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Derivatives Report 24th October 2011

The summary of the Derivative Report is: 1) The open interest in Nifty futures increased by 5.8% while the open interest in Mini Nifty futures decreased by 0.43% as the market closed at 5049.95 levels. 2) Implied volatility increased from 23.66% to 25.67% and the PCR-OI decreased from 1.47 to 1.40 points. 3) Some large cap stocks like NTPC, ICICIBANK, TATAMOTORS, AXISBANK and HDFC saw high rollover in their open interest.

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76 views

Derivatives Report 24th October 2011

The summary of the Derivative Report is: 1) The open interest in Nifty futures increased by 5.8% while the open interest in Mini Nifty futures decreased by 0.43% as the market closed at 5049.95 levels. 2) Implied volatility increased from 23.66% to 25.67% and the PCR-OI decreased from 1.47 to 1.40 points. 3) Some large cap stocks like NTPC, ICICIBANK, TATAMOTORS, AXISBANK and HDFC saw high rollover in their open interest.

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Angel Broking
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Derivative Report

India Research
Oct 24, 2011 Comments
The Nifty futures open interest increased by 5.80% while

Nifty Vs OI

Minifty futures open interest decreased by 0.43% as market closed at 5049.95 levels.
The Nifty Oct. future closed at a Premium of 4.05 point

against a Premium of 10.95 points. The November Series closed at a Premium of 24.10 points.
The Implied Volatility of at the money options is

increased from 23.66% to 25.67%.


The PCR-OI is decreased from 1.47 to 1.40 points. The total OI of the market is `1,38,302.40cr. And the

stock futures OI are `32,215.01cr.

Few of the large cap stocks where we have seen high rollover are NTPC, ICICIBANK, TATAMOTORS, AXISBANK and HDFC.

OI Gainers
SCRIP ASIANPAINT HOTELEELA GRASIM MAX STER OI 160500 4160000 602875 824000 31284000 OI CHANGE (%) 27.89 22.35 15.97 15.73 13.93 PRICE 3015.50 36.80 2289.55 180.35 115.00 PRICE CHANGE (%) -4.48 -1.60 -1.28 -1.37 -1.12

View
FIIs continue to sell in cash market, but the quantum

of selling was quite minimal. They were net sellers of worth `234/-cr. On Derivatives front they continue to be net buyers in index options and in index futures after a day of forming short position they were net buyers in Fridays trading session.
There was continuous buildup visible in at the money

OI Losers
SCRIP CHAMBLFERT MOSERBAER RAYMOND BANKBARODA BANKINDIA OI 5504000 1992000 1189000 1973250 3180500 OI CHANGE (%) -32.88 -21.45 -12.57 -11.95 -11.78 PRICE 89.90 27.85 384.90 743.30 324.55 PRICE CHANGE (%) 3.04 6.70 7.51 -0.77 -2.80

and out of the money call options in October series. As IVs are low this gives positive outlook for the market.
Last week we saw AXISBANK consolidating in the

range of `1070-1130 and the stock has seen some addition of long positions. Hence we suggest to trade in with positive bias with the target price of `1230 and stop loss at `1085.
HINDALCO is trading at very crucial support of `

120-122 and it has a good amount of short positions standing in this counter. We may see some short covering bounce back in this stock. Hence we suggest to go long with the target price of `131 and stopping loss at `117.

Put-Call Ratio
SCRIP NIFTY SBIN INFY RELIANCE BANKNIFTY PCR-OI 1.40 0.71 1.57 0.74 1.33 PCR-VOL 0.90 0.46 1.26 0.53 0.69

Historical Volatility
SCRIP
ASIANPAINT RAYMOND TULIP POLARIS UNIONBANK

HV
32.54 50.03 38.62 68.43 48.08 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 21-Oct-2011


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15144.98 54092.33 29563.84 1132.66 99933.81 Change (%) 6.26 3.48 0.59 1.32 2.95

Turnover on 21-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

5421.51

4935.78

485.72 1,377.19 -402.91 -15.43 1,444.57

602009 2142455 1226747 44161 4015372

Index Futures Stock Futures Index Options Stock Options Total

724972 892477 4111930 156664 5886043

17525.14 22274.23 105390.61 4376.63 149566.61

1.79 6.98 -10.22 16.40 -6.04

13218.10 11840.91 5733.19 307.39 6136.10 322.82

24680.19 23235.61

Nifty Spot =5049.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5200 5100 5300 5200 5300 Price 33.25 9.85 33.25 2.15 9.85 2.15 7.70 92.30 5207.70 31.10 168.90 5131.10 Risk 23.40 Reward 76.60 BEP 5123.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5000 4900 5000 4800 4900 4800 Price 33.65 13.75 33.65 6.60 13.75 6.60 7.15 92.85 4892.85 27.05 172.95 4972.95 Risk 19.90 Reward 80.10 BEP 4980.10

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

Nifty Put-Call Analysis

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Strategy Date 03-10-2011 10-10-2011 17-10-2011

Scrip NIFTY SBIN RCOM

Strategy Long Put Ladder Long Call Long Call

Status Continue Book Profit Continue

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).

Derivative Research Team


Email Id : - [email protected]

For Private Circulation Only

SEBI Registration No: INB 010996539

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