ratio Call Spread

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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