Derivative Report

India Research
Nov 14, 2011 Comments
The Nifty futures open interest decreased by 1.55% while

Nifty Vs OI

Minifty futures open interest decreased by 1.33% as market closed at 5168.85 levels.
The Nifty Nov. future closed at a Premium of 22.90 point

against a Premium of 16.05 points. The December Series closed at a Premium of 47.65 points.
The Implied Volatility of at the money options is

increased from 21.81% to 22.93%.

points.
The total OI of the market is `1, 27,134.90cr. and the

stock futures OI are `32,641.64cr.

JSWISPAT, HOTELEELA, INDIACEM and DCHL.

OI Gainers
SCRIP TATACHEM KFA GITANJALI EDUCOMP JETAIRWAYS OI 552000 13448000 8425000 1914500 1207500 OI CHANGE (%) 39.04 30.92 27.32 21.87 20.09 PRICE 331.00 19.65 353.30 241.80 266.30 PRICE CHANGE (%) -0.26 -9.45 -0.45 -10.01 2.31

View
In Fridays trading session FII's continued their trend of

not selling much in cash market segment but we were shocked to see a sell figure of more than Rs. 1300 crores in index futures segment which is fresh formation of short positions. They shorted stock futures too.
5200 and 5300 puts saw unwinding of positions as

OI Losers
SCRIP GLAXO TVSMOTOR BOMDYEING GSPL VOLTAS OI 15625 4548000 384000 3330000 3078000 OI CHANGE (%) -18.30 -8.23 -7.69 -7.65 -7.57 PRICE 2027.65 66.95 404.00 96.70 95.20 PRICE CHANGE (%) 0.99 2.14 -0.47 -2.18 -6.85

market closed below these strikes and discomforting put writers. 5200 call has seen decent built up and we believe its blend of long and short there. 4800 put has also seen substantial built-up in last few sessions.
As SAIL corrected from higher levels of 116 or so,

there has been significant formation of short positions. Around 102-103 strong has strong support and we expect short covering to take this counter back to 114 levels. So fix a stop loss of 100 and go long.

Put-Call Ratio
SCRIP NIFTY SBIN BANKNIFTY RELIANCE ICICIBANK PCR-OI 1.29 0.28 0.65 0.61 0.29 PCR-VOL 0.91 0.52 0.66 0.65 0.31

Historical Volatility
SCRIP
COREEDUTEC EDUCOMP MCDOWELL-N PANTALOONR NEYVELILIG

HV
31.15 72.80 68.42 68.60 39.33 For Private Circulation Only 1

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FII Statistics for 11-Nov-2011

Turnover on 11-Nov-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1629.13

2953.05 (1,323.92) 630.33 (479.22) (0.98)

572912 1622158 1203484 36413 3434967

Index Futures Stock Futures Index Options Stock Options Total

558665 551615 3282260 201063 4593603

13481.55 13245.30 86394.00 4975.84 118096.69

0.91 -10.20 12.46 -13.10 6.72

12493.77 11863.44 1735.62 513.07 2214.83 514.05

16371.59 17545.38 (1,173.79)

Nifty Spot =5168.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5200 5300 5200 5400 5300 5400 Price 83.90 42.60 83.90 18.45 42.60 18.45 24.15 75.85 5324.15 65.45 134.55 5265.45 Risk 41.30 Reward 58.70 BEP 5241.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5100 5000 5100 4900 5000 4900 Price 55.75 31.30 55.75 16.85 31.30 16.85 14.45 85.55 4985.55 38.90 161.10 5061.10 Risk 24.45 Reward 75.55 BEP 5075.55

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Nov. Series) are given as

an information and not as a recommendation

Nifty Put-Call Analysis

For Private Circulation Only

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Derivative Report | India Research

Strategy Date 31/10/2011 08/11/2011

Scrip NIFTY MARUTI

Strategy Long Call Long Put

Status Open Open

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