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									                                                                                        Derivative Report
                                                                                                    India Research
                                                                                                          April 24, 2012
 Comments                                                        Nifty Vs OI
  The Nifty futures open interest increased by 1.86% while
       Minifty futures open interest is increased by 7.06% as
       market closed at 5200.60 levels.
  The Nifty April future closed at a discount of 2.00 point
       against a premium of 11.15 points. The May series
       closed at a premium of 32.20 points.
  The Implied Volatility of at the money options is
       increased from 17.03% to 23.44%
  The PCR-OI has being decreased from 1.14 to 1.06
  The total OI of the market is `1,26,125/-cr. and the
       stock futures OI are `29,920/-cr.
  Few of the liquid counters where we have seen high cost-
       of-carry are HCC, POWERGRID, HINDUNILVR, TTML
       and BANKINDIA.

OI Gainers
                                  OI                   PRICE    View
SCRIP                 OI        CHANGE      PRICE     CHANGE
                                  (%)                   (%)      FII’s were net sellers in cash market segment; they
                                                                   were net seller’s worth of `408/- cr. On derivatives
BHARATFORG          5066000        32.79    318.65      -0.65      front they were net sellers in index futures, while in
ASIANPAINT            105875       23.83   3471.00       3.91      index options they were net buyers.
                                                                 On options front significant amount of buildup was
BIOCON              2879000        16.46    236.30      -2.54
                                                                   visible in 5200-5400 call option, while in put option
EDUCOMP             3660000        14.05    193.35      -5.06      5300-5400 strike price have seen some unwinding
                                                                   and 5000 put option have seen some buildup in
BOMDYEING             864000       11.92    517.45      -5.63
                                                                   open interest in yesterday’s trading session.
OI Losers                                                        The counter of HEROMOTOCO has seen decent
                                                                   buildup of long positions since the starting of this
                                 OI                    PRICE       expiry. However the stock has seen some long
SCRIP                 OI       CHANGE      PRICE      CHANGE       unwinding pressure around its resistance level of
                                 (%)                    (%)
                                                                   `2200-2220 and followed by some short buildup in
PUNJLLOYD         29140000       -20.32     53.45       -2.91      yesterday’s trading session. We feel further long
                                                                   unwinding could come in this stock which could take
BFUTILITIE           692500      -17.02    407.20       -5.82
                                                                   the counter to around `2045. Hence we recommend
BPCL                 957000      -16.53    674.65       -3.10      to go short on this stock at around `2145-2155 with
                                                                   the stop loss of `2220.
NMDC                1119000      -15.67    172.20        0.82
DHANBANK            2860000      -14.37     63.30       -5.66

Put-Call Ratio                                                  Historical Volatility
SCRIP                          PCR-OI        PCR-VOL            SCRIP                                     HV
NIFTY                           1.06           1.08             MCDOWELL-N                               75.62
INFY                            0.26           0.56             ASIANPAINT                               31.21
BANKNIFTY                       0.74           0.81             ESCORTS                                  59.90
SBIN                            0.71           0.64             IDEA                                     42.76
RELIANCE                        0.83           0.90             FORTIS                                   46.86

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

FII Statistics for 23-April-2012                                                           Turnover on 23-April-2012

                                                               Open Interest
                                                                                                                  No. of      Turnover         Change
 Detail         Buy         Sell        Net                                                  Instrument
                                                                                                                 Contracts    (Rs. in cr.)       (%)
                                                   Contracts       Value        Change
                                                                 (Rs. in cr.)      (%)
INDEX                                                                                                            545708       13460.52             0.32
              2081.40     2589.65      (508.25)      445597          11425.39     1.39     FUTURES
INDEX                                                                                                            4612346      122121.73        13.80
             20944.49 20433.65          510.84      1514480          39378.87     1.21     OPTIONS
STOCK                                                                                      STOCK
              4043.90     4221.22      (177.33)      871008          23879.26     1.91                           734508       20655.07         18.95
FUTURES                                                                                    FUTURES
STOCK                                                                                      STOCK
               989.01      924.92          64.10       46171          1267.05    -7.05                           247737        6843.12             5.76
OPTIONS                                                                                    OPTIONS

TOTAL        28058.79 28169.43         (110.64)     2877256          75950.57     1.31     TOTAL                 6140299      163080.44        12.81

 Nifty Spot =5200.60                          Lot Size = 50

 Bull-Call Spreads                                                              Bear-Put Spreads

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

 Buy         5200       44.55                                                   Buy        5200       46.05        31.40     68.60       5168.60
                                    33.40      66.60      5233.40
 Sell        5300       11.15                                                   Sell       5100       14.65
 Buy         5200       44.55                                                   Buy        5200       46.05        41.85     158.15      5158.15
                                    42.20     157.80      5242.20
 Sell        5400         2.35                                                  Sell       5000           4.20
 Buy         5300       11.15                                                   Buy        5100       14.65
                                    8.80       91.20      5308.80                                                  10.45     89.55       5089.55
 Sell        5400         2.35                                                  Sell       5000           4.20

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
      23-04-2012                         SBIN                          Long Put                                Open


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For Private Circulation Only                    SEBI Registration No: INB 010996539                                                    3

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