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					                                                                                        Derivative Report
                                                                                                    India Research
                                                                                                          April 23, 2012
 Comments                                                        Nifty Vs OI
  The Nifty futures open interest decreased by 1.39% while
       Minifty futures open interest is decreased by 5.07% as
       market closed at 5290.85 levels.
  The Nifty April future closed at a premium of 11.15 point
       against a premium of 23.80 points. The May series
       closed at a premium of 47.30 points.
  The Implied Volatility of at the money options is
       decreased from 17.13% to 17.03%
  The PCR-OI has being decreased from 1.15 to 1.14
       points.
  The total OI of the market is `1,23,817/-cr. and the
       stock futures OI are `30,372/-cr.
  Few of the liquid counters where we have seen high cost-
       of-carry are BPCL, ABIRLANUVO, LITL, BHEL and
       JUBLFOOD.


OI Gainers
                                  OI                   PRICE    View
SCRIP                 OI        CHANGE      PRICE     CHANGE
                                  (%)                   (%)      FII’s were net buyers in cash market segment; they
                                                                   were net buyer’s worth of `314/- cr. on Friday’s
ADANIPORTS          8876000        40.22    130.65      -2.57      trading session. On derivatives front they were net
MAX                   771000       32.70    193.90      -1.97      sellers in index futures, while in index options they
                                                                   were net buyers.
ABIRLANUVO            698750       20.63    993.95       2.02
                                                                 On options front not much of buildup was observed
BPCL                1146500        19.49    696.25       0.21      except 5100 put option where some buildup was
                                                                   visible, however good amount of unwinding was
AXISBANK            6281500        18.24   1177.15      -1.54
                                                                   observed in most of the strike prices. In call option
                                                                   front 5300-5500 strike price have seen some
OI Losers
                                                                   unwinding, while in put option 5300 strike price have
                                 OI                    PRICE       seen maximum unwinding in Friday’s trading session.
SCRIP                 OI       CHANGE      PRICE      CHANGE     The counter of RELCAPITAL have seen significant
                                 (%)                    (%)
                                                                   amount of short buildup at higher levels. We feel
ABAN                2675000      -25.96    420.75       -3.66      some short covering bounce back could come in this
                                                                   counter as the cost-of-carry is being increasing
DHANBANK            3340000      -15.40     67.10       -5.69
                                                                   continuously. Hence we recommend short term
GESHIP               198000      -15.38    256.55       -2.34      traders to trade with positive bias in this stock and
                                                                   can go long for the bounce back at around `337-
ANDHRABANK           756000      -13.70    124.00       -0.24
                                                                   340 with the target price of `359 and stop loss at
IRB                 1588000      -12.65    190.80       -1.73      `327.


Put-Call Ratio                                                  Historical Volatility
SCRIP                          PCR-OI        PCR-VOL            SCRIP                                     HV
NIFTY                           1.14           1.06             PUNJLLOYD                                82.47
INFY                            0.28           0.47             PETRONET                                 37.26
BANKNIFTY                       0.82           0.85             SUZLON                                   63.97
SBIN                            0.92           0.61             NATIONALUM                               62.22
RELIANCE                        0.91           1.16             TATACHEM                                 29.93

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




FII Statistics for 20-April-2012                                                           Turnover on 20-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                                                                                                            537020       13416.98         49.59
              1955.47     2058.16      (102.69)     439478          11536.23     0.78      FUTURES
FUTURES
                                                                                           INDEX
INDEX                                                                                                            4026243      107310.57        35.01
             15700.71 15309.88          390.83     1496336          39582.63     1.99      OPTIONS
OPTIONS
STOCK                                                                                      STOCK
              2452.81     2951.65      (498.83)     854643          24018.68     1.64                            588320       17363.96         12.60
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               924.18      954.16       (29.97)       49675          1399.07    -1.12                            223331        6470.27         11.98
OPTIONS                                                                                    OPTIONS

TOTAL        21033.17 21273.84         (240.67)    2840132          76536.61     1.64      TOTAL                 5374914      144561.78        31.84




 Nifty Spot =5290.85                          Lot Size = 50


 Bull-Call Spreads                                                             Bear-Put Spreads

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

 Buy         5300       49.20                                                  Buy         5300       48.25        30.10     69.90       5269.90
                                    36.45     63.55      5336.45
 Sell        5400       12.75                                                  Sell        5200       18.15
 Buy         5300       49.20                                                  Buy         5300       48.25        41.80     158.20      5258.20
                                    47.20     152.80     5347.20
 Sell        5500         2.00                                                 Sell        5100           6.45
 Buy         5400       12.75                                                  Buy         5200       18.15
                                    10.75     89.25      5410.75                                                   11.70     88.30       5188.30
 Sell        5500         2.00                                                 Sell        5100           6.45

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
      09-04-2012                   TATAMOTORS                      Ratio Put Spread                            Open
      16-04-2012                        HDFC                          Call Hedge                               Open




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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

				
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