Derivative Report

India Research
Oct 04, 2011 Comments
The Nifty futures open interest increased 0.43% while

Nifty Vs OI

Minifty futures open interest increased by 10.10% as market closed at 4849.50 levels.
The Nifty Oct. future closed at a premium of 8.25 point

against a discount of 8.95 points. The November Series closed at a Premium of 21.85 points.
The Implied Volatility of at the money options is

increased from 29.57% to 34.46%.

The PCR-OI has increased from 1.40 to 1.42 points. The total OI of the market is `99,687.92cr. And the

stock futures OI are `25,020.46cr.

Stocks where cost of carry is positive are GITANJALI,

SUNTV, GLAXO, RUCHISOYA and DCHL.

OI Gainers
SCRIP SINTEX ARVIND HDFC SAIL HINDZINC OI 4386000 2812000 5844000 7836000 1980000 OI CHANGE (%) 12.98 12.66 12.08 11.09 10.74 PRICE 111.60 99.65 634.45 100.40 112.65 PRICE CHANGE (%) -12.26 1.22 -1.01 -4.97 -5.18

View
Most of the fall of yesterdays session in US markets

was discounted in our and other Asian markets. FIIs are now in full sell mode i.e. selling in equity, shorting in index futures and buying put options.
4300 put has been adding significant open interest

since last couple of trading session and rise in IV and FIIs data suggests its buying. Substantial built-up is observed in 4700 and 4800 put too. Some addition was seen in 4900 call strike.
There is scope of fresh shorting in MARUTI as open

OI Losers
SCRIP TATAPOWER EXIDEIND GAIL TVSMOTOR LUPIN OI 7867500 1668000 993000 3780000 1012000 OI CHANGE (%) -10.55 -8.85 -8.69 -6.71 -5.95 PRICE 96.75 131.35 418.20 59.80 472.40 PRICE CHANGE (%) -3.10 1.35 1.86 -1.89 -0.41

interest is slightly on the lower side. We believe competition will dent the premium which stock enjoys. Short with stop loss of `1120 and target of `982.
Too many short positions standing in JETAIRWAYS

and crude prices have corrected meaningfully. Short covering very likely. Go long with stop loss of `213 and target of `258.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE INFY LT PCR-OI 1.42 0.61 0.60 0.33 0.35 PCR-VOL 1.15 1.00 0.72 0.95 0.31

Historical Volatility
SCRIP
SCI SINTEX BPCL GESHIP TATACHEM

HV
60.55 86.33 34.33 47.90 33.72 For Private Circulation Only 1

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FII Statistics for 03-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12561.66 38960.15 25911.29 666.13 78099.23 Change (%) -1.91 8.47 1.54 12.13 4.31

Turnover on 03-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2173.73 8734.58 1201.43 288.04

2644.79 7122.92 1380.46 277.66

(471.07) 1,611.66 (179.02) 10.38 971.96

522047 1606831 1108151 27144 3264173

Index Futures Stock Futures Index Options Stock Options Total

542368 388076 2344917 93163 3368524

12137.42 9084.42 57621.68 2302.82 81146.33

-16.84 -25.86 -10.30 -17.52 -13.56

12397.79 11425.82

Nifty Spot =4849.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 136.80 90.95 136.80 56.60 90.95 56.60 34.35 65.65 5034.35 80.20 119.80 4980.20 Risk 45.85 Reward 54.15 BEP 4945.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 142.30 108.45 142.30 80.30 108.45 80.30 28.15 71.85 4671.85 62.00 138.00 4738.00 Risk 33.85 Reward 66.15 BEP 4766.15

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 03-10-2011

Scrip NIFTY

Strategy Long Put Ladder

Status Continue

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