Derivatives Report 6th January 2012

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Derivative ReportIndia Research

Jan 06, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 2.95% whileMinifty futures open interest increased by 1.88% as

market closed at 4749.95 levels.

The Nifty Jan. future closed at a Premium of 8.15point

against a Premium of 10.55 points. The February Seriesclosed at a Premium of 26.90 points.

The Implied Volatility of at the money options is

decreased from 25.10% to 24.93%.

The PCR-OI has being increased from 1.14 to 1.16

points.

The total OI of the market is ` 98,750.44/-cr. and the

stock futures OI are `25,262/-cr. Stocks were cost of carry is positive are LITL,

RUCHISOYA, JSWISPAT, ABGSHIP and TATAGLOBAL.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

CESC 750000 28.64 209.65 -0.87

DIVISLAB 381500 23.06 772.40 -1.47

PATNI 266000 19.82 466.60 3.65

CIPLA 3577000 18.68 335.00 1.25

GAIL 1617500 18.28 381.00 -3.39

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.16 1.02

SBIN 0.66 0.50

RELIANCE 0.60 0.56

BANKNIFTY 2.09 1.11

INFY 0.52 0.57

View

Yesterday FII’s were net buyers in cash marketsegment; they were net buyers worth of ` 381/- cr.On Derivatives front they were net buyers in indexfutures indicating some long buildup by them and inindex options also they were net buyers.

On Options front 4800 call option has seen somebuildup in open interest, while in put option 4300and 4700 strikes have seen buildup in open interestand 4200 put option have seen some unwinding in

yesterday’s trade. Entire rise in L&T was mainly because of short

covering. We don’t anticipate any fresh longsbuilding in this counter. Hence we recommend to goshort on this counter up to ` 1100, with the targetprice of `1030 and stop loss at ` 1132.

Historical Volatility

SCRIP HV

SRTRANSFIN 62.69

GSPL 42.85

PATNI 37.75

WELCO RP 73.23

GAIL 32.36

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SRTRANSFIN 651000 -19.23 489.60 9.52

ORIENTBANK 810000 -15.01 216.75 1.76

VIPIND 2481250 -13.32 80.70 -0.74

SYNDIBANK 1302000 -8.70 75.85 -0.65

RECLTD 3614000 -8.09 162.75 2.10



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 05-Jan-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1294.75 981.20 313.55 471387 11059.83 5.16

INDEXOPTIONS

8417.26 8295.69 121.57 1156856 27441.27 7.09

STOCK

FUTURES1294.84 1215.42 79.42 992696 23616.06 1.17

STOCK

OPTIONS325.90 325.17 0.73 37666 927.46 6.03

Total 11332.74 10817.47 515.27 2658605 63044.62 4.45

Turnover on 05-Jan-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 402452 8869.18 -21.15

Index Options 2036818 48745.32 -20.57

Stock Futures 423002 10127.27 -5.98

Stock Options 122346 2991.01 -0.13

Total 2984618 70732.78 -18.12

Nifty Spot = 4749.95 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 4800 89.2039.20 60.80 4839.20

Buy 4700 86.5531.35 68.65 4668.65

Sell 4900 50.00 Sell 4600 55.20

Buy 4800 89.2064.20 135.80 4864.20

Buy 4700 86.5552.45 147.55 4647.55

Sell 5000 25.00 Sell 4500 34.10

Buy 4900 50.0025.00 75.00 4925.00

Buy 4600 55.2021.10 78.90 4578.90

Sell 5000 25.00 Sell 4500 34.10

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

Nifty Put-Call Analysis



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

02-Jan-2012 TATASTEEL Ratio Bull Call Spread Open

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Derivative Research Team

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Documents

Derivatives Report 6th January 2012