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Derivative Report
India Research
April 3, 2012
Comments Nifty Vs OI
The Nifty futures open interest decreased by 8.19% while
Minifty futures open interest is increased by 5.22% as
market closed at 5317.90 levels.
The Nifty April future closed at a premium of 32.75 point
against a premium of 37.70 points. The May series
closed at a premium of 65.20 points.
The Implied Volatility of at the money options is
decreased from 21.17% to 19.15%
The PCR-OI increased from 1.12 to 1.15 points.
The total OI of the market is `92,696/-cr. and the stock
futures OI are `25,535/-cr.
Few of the liquid counters where we have seen high cost
of carry are ALOKTEXT, JPPOWER, PANTALOONR,
IVRCLINFRA and ARVIND.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FII’s were net buyers in cash market segment worth of
`245/-cr. in yesterday’s trading session. On
BAJAJHLDNG 31000 100.00 829.20 1.72 derivatives front, they were net buyers in index futures
EXIDEIND 792000 50.57 145.95 -2.18 as well as in index options worth `192/-cr and
`754/-cr respectively; however in index future we
GLAXO 7875 46.51 2277.60 -1.68 have seen decrease in open interest.
NAGAROIL 1476000 35.54 5.55 -13.28 On options front there was build up visible in 5600
call option and out of the money 4700 put option,
BGRENERGY 1097000 34.60 348.80 6.67
while some unwinding is visible in 4600 put option.
Highest open interest is visible in 5000 put option
OI Losers
and 5600 call option.
OI PRICE We have seen less rollover in STER in compare to last
SCRIP OI CHANGE PRICE CHANGE month’s rollover & have seen build up of short
(%) (%)
position in this counter recently, however we
BOMDYEING 667000 -8.88 582.15 0.34 anticipate short covering to take place and hence for
few trading session prospective we recommend to go
CROMPGREAV 3364000 -8.19 144.80 4.85
long near 107-108 levels with stop loss of 103 and
BHUSANSTL 378000 -6.90 417.85 0.30 target of 118.
NMDC 1299000 -5.94 165.00 2.48
TVSMOTOR 7008000 -5.65 43.15 5.24
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.15 1.02 PTC 78.46
SBIN 0.38 0.39 HCLTECH 32.42
BANKNIFTY 1.03 1.01 PETRONET 30.48
RELIANCE 0.50 0.44 ALOKTEXT 56.33
ICICIBANK 0.88 0.81 ESCORTS 57.79
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Derivative Report | India Research
FII Statistics for 02-April-2012 Turnover on 02-April-2012
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX
INDEX 415070 10446.33 -24.51
1424.48 1232.37 192.11 353,987 9,432 (2.76) FUTURES
FUTURES
INDEX
INDEX 2058765 55038.33 -8.18
11239.45 10484.83 754.63 1,078,874 28,685 4.18 OPTIONS
OPTIONS
STOCK STOCK
939.28 1052.41 (113.13) 777,292 22,140 0.55 358009 10609.29 -11.32
FUTURES FUTURES
STOCK STOCK
364.99 375.49 (10.49) 18,024 525 36.83 98629 2890.3 0.18
OPTIONS OPTIONS
TOTAL 13145.10 13145.10 823.10 2,228,177 60,782 1.93 TOTAL 2930473 78984.25 -10.88
Nifty Spot =5317.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 133.35 Buy 5300 84.90 31.10 68.90 5268.90
52.85 47.15 5352.85
Sell 5400 80.50 Sell 5200 53.80
Buy 5300 133.35 Buy 5300 84.90 50.90 149.10 5249.10
90.40 109.60 5390.40
Sell 5500 42.95 Sell 5100 34.00
Buy 5400 80.50 Buy 5200 53.80
37.55 62.45 5437.55 19.80 80.20 5180.20
Sell 5500 42.95 Sell 5100 34.00
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 SEBI Registration No: INB 010996539 2
Derivative Report | India Research
Strategy Date Scrip Strategy Status
02-04-2012 NIFTY Ratio Put Spread Open
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible
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Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).
Derivative Research Team
Email Id : - derivatives.desk@angelbroking.com
For Private Circulation Only SEBI Registration No: INB 010996539 3
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