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					                                                                                           Derivative Report
                                                                                                       India Research
  Comments                                                                                                  March 21, 2012
                                                                    Nifty Vs OI
   The Nifty futures open interest decreased by 0.94% while
       Minifty futures open interest in decreased by 1.86% as
       market closed at 5274.85 levels.
   The Nifty March future closed at a premium of 22.15
       point against a premium of 20.25 points. The April series
       closed at a premium of 63.50 points.
   The Implied Volatility of at the money options is
       decreased from 22.32% to 21.80%.
   The PCR-OI has being decreased from 1.06 to 1.05
       points.
   The total OI of the market is `1,44,417/-cr. and the
       stock futures OI are `32,684/-cr.
   Few of the liquid counters where we have seen high cost-
       of-carry are VIDEOIND, HCC, SRTRANSFIN, JPPOWER
       and BALRAMCHIN.


OI Gainers
                                                                   View
                                  OI                    PRICE
SCRIP                  OI       CHANGE      PRICE      CHANGE       FII’s were net buyers in cash market segment; they
                                  (%)                    (%)          were net buyer’s worth of `111/- cr. in yesterday’s
                                                                      trading session. On derivatives front they were net
IRB                 1586000        31.07    196.80        5.24        sellers in index futures, while in index options they
TTKPRESTIG             80375       19.29   2780.35        5.05        were net buyers.
                                                                    On options front some buildup was observed in
JETAIRWAYS          1388000        17.33    337.85        5.23
                                                                      5300-5400 call option, while in put option 4900
MARUTI              3784000        14.03   1358.20        -0.29       strike price have seen maximum buildup and in-the-
BPCL                1723000        12.58    685.30        2.97        money put option of 5500-5600 strike price have
                                                                      seen some unwinding in yesterday’s trading session.
OI Losers                                                           The correction in the counter of ESSAROIL was mainly
                                                                      due to unwinding in open interest. The counter has
                                 OI                     PRICE         seen some bounce back on back of some short
SCRIP                 OI       CHANGE       PRICE      CHANGE
                                                                      covering in yesterday’s trading session. We feel the
                                 (%)                     (%)
                                                                      negativity in the stock is moving out and can see
OIL                   93750       -11.14   1245.65        2.60        further upside to around `64. Hence go long with the
                                                                      stop loss of `51.
NMDC                1864000       -10.13    163.65        3.87
BAJAJHLDNG            32500        -8.45    810.55        0.95
IDFC               23396000        -7.64    138.80        0.73
INDIAINFO           2268000        -6.44     70.05        4.16


Put-Call Ratio                                                     Historical Volatility
SCRIP                          PCR-OI         PCR-VOL              SCRIP                                     HV
NIFTY                           1.05            0.97               TECHM                                    44.73
SBIN                            0.49            0.41               BATAINDIA                                47.56
BANKNIFTY                       0.71            0.64               TATAMOTORS                               46.30
RELIANCE                        0.40            0.50               INDUSINDBK                               48.57
ICICIBANK                       0.76            0.81               BRFL                                     39.15


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




FII Statistics for 20-March-2012                                                           Turnover on 20-March-2012

                                                                Open Interest
                                                                                                               No. of       Turnover         Change
Detail          Buy         Sell       Net                                                   Instrument
                                                                                                              Contracts     (Rs. in cr.)       (%)
                                                    Contracts       Value        Change
                                                                  (Rs. in cr.)      (%)
                                                                                           INDEX
INDEX                                                                                                         541530       13472.02              3.72
              1572.64     1765.96     (193.32)        612730          16178.74    -1.06    FUTURES
FUTURES
                                                                                           INDEX
INDEX                                                                                                         3801186      101701.59             1.53
             21777.06 21128.82         648.24        1855650          48938.10    -1.02    OPTIONS
OPTIONS
STOCK                                                                                      STOCK
              2445.78     2205.24      240.54        1045598          29968.83    -0.35                       536345       15778.15          17.96
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               536.04      542.21          (6.17)       57563          1627.00    -0.91                       157818        4839.73          -8.45
OPTIONS                                                                                    OPTIONS

TOTAL        26331.52 25642.23         689.29        3571541          96712.67    -0.83    TOTAL              5036879      135791.5              3.01




 Nifty Spot =5274.85                           Lot Size = 50


 Bull-Call Spreads                                                               Bear-Put Spreads

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

 Buy         5300       68.05                                                    Buy       5300       71.35     37.25     62.75        5262.75
                                    38.75       61.25      5338.75
 Sell        5400       29.30                                                    Sell      5200       34.10
 Buy         5300       68.05                                                    Buy       5300       71.35     56.45     143.55       5243.55
                                    57.60      142.40      5357.60
 Sell        5500       10.45                                                    Sell      5100       14.90
 Buy         5400       29.30                                                    Buy       5200       34.10
                                    18.85       81.15      5418.85                                              19.20     80.80        5180.80
 Sell        5500       10.45                                                    Sell      5100       14.90

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
      20-03-2012                        M&M                       Long Call Ladder                             Open




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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

				
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