Derivative Report

India Research
April 2, 2012 Comments
The Nifty futures open interest decreased by 42.48%

Nifty Vs OI

while Minifty futures open interest is decreased by 22.07% as market closed at 5295.55 levels.
The Nifty April future closed at a premium of 37.70 point

against a premium of 53.80 points. The May series closed at a premium of 71.70 points.
The Implied Volatility of at the money options is

decreased from 23.42% to 21.17%

The PCR-OI increased from 1.02 to 1.12 points. The total OI of the market is `90,835/-cr. and the stock

futures OI are `24,850/-cr.

Few of the liquid counters where we have seen high CoC

are ABGSHIP, TTML, INDHOTEL, PANTALOONR and GVKPIL.

OI Gainers
SCRIP NAGAROIL PATNI JUBLFOOD BOMDYEING TTKPRESTIG OI 1089000 611000 796250 732000 71250 OI CHANGE (%) 14.15 9.89 7.97 6.86 1.06 PRICE 6.40 493.80 1176.15 580.20 2944.65 PRICE CHANGE (%) -5.88 1.81 8.70 3.06 5.04

View
FIIs were net buyers in cash market segment worth of

`962/-cr. in Fridays trading session. On derivatives front, they were net sellers in index futures as well as in index options worth `500/-cr and `300/-cr respectively; however we have seen decrease in open interest.
On options front there was no significant build up

OI Losers
SCRIP INDIANB IDBI EXIDEIND HDFC GLAXO OI 114000 7354000 526000 7238500 5375 OI CHANGE (%) -67.89 -57.92 -55.42 -54.51 -54.26 PRICE 244.00 104.70 149.20 673.30 2316.55 PRICE CHANGE (%) 6.20 4.70 4.12 0.97 4.17

visible in call option while in put side there was significant buildup seen in 5100 to 5300 put options. There was also build up visible in out of the money 4600 put option. Highest open interest is visible in 5000 put option and 5400 call option.
We have seen less rollover in TATAMOTOR in

compare to last months rollover in absolute open interest term. The recent bounce back observed in this counter was with low cash based volume and hence we recommend to go short in this counter near `278-`280 levels with stop loss of `286 and target of `261 as we are expecting formation of short position.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.12 0.37 0.88 0.51 0.81 PCR-VOL 1.02 0.38 0.92 0.45 0.32

Historical Volatility
SCRIP
BOSCHLTD DRREDDY DHANBANK GLAXO TVSMOTOR

HV
44.25 24.67 101.51 28.46 68.91 For Private Circulation Only 1

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FII Statistics for 30-March-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 9,661 27,419 21,813 381 59,275 Change (%) (6.36) (2.21) 1.56 331.19 (1.18)

Turnover on 30-March-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2858.41

3359.08

(500.67) (300.45) 111.19 20.77 (669.17)

364,052 1,035,605 773,063 13,173 2,185,893

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

555320 2253637 418011 99970 3326938

13838.74 59940.09 11964.17 2885.14 88628.14

-40.74 -68.31 -63.59 -40.45 -64.58

10974.28 11274.73 1754.44 428.62 1643.25 407.85

16684.91 16684.91

Nifty Spot =5295.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 139.20 87.95 139.20 49.00 87.95 49.00 38.95 61.05 5438.95 90.20 109.80 5390.20 Risk 51.25 Reward 48.75 BEP 5351.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 107.10 72.35 107.10 48.15 72.35 48.15 24.20 75.80 5175.80 58.95 141.05 5241.05 Risk 34.75 Reward 65.25 BEP 5265.25

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date

Scrip

Strategy

Status

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