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Derivatives Report 4th October 2011

- The open interest for Nifty futures increased slightly while Minifuties open interest rose 10%. Nifty futures premium increased and November series is at a premium. Implied volatility rose. - Stocks with positive cost of carry are Gitajali, Suntv, Glaxo, Ruchisoya and Dchl. Sintex, Arvind, HDFC, SAIL and Hindzinc saw increases in open interest while Tatapower, Exideind, Gail, Tvsmotor and Lupin saw decreases. - Most of the fall in US markets was already priced in Asian markets. Put options at 4300 strike and between 4700-4800 have seen increased

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151 views

Derivatives Report 4th October 2011

- The open interest for Nifty futures increased slightly while Minifuties open interest rose 10%. Nifty futures premium increased and November series is at a premium. Implied volatility rose. - Stocks with positive cost of carry are Gitajali, Suntv, Glaxo, Ruchisoya and Dchl. Sintex, Arvind, HDFC, SAIL and Hindzinc saw increases in open interest while Tatapower, Exideind, Gail, Tvsmotor and Lupin saw decreases. - Most of the fall in US markets was already priced in Asian markets. Put options at 4300 strike and between 4700-4800 have seen increased

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Derivative Report

India Research
Oct 04, 2011 Comments
The Nifty futures open interest increased 0.43% while

Nifty Vs OI

Minifty futures open interest increased by 10.10% as market closed at 4849.50 levels.
The Nifty Oct. future closed at a premium of 8.25 point

against a discount of 8.95 points. The November Series closed at a Premium of 21.85 points.
The Implied Volatility of at the money options is

increased from 29.57% to 34.46%.


The PCR-OI has increased from 1.40 to 1.42 points. The total OI of the market is `99,687.92cr. And the

stock futures OI are `25,020.46cr.


Stocks where cost of carry is positive are GITANJALI,

SUNTV, GLAXO, RUCHISOYA and DCHL.

OI Gainers
SCRIP SINTEX ARVIND HDFC SAIL HINDZINC OI 4386000 2812000 5844000 7836000 1980000 OI CHANGE (%) 12.98 12.66 12.08 11.09 10.74 PRICE 111.60 99.65 634.45 100.40 112.65 PRICE CHANGE (%) -12.26 1.22 -1.01 -4.97 -5.18

View
Most of the fall of yesterdays session in US markets

was discounted in our and other Asian markets. FIIs are now in full sell mode i.e. selling in equity, shorting in index futures and buying put options.
4300 put has been adding significant open interest

since last couple of trading session and rise in IV and FIIs data suggests its buying. Substantial built-up is observed in 4700 and 4800 put too. Some addition was seen in 4900 call strike.
There is scope of fresh shorting in MARUTI as open

OI Losers
SCRIP TATAPOWER EXIDEIND GAIL TVSMOTOR LUPIN OI 7867500 1668000 993000 3780000 1012000 OI CHANGE (%) -10.55 -8.85 -8.69 -6.71 -5.95 PRICE 96.75 131.35 418.20 59.80 472.40 PRICE CHANGE (%) -3.10 1.35 1.86 -1.89 -0.41

interest is slightly on the lower side. We believe competition will dent the premium which stock enjoys. Short with stop loss of `1120 and target of `982.
Too many short positions standing in JETAIRWAYS

and crude prices have corrected meaningfully. Short covering very likely. Go long with stop loss of `213 and target of `258.

Put-Call Ratio
SCRIP NIFTY SBIN RELIANCE INFY LT PCR-OI 1.42 0.61 0.60 0.33 0.35 PCR-VOL 1.15 1.00 0.72 0.95 0.31

Historical Volatility
SCRIP
SCI SINTEX BPCL GESHIP TATACHEM

HV
60.55 86.33 34.33 47.90 33.72 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 03-Oct-2011


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 12561.66 38960.15 25911.29 666.13 78099.23 Change (%) -1.91 8.47 1.54 12.13 4.31

Turnover on 03-Oct-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

2173.73 8734.58 1201.43 288.04

2644.79 7122.92 1380.46 277.66

(471.07) 1,611.66 (179.02) 10.38 971.96

522047 1606831 1108151 27144 3264173

Index Futures Stock Futures Index Options Stock Options Total

542368 388076 2344917 93163 3368524

12137.42 9084.42 57621.68 2302.82 81146.33

-16.84 -25.86 -10.30 -17.52 -13.56

12397.79 11425.82

Nifty Spot =4849.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4900 5000 4900 5100 5000 5100 Price 136.80 90.95 136.80 56.60 90.95 56.60 34.35 65.65 5034.35 80.20 119.80 4980.20 Risk 45.85 Reward 54.15 BEP 4945.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 4800 4700 4800 4600 4700 4600 Price 142.30 108.45 142.30 80.30 108.45 80.30 28.15 71.85 4671.85 62.00 138.00 4738.00 Risk 33.85 Reward 66.15 BEP 4766.15

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

Scrip NIFTY

Strategy Long Put Ladder

Status 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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