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									Monthly Futures Report

   Monthly Futures Report                                                                             November 01, 2011

 Index       October     September        Change
Futures       Expiry       Expiry          MoM

  Nifty       5191          5015          3.50%

  Bank
  Nifty
              9511          9653          -1.48%

 CNX IT       6217          5746          8.19%

 Index       October     September        Change
Futures      Expiry OI    Expiry OI        MoM

  Nifty     34119750      33114500        3.04%

 Bank
             2503525      2319825         7.92%
 Nifty

CNX IT        36550        19950          83.21%
             October     September                 The October 2011 expiry saw Nifty Futures ending up by 3.50% on a month
                                          Change
Futures     Expiry Day   Expiry Day
                                           MoM
                                                   on month basis. The CNX IT closed up by 8.19 % and Bank Nifty closed
               Vol          Vol                    down by 1.48% on a month on month basis. On October 25, 2011 – the
                                                   expiry day of October Futures, Nifty November 2011 futures was at a 37.5
 Index       1146512       953239         20.28%   points premium compared with spot closing of 5191. Turnover in NSE's
                                                   futures & options (F&O) segment fell to Rs 2,365,085 crore in the whole of
Stocks       1339525      1218068         9.97%    October series compared to 3,032,066 crore in the whole of September
                                                   series, a decrease of 22% (trading days in October were 19 - incl muhurat
*OI includes current, next & far months            session - vs 20 in September). The next immediate resistance level for the
                                                   Nifty is at 5,450 & on the downside support is at 5,200 level.
   Nifty OI & Volume Chart:

                                                                                 Nifty Futures OI increased by 3.04 %
                                                                                 compared to last month. The increase in
                                                                                 OI is low compared to other months due to
                                                                                 low volatility seen in the Nifty throughout
                                                                                 the month. Hence traders did not build
                                                                                 large     overnight      positions.   Trader
                                                                                 confidence is still on lower side due to lack
                                                                                 of positive information flow from domestic
                                                                                 as well as international market. This
                                                                                 impacted confidence of traders who
                                                                                 desisted from holding up positions for a
                                                                                 longer period of time in the market.

                                                                                 Bank Nifty saw increased of 7.92% in OI
                                                                                 compared to last expiry. CNX IT rose the
                                                                                 most by 8.19% during the month,
                                                                                 accompanied by 83.21% increase in OI
                                                                                 (though on low base).

                                                                                 Compared to last expiry day the volume
                                                                                 (number of contracts) in Index Future on
                                                                                 this expiry day increased by 20.28%
                                                                                 followed by stock future by 9.97%.




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 Rollover Statistics:

                                                                                    The Index futures saw a 79.17% rollover into new
                     Index Rollover                                                 series, (last month rollover 61.65%) – the highest
                                                                                    rollover in the last one year.
  80                                                            79.17
                                                                                    Rollover in stock futures remains more or less the
  78                                                                                same at 84.36%. Power sector saw the highest
                                                                                    rollover of 88.19% followed by Textile sector –
  76                                                                                87.64%. Sugar sector saw the least rollover of
  74                                                                                71.05% among major sectors. Cement sector
                          71.74                                                     saw 13.92% more rollovers (in % terms) this
  72                                                                                expiry compared to rollover seen at September
                                        69.93
  70                                                                                series expiry.

  68         66.63
  66
  64
                                                     61.65
  62

  60
         June           July          August     September   October

                  % chg in    % chg in
   Sector        Rollover on Rollover on % Change
                  October    September
 Automobile          84.66        81.41         3.99%

  Banking            83.18        78.30         6.23%

Capital Goods        84.61        80.81         4.71%

   Cement            85.58        75.12         13.92%

 Fertilisers         77.95        74.48         4.66%

  Finance            85.94        82.42         4.27%

   FMCG              84.37        74.65         13.02%

   Hotels            85.85        90.51         -5.15%

Infrastructure       86.40        85.90         0.58%

   Media             82.93        86.56         -4.19%

   Metals            87.62        85.89         2.02%

  Oil & Gas          83.28        80.42         3.56%

   Pharma            84.70        80.71         4.95%

   Power             88.19        81.51         8.19%

   Realty            82.98        82.70         0.34%

   Sugar             71.05        88.21         -19.45%

 Technology          81.25        74.54         9.01%
                                                             The Nifty is currently trading at a hefty premium after gap of almost one
  Telecom            81.22        73.72         10.18%
                                                             year. High basis reflects trader’s confidence in the market for the short
   Textile           87.64        89.33         -1.89%       term. The rollover cost also saw small jump compared to earlier months.

   Trading           83.21        77.86         6.88%

  Transport          86.94        87.33         -0.45%




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   Total Index & Stock Volume in Future:

        2000

                                                                      Index Volume
        1800                                                          Total Stock



        1600



        1400



        1200



        1000



         800




                                                                                                      Jul-11
                                                    Feb-11



                                                             Mar-11




                                                                                    May-11
                                           Jan-11




                                                                                             Jun-11




                                                                                                                        Sep-11
                         Nov-10



                                  Dec-10
                Oct-10




                                                                                                                                 Oct-11
                                                                                                               Aug-11
                                                                        Apr-11




                                                                                                                                 Volume *10000
From the above bar chart, we can see the volume in the Index futures shed by almost 50% compared to September month series
due to decrease in volatility. Stock futures volumes saw jump in October 2011 as traders concentrated more on stock specific
movement.

