Derivative Report

India Research
Oct 20, 2011 Comments
The Nifty futures open interest increased by 5.25% while

Nifty Vs OI

Minifty futures open interest increased by 14.39% as market closed at 5139.15 levels.
The Nifty Oct. future closed at a Premium of 10.25 point

against a Premium of 7.36 points. The November Series closed at a Premium of 26.50 points.
The Implied Volatility of at the money options is

decreased from 24.70% to 21.85%.

The PCR-OI is increased from 1.48 to 1.55. The total OI of the market is `1,33,547.80cr. And the

stock futures OI are `32,537.68cr.

Stocks where cost of carry is positive are JSWENERGY,

HOTELEELA, FSL, TRIVENI and GITANJALI.

OI Gainers
SCRIP EXIDEIND GMDCLTD ADANIPOWER TVSMOTOR BOMDYEING OI 2818000 672000 11460000 5304000 516000 OI CHANGE (%) 27.05 25.84 21.19 17.66 17.27 PRICE 131.40 183.90 85.10 65.00 401.25 PRICE CHANGE (%) -2.05 4.40 3.15 4.50 5.87

View
It was disappointing that despite strong close FII's

didnt buy in cash market segment. Some formation of long positions in Index futures was visible but activity was relatively higher in index options.
5000 and 5100 call writers are now covering their

positions in big way. Interestingly put writers are now becoming active and we are witnessing huge OI built-up in 5100 puts.
Yesterdays rise in STER was mainly due to short

OI Losers
SCRIP PETRONET MOSERBAER NTPC ABAN INDUSINDBK OI 5878000 2840000 19816000 2764500 3780000 OI CHANGE (%) -21.44 -18.58 -11.01 -10.13 -9.50 PRICE 165.50 24.25 171.95 411.50 270.80 PRICE CHANGE (%) 2.51 10.23 2.14 4.88 1.29

covering. `122-124 is strong resistance zone. Short the counter with stop loss of `125 and target of `109.
DLF has again reached near its resistance of `240-

245. Lot of long positions are standing in the counter as of now. We may witness some unwinding of it. Short with stop loss of `246 and target of `215.

Put-Call Ratio
SCRIP NIFTY INFY SBIN RELIANCE BANKNIFTY PCR-OI 1.55 1.58 0.57 0.74 1.41 PCR-VOL 1.10 1.44 0.47 0.49 0.78

Historical Volatility
SCRIP
CROMPGREAV ABB HEROMOTOCO MOSERBAER NEYVELILIG

HV
82.31 51.53 34.50 108.31 43.03 For Private Circulation Only 1

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FII Statistics for 19-Oct-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 13972.78 50195.18 29607.83 1167.08 94942.87 Change (%) 0.72 3.07 1.55 -1.22 2.18

Turnover on 19-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

3647.95

3371.46

276.49 439.56 104.97 (16.38) 804.64

547202 1953612 1202984 45218 3749016

Index Futures Stock Futures Index Options Stock Options Total

622321 785306 3886171 140632 5434430

15000.41 19814.80 99127.92 3783.42 137726.54

14.75 23.43 11.45 -12.37 12.53

12852.73 12413.18 5505.49 330.88 5400.52 347.26

22337.05 21532.41

Nifty Spot =5139.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 35.25 9.60 35.25 2.35 9.60 2.35 7.25 92.75 5307.25 32.90 167.10 5232.90 Risk 25.65 Reward 74.35 BEP 5225.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 37.10 15.15 37.10 6.10 15.15 6.10 9.05 90.95 4990.95 31.00 169.00 5069.00 Risk 21.95 Reward 78.05 BEP 5078.05

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

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Derivative Report | India Research

Strategy Date 03-10-2011 10-10-2011 17-10-2011

Scrip NIFTY SBIN RCOM

Strategy Long Put Ladder Long Call Long Call

Status Continue Book Profit Continue

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