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					 Derivative Report
 May 08, 2012

Comments                                                            Nifty Vs OI
 The Nifty futures open interest decreased by 1.25% while
      Minifty futures open interest is decreased by 2.19% as
      market closed at 5114.15 levels.
 The Nifty May future closed at a premium of 11.80 point
      against a premium of 11.10 points. The June series
      closed at a premium of 27.00 points.
 The Implied Volatility of at the money options is
      decreased from 19.86% to 18.60%.
 The PCR-OI has being decreased from 1.04 to 1.00
 The total OI of the market is `1,04,007/-cr. and the
      stock futures OI are `26,137/-cr.
 Few of the liquid counters where we have seen high cost-
      of-carry are ABGSHIP,         GVKPIL,     SKUMARSYNF,

OI Gainers                                                          View
                                  OI                     PRICE       Despite of sharp bounce back in yesterday’s trading
SCRIP                  OI       CHANGE        PRICE     CHANGE         session FII’s were net sellers in cash market segment
                                  (%)                     (%)          worth of `631/- cr. On derivatives front they were net
IRB                 11356000       51.29      119.60        -7.11      sellers in index futures, however the quantum of
                                                                       selling was quite minimal. While in index options they
ANDHRABANK           1054000       35.82      118.30        3.68       were net buyers with significant amount of buildup in
PFC                  7472000       31.64      150.10        -3.10      open interest was observed.
                                                                     On options front we have observed good amount of
TTKPRESTIG             93250       23.31    3030.95        -13.65
                                                                       activity in yesterday’s trading session. 5000,5200
UNITECH             43736000       18.00       22.90        -6.34      and 5700 call option have seen decent buildup in
                                                                       open interest, while in put option 4800-4900 strike
                                                                       price have seen some buildup and 5100-5200 put
OI Losers                                                              option continue to see unwinding pressure.
                                   OI                      PRICE     We have seen huge formation of short positions in
SCRIP                  OI        CHANGE       PRICE       CHANGE
                                                                       the BANKNIFTY index, yesterdays bounce back was
                                   (%)                      (%)
                                                                       mainly due to short covering and we feel the counter
CUMMINSIND            164500       -10.84     468.90        -1.65      will take resistance at around 10000 levels which had
                                                                       acted support before in this index. Hence we
VIPIND               2765000        -9.23      86.50         3.35
                                                                       recommend to go short at around 9900-10000 with
BHEL                18539000        -8.81     226.95         6.03      the stop loss of 10200 and target of 9400.
MAX                   458000        -5.76     189.35         2.63
ALBK                 4020000        -5.72     162.40        -4.50

Put-Call Ratio                                                         Historical Volatility
SCRIP                          PCR-OI           PCR-VOL                SCRIP                                    HV

NIFTY                           1.00             0.92                  TTKPRESTIG                              86.43
BANKNIFTY                       0.69             0.63                  JSWSTEEL                                60.21
SBIN                            0.49             0.46                  BPCL                                    39.41
INFY                            0.56             0.78                  BHEL                                    54.08
RELIANCE                        0.58             0.72                  JETAIRWAYS                              62.17                                                                                                      1
Derivative Report
May 08, 2012

FII Statistics for 07-May-2012                                                              Turnover on 07-May-2012

                                                               Open Interest
                                                                                                               No. of       Turnover          Change
 Detail         Buy         Sell       Net                                                   Instrument
                                                                                                              Contracts      (` in cr.)         (%)
                                                   Contracts           Value      Change
                                                                     (` in cr.)    (%)
INDEX                                                                                       INDEX
              2654.30     2713.20      (58.90)       373931           9335.47      3.90                       631083       14941.57           20.49
FUTURES                                                                                     FUTURES
INDEX                                                                                       INDEX
             24383.21 24200.64         182.57       1261902          32261.37      9.80                       3970486      101805.77          22.31
OPTIONS                                                                                     OPTIONS
STOCK                                                                                       STOCK
              1611.49     2202.20     (590.71)       845137          21011.48      2.80                       560319       13722.83           17.09
FUTURES                                                                                     FUTURES
STOCK                                                                                       STOCK
              1054.72     1022.81          31.92       35798           918.36      21.81                      221887        5686.88           23.56
OPTIONS                                                                                     OPTIONS
TOTAL        29703.73 30138.84        (435.11)      2516768          63526.68      6.61     TOTAL             5383775      136157.05          21.61

 Nifty Spot =5114.15                          Lot Size = 50

 Bull-Call Spreads                                                                Bear-Put Spreads

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

 Buy         5100      112.00                                                     Buy       5100      88.35
                                   47.50       52.50      5147.50                                               34.25     65.75           5065.75
 Sell        5200       64.50                                                     Sell      5000      54.10
 Buy         5100      112.00                                                     Buy       5100      88.35
                                   78.35      121.65      5178.35                                               56.70     143.30          5043.30
 Sell        5300       33.65                                                     Sell      4900      31.65
 Buy         5200       64.50                                                     Buy       5000      54.10
                                   30.85       69.15      5230.85                                               22.45     77.55           4977.55
 Sell        5300       33.65                                                     Sell      4900      31.65

Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis                                                                                                                                2
Derivative Report
May 08, 2012

      Strategy Date                     Symbol                          Strategy                                Status
       30-04-2012                       NIFTY                           Long Put                  Profit booked on 04-05-2012
       07-05-2012                       NIFTY                      Long Put Ladder                              Open

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SEBI Registration No: INB 010996539                                                                                                                     3