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					                                                                                        Derivative Report
                                                                                                    India Research
 Comments                                                                                                     Feb 29, 2012
                                                                 Nifty Vs OI
  The Nifty futures open interest increased by 2.92% while
       Minifty futures open interest in increased by 3.54% as
       market closed at 5375.5 levels.
  The Nifty March future closed at a premium of 66 point
       against a premium of 57.40 points. The April series
       closed at a premium of 99.35 points.
  The Implied Volatility of at the money options is
       decreased from 25.87% to 24.50%.
  The PCR-OI has being decreased from 1.31 to 1.30
       points.
  The total OI of the market is `1,11,515/-cr. and the
       stock futures OI are `31,318/-cr.
  Few of the liquid counters where we have seen high cost-
       of-carry are GVKPIL, BAJAJHIND, RELINFRA, ALOKTEXT
       and ABGSHIP.


OI Gainers
                                                                View
                                 OI                    PRICE
SCRIP                 OI       CHANGE      PRICE      CHANGE     FII’s continue to buy in cash market segment; they
                                 (%)                    (%)        were net buyers worth of `728/- cr. On derivatives
                                                                   front they were net buyers in index futures indicating
GMDCLTD             1236000       63.06    208.15        7.85      some long buildup by them, while in index options
BGRENERGY            976000       28.08    336.60       14.84      also they were net buyers.
                                                                 On options front not much of buildup was visible in
BATAINDIA           1267500       26.94    710.60        4.32
                                                                   call option , except 5900 strike price where we have
ANDHRABANK          1332000       26.38    120.65        3.12      seen some buildup in open interest, while in put
MPHASIS              731000       26.03    421.00        1.38      option 5200 strike price have seen maximum buildup
                                                                   of open interest and some unwinding was seen in
OI Losers                                                          5300 put option in yesterday’s trading session.
                                                                 The counter of INDHOTEL has seen good amount of
                                 OI                    PRICE       buildup in open interest in yesterday’s trading session
SCRIP                 OI       CHANGE      PRICE      CHANGE
                                                                   with sharp increase in cash market volume. We feel
                                 (%)                    (%)
                                                                   majority of the buildup is on the longer side and also
IRB                 1328000      -15.09    188.30       11.26      the stock has good support around `69-70 levels.
                                                                   Hence we recommend to go long with the target
ARVIND              5032000      -11.97     85.25        5.90
                                                                   price of `77 and stop loss at `67.
PETRONET            3684000      -11.14    167.45        3.46
INDIACEM            3332000      -10.14     95.70        6.87
EKC                 2384000       -8.73     38.55        7.53


Put-Call Ratio                                                  Historical Volatility
SCRIP                         PCR-OI         PCR-VOL            SCRIP                                     HV
NIFTY                          1.30            0.98             TATAMTRDVR                               84.35
SBIN                           0.64            0.53             GMDCLTD                                  54.30
BANKNIFTY                      0.93            0.75             RELINFRA                                 86.03
RELIANCE                       0.53            0.54             BHARATFORG                               56.06
ICICIBANK                      0.97            0.75             BGRENERGY                               111.45


SEBI Registration No: INB 010996539                                            For Private Circulation Only            1
                                                                                                          Derivative Report | India Research




FII Statistics for 28-Feb-2012                                                             Turnover on 28-Feb-2012

                                                                Open Interest
                                                                                                               No. of       Turnover         Change
Detail          Buy         Sell        Net                                                  Instrument
                                                                                                              Contracts     (Rs. in cr.)       (%)
                                                    Contracts       Value        Change
                                                                  (Rs. in cr.)      (%)
                                                                                           INDEX
INDEX                                                                                                         505358       12825.26          -12.84
              2478.78     1538.43       940.35        486662          13192.31     4.86    FUTURES
FUTURES
                                                                                           INDEX
INDEX                                                                                                         2112571      57714.16          -12.96
             14717.46 13669.75         1,047.71      1462804          39314.30     2.99    OPTIONS
OPTIONS
STOCK                                                                                      STOCK
              1842.05     2334.10      (492.05)       948371          27974.36     2.63                       576789       17061.25              7.85
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               709.92       705.64           4.28       36501          1067.97    16.55                       142205        4427.03              9.73
OPTIONS                                                                                    OPTIONS

TOTAL        19748.21 18247.92         1,500.29      2934338          81548.95     3.33    TOTAL              3336923      92027.70          -8.77




 Nifty Spot =5375.5                            Lot Size = 50


 Bull-Call Spreads                                                               Bear-Put Spreads

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

 Buy         5400       172.40                                                   Buy       5300       96.80
                                     51.95      48.05      5451.95                                              27.60     72.40        5272.40
 Sell        5500       120.45                                                   Sell      5200       69.20
 Buy         5400       172.40                                                   Buy       5300       96.80
                                     92.70     107.30      5492.70                                              48.60     151.40       5251.40
 Sell        5600        79.70                                                   Sell      5100       48.20
 Buy         5500       120.45                                                   Buy       5200       69.20
                                     40.75      59.25      5540.75                                              21.00     79.00        5179.00
 Sell        5600        79.70                                                   Sell      5100       48.20

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                         SEBI Registration No: INB 010996539                                                          2
                                                                                                Derivative Report | India Research




      Strategy Date                     Scrip                           Strategy                               Status
      27-02-2012                        NIFTY                   Ratio Bull Call Spread                         Open




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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3