Derivative Report

India Research
Comments
The Nifty futures open interest increased by 2.83% while

Nifty Vs OI

March15, 2012

Minifty futures open interest in increased by 1.29% as market closed at 5463.90 levels.
The Nifty March future closed at a premium of 42.20

point against a premium of 38.90 points. The April series closed at a premium of 81.20 points.
The Implied Volatility of at the money options is

increased from 25.21% to 25.27%.

The PCR-OI has being increased from 1.14 to 1.21

points.
The total OI of the market is `1,39,116/-cr. and the

stock futures OI are `34,382/-cr.

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

of-carry are VIDEOIND, TATAGLOBAL, PANTALOONR AND ALOKTEXT.

FORTIS,

OI Gainers
SCRIP PATNI CENTRALBK HINDZINC JUBLFOOD TATACHEM OI 280000 2272000 1562000 646000 793000 OI CHANGE (%) 69.70 33.49 26.99 18.37 17.66 PRICE 507.45 110.10 127.90 1094.10 357.40 PRICE CHANGE (%) 6.90 4.06 -4.69 2.80 -0.58

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `1659/- cr. in yesterdays trading session. On derivatives front they were net buyers in index futures indicating some long buildup by them, while in index options also they were net buyers.
On options front not much of buildup was seen in

OI Losers
SCRIP BEL PTC BOMDYEING STRTECH HINDALCO OI 85000 3420000 554000 6008000 27092000 OI CHANGE (%) -17.48 -17.23 -12.48 -11.33 -9.80 PRICE 1630.40 63.15 520.30 44.20 144.10 PRICE CHANGE (%) 1.77 3.61 -2.02 -1.01 1.87

call option however some unwinding was seen in inthe-money call option of 5100-5400 strike price, while in put option 5000 and 5200 strike price have seen maximum buildup of open interest in yesterdays trading session.
The counter of UNIPHOS has seen good amount of

buildup in open interest and most of the buildup is on the shorter side. However in last few trading session the stock has seen some long buildup and hence we anticipate the stock could see some short covering rally as `130-133 is the good support for the counter. Hence go long around `136-138 with the stop loss of `130 and target of `150.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.21 0.79 0.95 0.49 0.96 PCR-VOL 1.05 0.87 0.81 0.61 0.51

Historical Volatility
SCRIP
PATNI TCS FINANTECH PNB HINDZINC

HV
37.96 27.33 67.91 49.81 51.30 For Private Circulation Only 1

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FII Statistics for 14-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 14328.03 49747.97 30651.16 1773.95 96501.10 Change (%) 2.57 2.15 1.90 0.43 2.11

Turnover on 14-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2227.36

1357.19

870.17 561.35 (296.68) (28.61) 1,106.24

521175 1820985 1017818 59910 3419888

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

448157 2638146 524076 152520 3762899

11630.53 72595.64 15880.77 4793.88 104900.82

17.28 13.36 16.31 20.46 14.54

14240.43 13679.07 1737.55 659.65 2034.23 688.26

18864.99 17758.75

Nifty Spot =5463.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 113.40 67.80 113.40 37.45 67.80 37.45 30.35 69.65 5630.35 75.95 124.05 5575.95 Risk 45.60 Reward 54.40 BEP 5545.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 69.20 43.80 69.20 28.05 43.80 28.05 15.75 84.25 5284.25 41.15 158.85 5358.85 Risk 25.40 Reward 74.60 BEP 5374.60

Note: Above mentioned Bullish or Bearish Spreads in Nifty (March. 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 27-02-2012 05-03-2012 12-03-2012

Scrip NIFTY HINDALCO DLF

Strategy Ratio Bull Call Spread Long Put Ladder Covered Call

Status Open Open Open

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Derivative Research Team

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