Derivatives Report 11th October 2011

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Derivative ReportIndia Research

Oct 11, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 1.47% whileMinifty futures’ open interest decreased by 4.42% as

market closed at 4979.60 levels.

The Nifty Oct. future closed at a Premium of 13.70 pointagainst a Premium of 10.55 points. The November

Series closed at a Premium of 27.90 points.

The Implied Volatility of at the money options is

decreased from 29.97% to 27.95%.

The PCR-OI has increased from 1.38 to 1.45 points.

The total OI of the market is ` 1,11,554.10cr. And the

stock futures OI are `27,255.11cr. Stocks where cost of carry is positive are FSL, LITL,

HOTELEELA, BEL and HEXAWARE.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

BOMDYEING 437000 45.67 397.25 6.47

SUNTV 1472500 29.96 288.00 9.55

BRFL 1583000 28.39 280.15 1.69

TTKPRESTIG 86500 23.13 2818.00 7.29

DISHTV 10388000 18.75 79.50 0.76

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.45 1.12

SBIN 0.48 0.42

BANKNIFTY 1.18 1.09

INFY 0.86 0.98

RELIANCE 0.96 0.66

View

Slowly but steadily FII’s are now buying in cashmarket segment which is quite encouraging. Theycontinue to cover their short positions in index futuresand for a change they were inactive in index optionson net basis.

Bears who wrote 4800 and 4900 calls in anticipationof steep fall are now covering those positions andalso out-of-money put options are seeing unwindingof positions. 4900 and 5000 puts are now attractingwriters attention.

Last three days have seen significant rise in volumesas well as open interest in HINDALCO. Withcommodities on pull back spree, we believe there isroom for short covering in this counter. Go long withstop loss of `122 and target of ` 138.

HDFCBANK has strong support around ` 440-450zone. Fresh formation of long positions may takeplace in this zone. Trade with positive bias with targetprice of `475 and stop loss of ` 438.

Historical Volatility

SCRIP HV

TTKPRESTIG 89.20

BRFL 14.56

TATAPOWER 43.96

BATAINDIA 46.05

DELTACO RP 69.85

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ORIENTBANK 610000 -34.13 294.65 1.96

BHARTIARTL 9087000 -11.54 363.55 2.47

AUROPHARMA 3322000 -11.18 127.45 5.81

VOLTAS 2518000 -10.07 101.90 -2.72

GMDCLTD 470000 -8.91 164.90 4.24



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 10-Oct-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

1854.74 1496.84 357.91 518599 12784.06 -2.34

INDEXOPTIONS

11003.98 10978.31 25.67 1729503 43055.08 -1.32

STOCK

FUTURES1626.03 1548.70 77.33 1104782 26466.54 0.64

STOCK

OPTIONS317.45 308.80 8.65 36601 905.94 5.58

Total 14802.21 14332.65 469.56 3389485 83211.62 -0.78

Turnover on 10-Oct-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 505467 11522.68 -14.10

Stock Futures 446977 10857.14 -6.51

Index Options 3075195 75938.25 5.34

Stock Options 120288 2996.51 0.12

Total 4147927 101314.58 1.20

Nifty Spot = 4979.60 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 5000 109.0046.25 53.75 5046.25

Buy 4900 80.8025.10 74.90 4874.90

Sell 5100 62.75 Sell 4800 55.70

Buy 5000 109.0076.50 123.50 5076.50

Buy 4900 80.8043.40 156.60 4856.60

Sell 5200 32.50 Sell 4700 37.40

Buy 5100 62.7530.25 69.75 5130.25

Buy 4800 55.7018.30 81.70 4781.70

Sell 5200 32.50 Sell 4700 37.40

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



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For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

03-10-2011 NIFTY Long Put Ladder Continue

10-10-2011 SBIN Long Call Continue

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Derivatives Report 11th October 2011