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					ICICI Securities Limited
      Weekly Derivative
                                                                                                                                                                                                                                                                                                                                                                               May 27, 2011

Nifty Options OI Distribution                                                                                                                                                           Nifty highlights
                                                                                                                                                                                           Week on week                                              Spot                        Fut              COC(%)                            Tot Fut OI                     PCR OI             PCR Vol                ATM IV (%)
                                              Nifty Call Put Concentration (June)                                                                                                        Current                                                     5476                       5467                 -1.7                           21352750                         1.27                0.97                     18.23
                  60
                                                                                                                                                                                         Previous                                                    5412                       5412                  0.0                            33217500                        0.88                0.76                      18.0
                  50                                                                                                                                                                     Change (%)                                                   1.2                        1.0                    -                               (35.7)                          -                   -                         -
 Shares in Lacs




                  40                                                                                                                                                                    Source: NSE, Seediff, ICICIdirect.com Research
                  30
                                   51.6




                                                                                          49.4
                                                            46.6

                                                                        44.9




                                                                                                         40.7



                  20                                                                                                                                                                    Weekly Analysis
                                                                                                                           32.6
                                                                                      30.9




                                                                                                                                                29.9
                                                                                                       27.6


                                                                                                                          24.2


                  10
                                                                   17.0




                                                                                                                                             13.3
                                                                                                                                                                                         •        The Nifty remained highly volatile in the last week thanks to the May expiry. The
                          1.5

                                                  6.5




                  0                                                                                                                                                  6.1
                                                                                                                                                                                                  week started with a decline from 5480 to 5330. However, the reversal started on
                           5000 5100 5200 5300 5400 5500 5600 5700                                                                                                                                expiry day with the index climbing back to 5480 on Friday
                                                                           CALL OI                          PUT OI
                                                                                                                                                                                         •        The rollovers in stock futures remained in line with the previous series but Nifty
                                                                                                                                                                                                  rollovers remained below their 3M average
FII Activity
                                                                                                                                                                                         •        The noticeable Put and Call base in the June series is at 5300 and 5600,
                          Index Fut                                  Stock Fut                                 Index Opt                                                   Cash                   respectively. However, the Call open interest is quite low at an average of 30 lakh
Date                                        Net Buy                                   Net Buy                                     Net Buy                       Net Buy                           shares in 5500 and 5600 Call options. We expect the Nifty to trade in the broad
20-May                                                        66                                     452                                    361                                   -75             range of 5300-5600 and the Call base to increase during this period
23-May                                                      -816                                     -119                                    704                             -138
                                                                                                                                                                                        Index Outlook
24-May                                                        85                                      82                                     351                                  35
25-May                                                      -781                                      80                                    1278                             -419        •        Nifty: The Nifty is likely to remain range bound. The immediate support for the
                                                                                                                                                                                                  index lies at 5420/5350. On upsides, 5520/5610 may remain as major resistances
                                                                                                                                                                                         •        Bank Nifty: The Bank Nifty has recovered from the support of 10300. We expect
Turnover vs. Market Open Interest                                                                                                                                                                 the index to witness further short covering if it holds above 10700. On upsides,
                                                                                                                                                                                                  major supply can be seen around 10950
   150,000

                                                                                                                                                                                        Sectoral OI activity
                                                                                                                                                      211,981




   120,000
                                                                                                               155,525




      90,000
                                                                                                                                  154,816
                                                                                           152,705
                                                  150,172




                                                                                                                                                                                         •        Short rollover was seen in PSU banking and metal stocks. The open interest in
                                                                        137,983
                               137,643




      60,000
                                                                                                                                                                                                  technology has remained low in comparison to the inception OI in the May series
                                                                                                                                                                         92,164




      30,000

                  0                                                                                                                                                                     Sectoral OI Change
                                         23-May




                                                                                  24-May




                                                                                                                         25-May




                                                                                                                                                                26-May




                                                                                                                                                                                             5
                                                                   Turnover (in Crs)                                               Market OI (in Crs)                                        0
Nifty Spot vs. ratio of stock/index future OI                                                                                                                                                -5
                                                                                                                                                                                         -10
                                                                                                                                                                                         -15
    6,500                                                                                                                                                                90



                                                                                                                                                                                                                                                                                                                                                                                                   Telecom
                                                                                                                                                                                                                                                                                FMCG




                                                                                                                                                                                                                                                                                                                                                                     Realty




                                                                                                                                                                                                                                                                                                                                                                                      Technology
                                                                                                                                                                                                   Automobile




