Derivative Report

India Research
April 13, 2012 Comments
The Nifty futures open interest increased by 1.60% while

Nifty Vs OI

Minifty futures open interest is increased by 4.81% as market closed at 5276.85 levels.
The Nifty April future closed at a premium of 13.80 point

against a premium of 24.50 points. The May series closed at a premium of 49.05 points.
The Implied Volatility of at the money options is

decreased from 21.65% to 20.95%

points.
The total OI of the market is `1,07,909/-cr. and the

stock futures OI are `26,918/-cr.

of-carry are TTML, DIVISLAB, VIDEOIND, COREEDUTEC and MTNL.

OI Gainers
SCRIP DIVISLAB TTKPRESTIG UNIONBANK ANDHRABANK OFSS OI 779000 100000 1984000 1024000 329125 OI CHANGE (%) 33.05 22.32 20.61 19.35 16.87 PRICE 798.20 3346.70 227.40 123.05 2749.30 PRICE CHANGE (%) 3.02 3.84 -0.68 0.70 4.14

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `136/- cr. On derivatives front they were net buyers in index futures indicating some long buildup by them, while in index options also they were net buyers.
On options front not much of buildup was seen in

OI Losers
SCRIP MAX FINANTECH IVRCLINFRA JETAIRWAYS STER OI 842000 811750 32816000 1104000 21332000 OI CHANGE (%) -18.25 -15.88 -14.31 -13.55 -9.53 PRICE 204.00 774.75 73.90 349.05 106.35 PRICE CHANGE (%) 8.37 3.67 4.45 -2.58 4.37

call option except 5500 strike price where some buildup was visible, while in put option 5200 strike price has seen significant amount of buildup in open interest in yesterdays trading session.
We have seen decent shorts getting buildup into the

counter of SAIL in last few trading session. Since the counter has strong support at around `90-92 levels we anticipate some short covering rally in this stock and also in yesterdays trading session we have seen significant amount of long getting buildup into this counter. Hence we recommend to go long on this stock with the target price of `102 and stop loss at `91.

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 1.17 0.97 0.67 0.59 0.53 PCR-VOL 0.97 0.93 0.62 0.42 0.46

Historical Volatility
SCRIP
DABUR MAX DIVISLAB MARUTI OFSS

HV
29.84 63.42 28.47 35.40 47.45 For Private Circulation Only 1

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FII Statistics for 12-April-2012

Turnover on 12-April-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1236.98

1044.32

192.66 277.73 13.31 (81.93) 401.76

373396 1328839 812182 35416 2549833

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

413856 2500003 419147 177206 3510212

10232.77 66501.38 11856.11 5347.54 93937.8

-23.16 -20.52 -12.57 24.17 -18.22

13315.94 13038.21 1102.29 734.46 1088.99 816.39

16389.68 15987.91

Nifty Spot =5276.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 80.00 38.65 80.00 15.55 38.65 15.55 23.10 76.90 5423.10 64.45 135.55 5364.45 Risk 41.35 Reward 58.65 BEP 5341.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 89.25 51.35 89.25 28.25 51.35 28.25 23.10 76.90 5176.90 61.00 139.00 5239.00 Risk 37.90 Reward 62.10 BEP 5262.10

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

Nifty Put-Call Analysis

For Private Circulation Only

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Strategy Date 02-04-2012 09-04-2012

Scrip NIFTY TATAMOTORS

Strategy Ratio Put Spread Ratio Put Spread

Status Open Open

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Derivative Research Team

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