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					                                                                                           Derivative Report
                                                                                                       India Research
                                                                                                                 April 4, 2012
 Comments                                                           Nifty Vs OI
  The Nifty futures open interest decreased by 2.17% while
       Minifty futures open interest is increased by 3.72% as
       market closed at 5358.50 levels.
  The Nifty April future closed at a premium of 24.75 point
       against a premium of 32.75 points. The May series
       closed at a premium of 58.60 points.
  The Implied Volatility of at the money options is
       decreased from 19.15% to 18.10%
  The PCR-OI increased from 1.15 to 1.19 points.

  The total OI of the market is `95,268/-cr. and the stock
       futures OI are `26,104/-cr.
  Few of the liquid counters where we have seen high cost
       of carry are ABGSHIP,           PANTALOONR,       DISHTV,
       JPPOWER and GVKPIL.



OI Gainers
                                 OI                      PRICE     View
SCRIP                 OI       CHANGE        PRICE      CHANGE
                                 (%)                      (%)       FII’s were net buyers in cash market segment worth of
                                                                      `332/-cr. in yesterday’s trading session. On
NAGAROIL            2655000          79.88     7.60       36.94       derivatives front, they were net buyers in index futures
VIPIND              2926250          39.26   108.80        6.15       as well as in index options worth `541/-cr and
                                                                      `248/-cr respectively.
PANTALOONR         13904000          30.25   167.05        9.51
                                                                    On options front no significant build up was visible in
SUNTV                754000          27.15   305.00       -0.07       call option; while in put option 5300 and 5400 strike
                                                                      price have seen maximum build up in open interest.
CHAMBLFERT          3764000          23.65    82.15        6.00
                                                                    Recent bounce back in SBIN is mainly due to short
OI Losers                                                             covering. Counter has strong        resistance between
                                                                      2200 to 2250. We anticipate         formation of short
                                OI                       PRICE        position to bring the counter        down and hence
SCRIP                 OI      CHANGE         PRICE      CHANGE        recommend shorting with target      2085 and stop loss
                                (%)                       (%)
                                                                      of 2218.
BGRENERGY           930000       -15.22      346.80       -0.57
BFUTILITIE          540500       -13.93      406.70       -0.54
IVRCLINFRA        25576000       -11.90       69.40       -0.29
HINDOILEXP         3126000           -8.86   124.20        4.37
JPASSOCIAT        27384000           -8.32    88.60        4.54


Put-Call Ratio                                                     Historical Volatility
SCRIP                         PCR-OI           PCR-VOL             SCRIP                                     HV
NIFTY                          1.19              1.12              NATIONALUM                               72.07
SBIN                           0.49              0.49              NAGAROIL                                215.69
BANKNIFTY                      1.05              0.94              ESSAROIL                                 73.53
RELIANCE                       0.54              0.47              TATACOFFEE                               32.25
INFY                           0.72              0.90              PANTALOONR                               84.76

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




FII Statistics for 03-April-2012                                                              Turnover on 03-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                                                                                                            357593       9094.39          -12.94
              1585.92     1044.82       541.10       355,451            9,531          0.41   FUTURES
FUTURES
                                                                                              INDEX
INDEX                                                                                                            1834567      49275.87         -10.47
              9191.22     8942.38       248.84     1,086,666          29,112           0.72   OPTIONS
OPTIONS
STOCK                                                                                         STOCK
              1007.82      882.53       125.29       788,580          22,630           1.45                      388776       11187.83             5.45
FUTURES                                                                                       FUTURES
STOCK                                                                                         STOCK
               350.29      334.02          16.27      20,322              594      12.75                         110073       3127.57              8.21
OPTIONS                                                                                       OPTIONS

TOTAL        11203.76 11203.76          931.49     2,251,019          61,867           1.03   TOTAL              2691009      72685.66         -7.97




 Nifty Spot =5358.50                          Lot Size = 50


 Bull-Call Spreads                                                              Bear-Put Spreads

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

 Buy         5400       89.10                                                   Buy           5300       66.90     26.25     73.75       5273.75
                                    42.30      57.70      5442.30
 Sell        5500       46.80                                                   Sell          5200       40.65
 Buy         5400       89.10                                                   Buy           5300       66.90     42.80     157.20      5257.20
                                    67.95     132.05      5467.95
 Sell        5600       21.15                                                   Sell          5100       24.10
 Buy         5500       46.80                                                   Buy           5200       40.65
                                    25.65      74.35      5525.65                                                  16.55     83.45       5183.45
 Sell        5600       21.15                                                   Sell          5100       24.10

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




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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

				
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