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understanding derivative markets Derivative Report


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									                                                                                           Derivative Report
                                                                                                        India Research
 Comments                                                                                                     March20, 2012
                                                                    Nifty Vs OI
  The Nifty futures open interest increased by 0.71% while
       Minifty futures open interest in increased by 4.71% as
       market closed at 5257.05 levels.
  The Nifty March future closed at a premium of 20.25
       point against a premium of 24.80 points. The April series
       closed at a premium of 61.80 points.
  The Implied Volatility of at the money options is
       decreased from 22.80% to 22.32%.
  The PCR-OI has being decreased from 1.08 to 1.06
  The total OI of the market is `1,42,917/-cr. and the
       stock futures OI are `32,452/-cr.
  Few of the liquid counters where we have seen high cost-

OI Gainers
                                  OI                      PRICE
SCRIP                  OI       CHANGE         PRICE     CHANGE     FII’s were net buyers in cash market segment; they
                                  (%)                      (%)        were net buyers worth of `161/- cr. On derivatives
                                                                      front they were net sellers in both index futures and in
PETRONET            6864000        41.99       162.10      -0.22      index options in yesterday’s trading session.
TATACOFFEE            531500       18.31       824.90       0.22    On options front 5300 and 5400 call option have
INDIACEM            3364000        13.96       103.50       0.24
                                                                      seen descent buildup in open interest and some
                                                                      unwinding was seen in 5600 and deep-out-of the
CANBK               1408000        13.82       460.70      -5.85      money call option of 5900 strike price, while in put
ACC                 1552250            9.29   1354.95       1.12      option 5100 strike price have seen some buildup and
                                                                      5400 put option have seen some unwinding in open
OI Losers                                                             interest in yesterday’s trading session.
                                                                    We have seen good amount of buildup in the counter
                                 OI                       PRICE       of AXISBANK in last few trading session and we feel
SCRIP                 OI       CHANGE         PRICE      CHANGE
                                                                      majority of the buildup is on the longer side. The
                                 (%)                       (%)
                                                                      recent correction in the counter was mainly due to
BOMDYEING            464000       -19.58      504.95       -3.22      long unwinding and we have not seen much of the
                                                                      shorts getting buildup into this stock. We feel the
BEML                 160500       -10.34      669.25       -2.92
                                                                      upward momentum could resume in this counter
M&M                 6671000        -8.82      691.00        1.92      which could take the stock to around `1264. Hence
                                                                      go long with the stop loss of `1175.
BFUTILITIE           506500        -8.57      377.35       -7.31
POLARIS             1264000        -8.54      164.05       -2.29

Put-Call Ratio                                                     Historical Volatility
SCRIP                          PCR-OI           PCR-VOL            SCRIP                                      HV
NIFTY                           1.06              0.80             BRFL                                      36.37
SBIN                            0.49              0.58             ASIANPAINT                                32.88
BANKNIFTY                       0.70              0.42             TCS                                       31.62
RELIANCE                        0.37              0.38             RENUKA                                    70.60
ICICIBANK                       0.85              0.62             ABB                                       41.51

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

FII Statistics for 19-March-2012                                                           Turnover on 19-March-2012

                                                                Open Interest
                                                                                                               No. of       Turnover         Change
Detail          Buy         Sell       Net                                                   Instrument
                                                                                                              Contracts     (Rs. in cr.)       (%)
                                                    Contracts       Value        Change
                                                                  (Rs. in cr.)      (%)
INDEX                                                                                                         518869       12988.31          -46.74
              2693.09     3020.27     (327.18)        619307          16282.43     6.21    FUTURES
INDEX                                                                                                         3703487      100172.85         -38.46
             21390.39 21399.81             (9.42)    1874851          49276.94     1.47    OPTIONS
STOCK                                                                                      STOCK
              1822.75     1977.51     (154.76)       1049280          29971.76     0.18                       463057       13375.52          -37.65
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               550.11      514.89          35.22        58089          1648.17    -2.11                       176964        5286.35          -31.71
OPTIONS                                                                                    OPTIONS

TOTAL        26456.34 26912.47        (456.13)       3601527          97179.30     1.81    TOTAL              4862377      131823.03         -39.07

 Nifty Spot =5257.05                           Lot Size = 50

 Bull-Call Spreads                                                               Bear-Put Spreads

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

 Buy         5300       66.40                                                    Buy       5200       48.15     24.40     75.60        5175.60
                                    36.70       63.30      5336.70
 Sell        5400       29.70                                                    Sell      5100       23.75
 Buy         5300       66.40                                                    Buy       5200       48.15     36.30     163.70       5163.70
                                    54.60      145.40      5354.60
 Sell        5500       11.80                                                    Sell      5000       11.85
 Buy         5400       29.70                                                    Buy       5100       23.75
                                    17.90       82.10      5417.90                                              11.90     88.10        5088.10
 Sell        5500       11.80                                                    Sell      5000       11.85

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
      05-03-2012                     HINDALCO                      Long Put Ladder                             Open
      12-03-2012                         DLF                         Covered Call                              Open
      19-03-2012                        M&M                       Long Call Ladder                             Open


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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

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