Derivatives Report 23rd February 2012

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Derivative Report

India ResearchFeb 23, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 18.87% whileMinifty futures open interest in decreased by 11.69% asmarket closed at 5505.35 levels.

The Nifty Feb. future closed at a Premium of 12.75 pointagainst a Premium of 15.00 points. The March seriesclosed at a Premium of 57.30 points.

The Implied Volatility of at the money options isincreased from 21.92% to 25.32%.

The PCR-OI has being decreased from 1.80 to 1.62points.

The total OI of the market is `1,58,335/-cr . and thestock futures OI are `36,624/- cr.

Few of the large cap stocks where we have seen lowrollovers are UNITECH, SESAGOA, ONGC,HINDUNILVR and M&M.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ESSAROIL 13988000 35.81 69.35 1.39

ADANIPORT 8392000 25.97 143.85 -5.76

MCDOWELL-N 2810250 20.92 574.00 -13.61

ITC 31660000 17.16 208.55 0.55

STER 30626000 15.59 119.55 -6.82

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.62 1.16

BANKNIFTY 1.80 0.94

SBIN 1.08 0.69

RELIANCE 0.82 0.47

ICICIBANK 1.07 0.61

View

FII’s were net buyers in cash market segment; theywere net buyer’s worth of ` 830/ - cr. in yesterday’strading session. On derivatives front they were netsellers in index futures, while in index options theywere net buyers.

On options front 5500-5700 call option have seengood amount of bui ldup in open interest, while in putoption 5500 and 5600 strike price have seenmaximum unwinding in open interest in yesterday’s

trading session. Rollovers in NIFTY futures are at 57.83% and that of

BANKNIFTY futures are at 54.61%. We have seen good amount of short covering

followed by some long buildup in the counter ofGESHIP in past few trading sessions. The counter hasseen some long unwinding in last two tradingsession, however we have not seen much of volumein cash market segment while the stock going down.Hence we recommend to buy on dips at around` 245-248 levels with the target price of ` 274 andstop loss at ` 233.

Historical Volatility

SCRIP HV

VIJAYABANK 55.80

MCDOWELL-N 98.71

GMRINFRA 91.29

SYNDIBANK 64.16

DCB 64.13

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

VIPIND 2561250 -37.01 111.10 -10.98

3IINFOTECH 6016000 -24.19 1 8.70 -9.44

SOUTHBANK 10140000 -23.53 26.85 -3.76

BOMDYEING 534000 -22.50 458.65 -3.32

OIL 137000 -22.27 1305.75 -0.05



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 22-Feb-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES 6881.00 7227.98 (346.98) 802087 22164.72 21.59

INDEXOPTIONS 18331.01 17687.27 643.74 1867790 51403.51 4.59

STOCKFUTURES 9859.25 10555.34 (696.08) 1096786 32719.63 -0.46

STOCKOPTIONS 151.82 163.70 (11.88) 60367 1771.67 -1.89

TOTAL 35223.09 35634.29 (411.21) 3827030 108059.53 6.05

Turnover on 22-Feb-2012

Instrument No. ofContracts

Turnover(Rs. in cr.)

Change(%)

INDEXFUTURES 918957 24698.93 28.07

INDEXOPTIONS 5312176 147922.69 60.14

STOCKFUTURES 1449197 43918.08 21.81

STOCKOPTIONS 255681 7873.02 36.58

TOTAL 7936011 224412.72 46.22

Nifty Spot = 5505.35 Lot Size = 50

Bull- Call Spreads Bear-Put Spreads

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

Buy 5500 40.60 35.65 64.35 5535.65Buy 5500 23.75 19.70 80.30 5480.30

Sell 5600 4.95 Sell 5400 4.05Buy 5500 40.60 39.85 160.15 5539.85

Buy 5500 23.75 22.75 177.25 5477.25Sell 5700 0.75 Sell 5300 1.00Buy 5600 4.95 4.20 95.80 5604.20

Buy 5400 4.05 3.05 96.95 5396.95

Sell 5700 0.75 Sell 5300 1.00

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



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

30-01-2012 NIFTY Long Call Ladder Open

06-02-2012 SBIN Short Strangle Open

13-02-2012 ICICIBANK Ratio Call Spread Open21-02-2012 M&M Bull Call Spread Open

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Derivative Research Team

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Derivatives Report 23rd February 2012