Derivative Report

Dec 21, 2012

Comments
The Nifty futures open interest decreased by 0.82% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.43% as market closed at 5916.40 levels.
The Nifty Dec. future closed at premium of 14.75 point

against a premium of 17.30 points. The Jan. series closed at a premium of 62.60 points.
The Implied Volatility of at the money options is

decreased from 12.85% to 12.15%.

Nifty PCR-OI is unchanged at 1.08 levels. The total OI of the market is Rs.1,67,764/- cr. and the

stock futures OI are Rs.42,570/- cr.

Few of the liquid counters where we have seen high cost

of carry are GMRINFRA, INDHOTEL, BHUSANSTL, HEXAWARE and PNB.

View OI Gainers
SCRIP IDBI IDEA ABB ADANIENT HDIL OI 23364000 10496000 212500 6930000 34340000 OI CHANGE (%) 36.20 22.39 21.60 19.90 17.17 PRICE 112.25 99.05 698.95 271.00 113.40 PRICE CHANGE (%) 1.26 3.59 -1.65 -7.00 -3.02 FIIs continue their trend of buying in cash market

segment; yesterday also they were net buyers worth of `467/- cr. On derivatives front again there was muted performance by them on net basis, however they were net buyers in both index futures and in index options in yesterdays trade.
On options front 6000 call option has seen good

amount of buildup in open interest. While in put option not much of buildup was observed, however some unwinding was seen in 6100 strike price in yesterdays trading session.
The recent fall in CESC was mainly due to long

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

GSPL HINDALCO RPOWER PEL TCS

4840000 32486000 60630000 466500 6111750

-12.06 -8.32 -7.47 -7.16 -6.27

75.80 132.70 96.05 569.50 1252.05

-2.81 2.35 -1.23 1.00 1.36

unwinding and a bit of short position was also seen in this stock. The counter has seen good amount of long position getting buildup since start of the expiry and majority of them are still intact and in yesterdays trade also some long buildup was seen in this stock. We feel the stock could resume its uptrend which could take the counter to around `328. Go long at around `310-312 levels with the stop loss of `300.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY DLF PCR-OI 1.08 0.99 0.99 0.41 0.33 PCR-VOL 0.96 0.92 0.67 0.44 0.38

Historical Volatility
SCRIP COLPAL ADANIENT WELCORP IDEA ABB HV 31.48 63.77 29.93 33.10 17.61

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Derivative Report
Dec 21, 2012

FII Statistics for 20-December-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12798.91 48029.22 36489.09 2394.48 99711.69 Change (%) (0.69) 1.08 1.06 7.48 0.99

Turnover on 20-December-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2149.45

2092.97

56.49 153.77 (114.37) (22.58) 73.30

436326 1621213 1235158 85204 3377901

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,55,440 41,48,979 8,13,261 3,60,853 56,78,533

10351.78 123514.33 24639.68 11179.36 169685.14

68.14 46.06 17.94 5.49 38.85

19729.79 19576.03 5069.82 1804.65 5184.19 1827.23

28753.71 28680.41

Nifty Spot =5916.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 58.25 16.85 58.25 3.30 16.85 3.30 13.55 86.45 6013.55 54.95 145.05 5954.95 Risk 41.40 Reward 58.60 BEP 5941.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 26.50 7.70 26.50 2.45 7.70 2.45 5.25 94.75 5794.75 24.05 175.95 5875.95 Risk 18.80 Reward 81.20 BEP 5881.20

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

Nifty Put-Call Analysis

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Derivative Report
Dec 21, 2012

Strategy Date 03-Dec-2012 07-Dec-2012 17-Dec-2012

Symbol TATASTEEL RELINFRA BHEL

Strategy Long Call Bull Call Spread Long Call Ladder

Status Profit booked on 19-Dec-2012 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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