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Derivative ReportMay 30, 2012

Comments

The Nifty futures open interest increased by 2.13% whileMinifty futures open interest is decreased by 0.37% as

market closed at 4990.10 levels.

The Nifty May future closed at a discount of 8.45 pointagainst a discount of 10.25 points. The June seriesclosed at a discount of 4.45 points.

The Implied Volatility of at the money options isincreased from 20.90% to 21.10%.

The PCR-OI has being increased from 1.06 to 1.08levels.

The total OI of the market is `1,36,157/-cr. and thestock futures OI are `28,635/-cr.

Few of the liquid counters where we have seen highrollovers are ABGSHIP, COREEDUTEC, PIRHEALTH,MCLEODRUSS and JSWENERGY.

Ni fty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SOUTHBANK 9458000 26.31 23.70 6.28

NAGAROIL 1782000 19.28 6.15 -0.81

HDFCBANK 14209500 16.48 504.95 -0.75

POWERGRID 13550000 15.69 107.35 0.89

HDFC 10897000 15.18 660.65 -0.52

Put-Call Ratio

SCRIP PCR-O I PCR-VOL

NIFTY 1.08 1.16

BANKNIFTY 0.77 0.86

SBIN 1.09 0.55

RELIANCE 0.43 0.37

INFY 0.47 0.37

View

FIIs were net buyers in cash market segment; theywere net buyers worth of ` 91/- cr. On derivativesfront they were net buyers in index futures indicatingsome long buildup by them, while in index optionalso they were net buyers.

On options front 4800 and 4500 put option haveseen some buildup in open interest, while in calloption most of them have seen some unwindingexcept 5100 strike price where some buildup wasobserved and 4800-4900 strike price have seenmaximum unwinding in yesterdays trading session.

The counter of INFY is very much light in terms ofopen interest indicating lot of short positions whichhas being seen since the start of the April expiry hasbeing squared off. In last 2-3 trading session thestock has seen good amount of buildup with increasein CoC. We feel majority of the buildup is on thelonger side. Hence we recommend to go long withthe target price of `2520 and stop loss at ` 2365.

Historical Volatility

SCRIP HV

SOUTHBANK 41.36

GMDCLTD 41.02

VIDEOIND 24.07

HCLTECH 29.55

AUROPHARMA 63.67

OI Losers

SCRIP OIOI

CHANGE

(%)

PRICEPRICE

CHANGE

(%)

BOMDYEING 623500 -13.16 478.35 0.63

SUZLON 96752000 -10.91 21.00 1.69

CROMPGREAV 5640000 -9.06 110.95 1.14

HDIL 28200000 -8.69 66.85 3.64

HINDUNILVR 6023000 -8.69 416.25 -0.29

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FII Statistics for 29-May-2012

Detail Buy Sell Net

Open Interest

Contracts Value Change( in cr.) (%)

INDEXFUTURES

3228.68 3012.27 216.41 599959 14346.35 3.46

INDEXOPTIONS

15730.01 15320.75 409.26 1812065 45190.86 0.77

STOCKFUTURES

6670.46 6343.77 326.70 998173 23982.29 2.19

STOCK

OPTIONS800.43 860.72 (60.29) 57272 1459.02 1.29

TOTAL 26429.58 25537.50 892.07 3467469 84978.53 1.64

Turno ver on 29-May-2012

InstrumentNo. of

Contracts

Turnover

(` in cr.)

Change

(%)

INDEX

FUTURES537755 12756.7 1.02

INDEX

OPTIONS4276103 106653.56 8.17

STOCKFUTURES

922410 22150.28 14.05

STOCKOPTIONS

228327 5869.33 1.62

TOTAL 5964595 147429.87 8.07

Nifty Spot = 4990.10 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5000 22.5019.95 80.05 5019.95

Buy 5000 40.4032.10 67.90 4967.90

Sell 5100 2.55 Sell 4900 8.30

Buy 5000 22.5021.90 178.10 5021.90

Buy 5000 40.4038.90 161.10 4961.10

Sell 5200 0.60 Sell 4800 1.50

Buy 5100 2.551.95 98.05 5101.95

Buy 4900 8.306.80 93.20 4893.20

Sell 5200 0.60 Sell 4800 1.50

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

Nifty Put-Call Analysis

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Strategy Date Symbol Strategy Status

30-04-2012 NIFTY Long Put Profit booked on 04-05-2012

07-05-2012 NIFTY Long Put Ladder Open

14-05-2012 RELIANCE Long Call Open

21-05-2012 BANKNIFTY Long Call Open

28-05-2012 BHEL Bull Call Spread Open

Derivat ive Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

Research Team Tel: 022 - 39357800 E-mai l: research@angelbroking.com Website: www.angelbroking.com

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