   Bank Nifty Futures:




Bank Nifty Futures has been trading at a premium for the last four to five months. The gap between spot and future has risen this
month gradually. In October expiry Bank Nifty fell by 1.48% after last month’s carnage. In October series Bank Nifty made a new low.
OI in Bank Nifty future increased by 7.92% in October, and remained on higher side compared to last one year, suggesting traders
are taking more interest in Bank Nifty future as it shows higher volatility compared to other sector/Nifty.




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   Index & Stocks OI on Monday after Expiry:

        Sector                Future OI on 31 October             Future OI on 03 October                    % Change In OI
          Index                         33,066,945                           24,069,560                            37.38%
         Stocks                        1,868,146,503                        1,748,244,067                          6.86%
                                                                                                                              * OI in Units
Index OI on the first day after expiry has risen in line with higher rollovers seen over last expiry and the sharp upmove seen in the
markets on October 28.

   FII Monthly Derivative Statistics

                                                                Open Interest as on         Open Interest as on   Change in FIIs Open
                         BUY                    SELL                  311011                      300911           Interest (W-o-W)
                   No. of     Amt in     No. of        Amt in    No. of       Amt in         No. Of     Amt in     No. Of      Amt in
                  contracts   Crores    contracts      Crores   contracts     Crores        contracts   Crores    contracts    Crores
Index Futures 1956156         49017     1770693        44224    582122 15540.22 509662 12754.86                    72460      2785.36
Stock Futures 1909502         47334     1982468        49290    1118158 28226.85 1079112 26256.33                  39046      1970.52

Over the calendar month, FIIs were net buyers in the index futures segment to the tune of Rs. 4,793 cr. The OI in the index futures
increased by Rs. 2,785 cr. This suggests creation of new long positions by them.

FIIs were net sellers in the stock futures to the tune of Rs. 1,956 cr with the OI increasing by Rs. 1,970 cr. This suggests unwinding of
earlier long positions or creation of cash-futures arbitrage positions.

   Commentary:
In October, Nifty closed up by 3.50% (expiry to expiry). During the month Auto, IT, Realty & Metals rose the most while PSU, Capital
Goods, Consume Durable & Health Care rose the least. In November month Nifty may face resistance around 5450 level & find
support near 5200 level. This month traders could expect volatility to revert back to its normal level.




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   Weekly Futures Report
Overall Market review:

Top Gainers and Losers

Major Gainers                                      % Price Change            Major Losers                                      % Price Change

              Gt offshore                                17.21                              Gitanjali                                -6.71

             IVRCL INFRA                                 14.88                          Jublilant Foods                              -5.99

              Vijaya Bank                               14.48                                 BPCL                                   -5.31

                Uco Bank                                 11.79                           AREVA T & D                                 -5.03

                   LITL                                  11.78                           TTK Prestige                                -3.08

Open Interest (OI) Analysis: based on stocks with the total OI of more than 1,00,000 shares & price rise/fall of less than 10%.

              Stocks witnessing Accumulation                                                    Stocks witnessing Short covering
         Rise in Open Interest and Increase in Price                                       Fall in Open Interest and Increase in Price
        Company                        OI                 Price                          Company                        OI                   Price

      Colgate Pal                    32.59                 4.13                             Glaxo                     -5.50                  2.08
       GMDC Ltd                      31.44                 6.50                       Tech Mahindra                   -5.06                  1.23
         Havells                     30.77                 7.48                         Indian Bank                   -2.36                  0.25


                Stocks with a Negative Bias                                       Stocks witnessing Squaring up of Long Positions Fall in
        Rise in Open Interest and Decrease in Price                                         Open Interest and Decrease in Price
        Company                        OI                 Price                          Company                        OI                   Price

     Central Bank                    31.27                 -6.58                        Vijaya Bank                   -4.96                  -1.78

          NMDC                       25.51                 -0.46                        Syndibank                     -4.80                  -1.69

     Tata Chemical                   15.99                 -3.27                      ABG Shipyard                    -3.92                  -0.64




                                         Analyst: Siddharth Deshpande (siddharth.deshpande@hdfcsec.com)


   HDFC Securities Limited, I Think Techno Campus, Building ‘B’, “Alpha”, Office Floor 8, Near Kanjurmarg Station, Opposite Crompton Greaves,
                                               Kanjurmarg (East), Mumbai – 400042, Fax: (022) 30753435
Disclaimer: This document has been prepared by HDFC Securities Limited and is meant for sole use by the recipient and not for circulation. This
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buy any security. The information contained herein is from sources believed reliable. We do not represent that it is accurate or complete and it
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for Retail Clients only and not for any other category of clients, including, but not limited to, Institutional Clients


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