                                                                                                                                                                                                                                                                      Finance




                                                                                                                                                                                                                                                                                                                                                                                                             Textile
                                                                                                                                                                                                                Banking




                                                                                                                                                                                                                                                                                                  Infrastructure

                                                                                                                                                                                                                                                                                                                   Media




                                                                                                                                                                                                                                                                                                                                                 Pharma
                                                                                                                                                                                                                                                      Fertilisers




                                                                                                                                                                                                                                                                                         Hotels




                                                                                                                                                                                                                                                                                                                           Metals

                                                                                                                                                                                                                                                                                                                                     Oil & Gas




                                                                                                                                                                                                                                                                                                                                                           Power




                                                                                                                                                                                                                                                                                                                                                                              Sugar
                                                                                                                                                                                                                                            Cement




                                                                                                                                                                                                                                                                                                                                                                                                                       Transport
                                                                                                                                                                                                                          Capital
                                                                                                                                                                                                                                    Goods




    6,000                                                                                                                                                                80
                                                                                                                                                                         70
    5,500
                                                                                                                                                                                                                                                                                                        % Chg in Futures OI
                                                                                                                                                                         60
    5,000
                                                                                                                                                                         50
                                                                                                                                                                                        Source: Company, ICICIdirect.com Research
    4,500                                                                                                                                                                40
    4,000                                                                                                                                                                30             Weekly Strategy
                                                                                                      Nov-10
                      Jan-10
                                  Feb-10
                                                   Apr-10
                                                               Jun-10
                                                                           Jul-10
                                                                                            Oct-10


                                                                                                                  Jan-11
                                                                                                                                   Feb-11
                                                                                                                                             Mar-11
                                                                                                                                                          May-11




                                                                                                                                                                                        i) IDEA (IDECEL)                                                                                                               i) L&T (LARTOU)
                                                                                                                                                                                        Buy IDECEL June futures in range of 67.0-67.40                                                                                 Sell LARTOU June Futures in range of 1632-1635
                                   Nifty Spot (LHS)                                                     Ratio (Stk/Ind fut OI)
                                                                                                                                                                                        View: Bullish                                                                                                                  View: Bearish
                                                                                                                                                                                        Target : 71.50                                                                                                                 Target : 1580
Analyst                                                                                                                                                                                 Stop Loss : 65                                                                                                                 Stop Loss :1660
 Amit Gupta                                                                                                                                                                             Market lot : 4000                                                                                                              Market lot :125
 amit.gup@icicisecurities.com                                                                                                                                                           Strategy Follow-up
                                                                                                                                                                                        Date                         Underlying                                      View                Strategy                      Reco         Target                   SL         Profit/Loss                          Comment
 Azeem Ahmad
 azeem.ahmad@icicisecurities.com                                                                                                                                                        20-May-11                         MAHMAH                                    Bullish            Buy Future                     691.0          710.0                 680                          -             Not initiated
                                                                                                                                                                                        20-May-11                           SYNBAN                                  Bearish            Sell Future                    109.0          104.0                113.0                         -           Closed at cost
 Raj Deepak Singh
 Rajdeepak.singh@icicisecurities.com




          ICICIdirect.com | Equity Research
ICICI Securities Limited


Derivatives research – product basket
Directional                                                                   Non-directional                                                                      Quant products
Long build up/Short covering Futures                                          Theta & Vega strategies                                                              Pairs trading
Short build up Futures                                                        Delta differential strategy                                                          Enhanced portfolio
High OI stocks – delivery product                                             Option indicators analysis                                                           VIX analysis
Plain vanilla options                                                         Gamma neutral delta neutral strategy                                                 Quant Picks
Deep Value Strategy                                                           Reverse, Synthetic options & Situational arbitrage                                   Volatility Insights
Hybrid Strategies – Index/Stocks                                              Opportunity Matrix
Rollover week product ( Long/Short rollover stocks)                           Calendar Spreads
VWAP(expiry day product)                                                      Ratio Spreads




   Pankaj Pandey                                         Head – Research                                                   pankaj.pandey@icicisecurities.com

                                                         ICICIdirect.com Derivatives Desk

                                                           ICICI Securities Limited,
                                                           7th Floor, Akruti Centre Point,
                                                           MIDC Main Road, Marol Naka
                                                           Andheri (East), Mumbai – 400 093
                                                           research@icicidirect.com




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