www.angelbroking.com 1 Derivative ReportDec 28, 20 12 Comments The Nifty future open interest decreas ed by 3 5.1 2% while BankN ifty fut ure op en interest is decreas ed b y 27. 11% as market closed at 5870.10 levels. The Nifty Jan. future closed at premium of 60.20 point against a premium of 58.40 points. The Feb. series clos ed at a premium of 95 .80 p o i n t s. The Implied Volatility of at the money options is increas ed from 13 .66% to 13.85 %. N ifty P C R -O I has decreas ed from 1.1 2 to 0 .88 levels. The total O I of the m arket is R s.92,1 96/ - cr. and the st ock futures O I are R s.33,72 1/ - cr . Few of the liq uid counters where we ha ve seen high cost - of- car ry a re R ENU KA, WEL C O R P, IBR EAL ES T, KTKBAN K an d G VKP IL.Ni fty Vs OI OI Gainers SCRIP OI O I CHANGE (%) PR ICE PRIC E CHANGE (%) JIS LJ ALEQ S 19832000 1.88 74.95 -3.31 - - - - - - - - - - - - - - - - - - - - Put-Call Ratio SCRIP PCR-O I PCR-VO L NIFTY 0.88 0.91 BANKNIFTY 0.79 0.60 SBIN 0.83 0.80 REL IA N CE 0.39 0.37 INFY 1.03 0.87 View After a long while FII’s has seen being net sellers in cash market segmet of worth 133/- cr. On derivatives front they were net sellers in all the three main segment of index futures, index options and st ock future with sharp reduction i n op en interes t, this is the normal phenomena on the expiry day. O n op tions front in next series 5900 -610 0 call o ption has seen good amount of buildup in open interest, while in put option 5500 strike price saw maximum buildup in open interest in yesterdays trade. Highest buildup in open interest for January series is in 5800 put option and 60 00 call option as of now. Rollover in NIFTY future was bit on the lower side at around 62 %, while that of BANKN IFTY future rollover was more o r less in line at 68%. CAIRN has seen significant amount of short positons getting buildup in December expiry and with decent rollover majority of the buildup has being carried forward. With international crude oil price going up slowly and also stock has shown some strength around its support of 310-312 levels we feel the counter could see more short covering rally. Hence we recommend to go long with the target price of 337 and stop loss at 310. Historical Volatility SCRIP HV NHPC 35.00 WEL CO RP 32.3 6 DABUR 19.63 PO WER GRI D 18.4 0 INDHO TE L 34.52 OI Losers SCRIP O I O I CHANGE (%) PRIC E PRICE CHANGE (%) BHU SAN ST L 245500 -44.71 461.70 0.09 HCLTECH 2521000 -36.86 625.30 -1.52 BA N K IN D I A 2967000 -33.64 336.90 -0.74 YES BAN K 4804000 -33.03 466.25 0.06 TECHM 1405250 -31.89 919.65 0.68
