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Derivatives Report 13th February 2012

- The open interest for Nifty futures decreased by 3% while the open interest for Mini Nifty futures decreased by 9.8% as the market closed at 5381.6 levels. - The implied volatility of at-the-money options increased from 19.8% to 20.43%. The PCR-OI decreased from 1.45 to 1.41. - FII's were net buyers in the cash market but net sellers in index futures and net buyers in index options. In individual stocks, open interest built up in calls on Nifty 5500 and 5600 strikes and in puts on the 5400 strike.

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223 views

Derivatives Report 13th February 2012

- The open interest for Nifty futures decreased by 3% while the open interest for Mini Nifty futures decreased by 9.8% as the market closed at 5381.6 levels. - The implied volatility of at-the-money options increased from 19.8% to 20.43%. The PCR-OI decreased from 1.45 to 1.41. - FII's were net buyers in the cash market but net sellers in index futures and net buyers in index options. In individual stocks, open interest built up in calls on Nifty 5500 and 5600 strikes and in puts on the 5400 strike.

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Angel Broking
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Derivative Report

India Research
Comments
The Nifty futures open interest decreased by 3.00% while

Nifty Vs OI

Feb 13, 2012

Minifty futures open interest decreased by 9.80% as market closed at 5381.60 levels.
The Nifty Feb. future closed at a Premium of 16.05 point

against a Premium of 24.70 points. The March series closed at a Premium of 46.00 points.
The Implied Volatility of at the money options is

increased from 19.80% to 20.43%.


The PCR-OI has being decreased from 1.45 to 1.41

points.
The total OI of the market is `1,37,195.1/-cr. and the

stock futures OI are `33,014/-cr.


Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, TTML, SKUMARSYNF, GMRINFRA and ABIRLANUVO.

OI Gainers
SCRIP CUMMINSIND OIL TATACHEM IFCI SOUTHBANK OI 404500 206250 865000 56480000 8270000 OI CHANGE (%) 47.09 42.73 25.18 23.38 20.38 PRICE 459.80 1321.30 357.00 38.90 26.45 PRICE CHANGE (%) 6.73 2.12 1.55 7.61 -0.75

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `196/- cr. on Fridays trading session. On derivatives front they were net sellers in index futures, while in index options they were net buyers.
On Options front 5500 and 5600 call option have

seen some buildup in open interest, while in put option 5400 strike price have seen maximum buildup in open interest on Fridays trading session.
The counter of DCB has seen good amount of

OI Losers
SCRIP VIPIND ORIENTBANK SUNTV EKC DELTACORP OI 1878750 669000 1506000 3096000 7858000 OI CHANGE (%) -28.50 -20.55 -18.33 -17.13 -15.07 PRICE 114.70 303.15 340.80 42.90 79.35 PRICE CHANGE (%) -4.26 1.68 3.27 -3.92 -3.41

buildup in open interest in the past few trading session. We feel majority of the buildup is on the longer side. Hence we recommend to go long on this stock with the target price of `54 and stop loss at `45.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.41 1.73 0.86 0.94 0.81 PCR-VOL 1.08 1.24 0.68 0.51 0.53

Historical Volatility
SCRIP
DABUR JINDALSAW MRF CUMMINSIND NHPC

HV
30.59 55.49 51.52 47.51 38.11 For Private Circulation Only 1

SEBI Registration No: INB 010996539

Derivative Report | India Research

FII Statistics for 10-Feb-2012


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total Value (Rs. in cr.) 15699.37 41801.62 30417.21 1668.06 89586.26 Change (%) 2.30 3.56 0.84 3.69 2.44

Turnover on 10-Feb-2012
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1871.52

3237.52 (1,366.00) 724.04 (436.25) 12.01

584754 1553993 1049610 58802 3247159

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS Total

596964 3580474 652701 217585 5047724

15198.61 96709.97 18831.4 6329.01 137068.99

25.14 26.84 4.75 8.20 22.14

20596.15 19872.10 2026.28 929.53 2462.52 917.52

25423.47 26489.66 (1,066.19)

Nifty Spot =5412.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 78.65 37.10 78.65 14.65 37.10 14.65 22.45 77.55 5522.45 64.00 136.00 5464.00 Risk 41.55 Reward 58.45 BEP 5441.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 44.90 23.10 44.90 11.65 23.10 11.65 11.45 88.55 5188.55 33.25 166.75 5266.75 Risk 21.80 Reward 78.20 BEP 5278.20

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb. 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 30-01-2012 06-02-2012

Scrip NIFTY SBIN

Strategy Long Call Ladder Short Strangle

Status Open Open

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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