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					ICICI Securities Limited
      Daily Derivative
                                                                                                                                                                                                        October 3, 2011
                                                                                                                                                                                                      October 3, 2011
Nifty Futures – OI vs. Price                                                                            Nifty Snapshot & Pivot Points
                                                                                         5200                                   Spot       Fut       COC (%)          Tot Fut OI         PCR OI        PCR Vol                  ATM IV
                  30                                                                                    Current                 4943     4934            -2.64         20725950             1.40             1.33                 30.83
                                                                                         5100
                  26                                                                                    Previous                5015     5030             3.57         20261700             1.35             1.11                 30.22
                                                                                         5000           Change (%)              -1.44    -1.91                 -              2.29              -                  -                      -
                  22
                              30.4
                              30.2
                              29.8



                                                                                                        Pivot levels (Oct)                 S3           S2             S1             Piv            R1                 R2          R3
                             29.4



                             28.8
                             28.6
  Millions



                            27.6

                            27.5
                            27.4

                            27.1




                                                                                         4900
                           26.2




                  18
                                                                                                        Nifty future                     4740         4851           4893            4962           5003               5073       5184
                       20.7
                       20.3
                  14                                                                     4800           Source: NSE, Seediff, ICICIdirect.com Research
                  10                                                                     4700
                                                                                                        F&O Highlights
                       14-Sep
                       15-Sep
                       16-Sep
                       19-Sep
                       20-Sep
                       21-Sep
                       22-Sep
                       23-Sep
                       26-Sep
                       27-Sep
                       28-Sep
                       29-Sep
                       30-Sep



                                                                                                        • The first trade of the October series saw selling pressure in most of the
                                                                                                             heavyweights as the Index closed below 4950 levels
                        Nifty Futures OI                       Nifty Fut Price (RHS)
                                                                                                        • FIIs were sellers in the cash segment to the tune of | 459 crore while DIIs were
                                                                                                             buyers to the tune of | 517 crore
Nifty Options OI Distribution
                                                                                                        • India VIX went up from 31.07 to 31.94 (up 2.80%)
              60                Nifty Call Put Concentration (Oct)                                      • Addition was seen in 4700 and 4900 Put options to the extent of 0.9 million
                                                                                                             shares and 0.6 million shares, respectively. Also, in Call options, addition was
 Shares in Lacs




              45
                                                                                                             seen in 5000 and 5100 strikes to the tune of 0.8 and 0.7 million shares,
              30                                                                                             respectively
                                   57.0


                                                53.8




                                                                                        49.8




                                                                                                        Index Outlook
                                                           36.8
                                                                      36.2
                         33.0




                                                                     29.6
                                                                                 29.6




              15
                                                        18.3
                                             14.5




                                                                                                        • Nifty: The Nifty is likely to open negative on the back of negative global cues. It
                       1.4


                                4.0




                                                                              9.5


                                                                                           6.7




                  0                                                                                          is likely to trade in the range of 4850-4950. The trading strategy would be to
                       4600     4700         4800        4900        5000      5100     5200                 create short positions if the Nifty resists at around 4938 levels for targets of
                                                CALL OI              PUT OI                                  4920 and 4865. On the other hand, one can also create long positions if the
                                                                                                             Nifty takes support at around 4850 levels
Active Nifty Strike                                                                                     • Bank Nifty: The Bank Nifty is likely to trade volatile in the range of 9280-9640
                                Call (%)                               Put (%)                          OI Addition/ OI unwinding
Strike                           OI chg                  IV (%)              OI chg            IV (%)
                                                                                                        • OI addition: Long build-up was seen in Ranbaxy Laboratories while short build-
4700                                 6.5                   32.8                19.9              34.3
                                                                                                               was seen in Ruchi Soya, Reliance Capital, GAIL, Tata Steel and SAIL
4800                                   5.8                    31.7             -0.2             32.6
                                                                                                        •      OI unwinding: Long closure was seen in HDFC Ltd, TCS, Maruti, Hindustan
4900                                  34.7                    30.0             18.8             30.8           Unilever and LIC Housing while short covering was seen in GSPL and Sesa Goa
5000                                  27.1                    28.5             -1.6             28.8    Stock/Sector Analysis
5100                               32.4                       27.2             0.2              27.2
                                                                                                        OI Gainers                                                      OI Losers
                                                                                                        Symbol                OI(Shrs)      %Chg       Price       %Chg Symbol              OI(Shrs) %Chg                Price %Chg
FII Statistics (in crore)                                                                               FORTIS                3870000       27.05      125.8       -0.16 SOUTHBANK          1602000 -10.55               22.3    1.36
Segment                               Buy              Sell           Net        OI (lots) %Chg         RUCHISOYA            20716000       24.89      112.9       -4.73 GSPL               3432000        -8.33        105.2    3.29
Index futures                      2315             2403              -88        532228           4.4   RELCAPITAL            6540500       19.17      316.9       -12.47 HEROMOTOC 1029750                -6.45 1944.15        -3.24
Index options                    10151              8460             1690       1481360           9.3   EXIDEIND              1830000       16.12      129.4       -2.49 CENTURYTEX 2456000                 -6.4       306.95   -0.74
Stock futures                      1483             1791             -308       1091366           1.1   DIVISLAB               746000       14.07      735.9       -1.39 PETRONET           4246000        -5.52       159.35    0.31
Stock options                      416                382              34         24208         128.8
Total                            14364              13036            1328       3129162           5.9
                                                                                                        Intraday Strategy*
F&O Turnover                                                                                            i) Ranbaxy Lab (RANLAB)                                      ii) Yes (YESBAN)
Instrument                             No. of Contracts                  Turnover              %Chg     Buy RANLAB Oct Fut in the range of 507-508                    Sell YESBAN Oct Fut in the range of 272-273
Index Futures                                        635679             14595.42               -35.4    View: Bullish                                                View: Bearish
Stock Futures                                        510882             12252.49               -57.6    Strategy: Buy Future                                         Strategy: Sell Future
Index Options                                       2578727             64239.18               -62.7    Target: 520                                                  Target: 265
Stock Options                                        111623                  2792.1            -32.8    Stop Loss: 501                                               Stop Loss: 276.10
F&O Total                                           3836911                 93879.2            -58.8    Market Lot: 500                                              Market Lot: 1000
                                                                                                        Source: Company, ICICIdirect.com Research
Analyst                                                                                                 Strategy follow-up
 Amit Gupta                                                                                             Date                   Stock        View      Strategy        Reco      Target          SL Profit/Los                 Comment
 amit.gup@icicisecurities.com                                                                           30-Sep-11                ITC      Bullish     Long Fut        200.6      204.8       197.8         2800           Profit Booked
  Ankit Tikmany                                                                                         30-Sep-11            UTIBAN      Bearsih     Short Fut       1048.5     1020.0      1061.1         -3150          Stoploss Trig
 ankit.tikmany@icicisecurities.com                                                                      * Note: As the real time prices might vary substantially from the recommended levels we recommend to initiate
 Azeem Ahmad                                                                                            strategies only if it is displayed on iCLICK-2-gain
 azeem.ahmad@icicisecurities.com
 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                                                             Pair trading
 Short build up Futures                                                        Delta differential strategy                                                          Enhanced Basket
 High OI stocks – delivery product                                             Option indicators analysis                                                           VIX Analyser
 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,
                                                               1st Floor, Akruti Trade Centre,
                                                               Road No 7, MIDC
                                                               Andheri (East), Mumbai – 400 093

                                                               research@icicidirect.com




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