Derivatives Report 30th Decmber 2011

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Derivative ReportIndia Research

Dec 30, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Ni fty futures open interest increased by 11.44% whileMinifty futures open interest decreased by 2.67% as

market closed at 4646.25 levels.

The Nifty Jan. future closed at a Premium of 26.85 point

against a Premium of 26.05 points. The February Seriesclosed at a Premium of 46.15 points.

The Implied Volatility of at the money options is

decreased from 30.44% to 24.65%.

The PCR-OI has being decreased from 0.88 to 0.80

points.

The total OI of the market is `1,42,079/-cr. and the

stock futures OI are `28,443/-cr. Stocks were cost of carry is positive are GVKPIL,

RUCHISOYA, TTML, GITANJALI and MTNL.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ALBK 3329000 36.66 115.45 -1.74

INDIAINFO 2468000 27.74 44.40 -5.13

TTML 29616000 25.94 11.95 -7.36

CUMMINSIND 323300 24.73 342.20 -0.18

IFCI 91720000 23.94 23.65 -6.71

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 0.80 0.80

SBIN 0.34 0.71

BANKNIFTY 0.76 0.93

RELIANCE 0.43 0.58

ICICIBANK 0.39 0.63

View

Yesterday FII’s sold significantly in cash marketsegment; they were net sellers worth of ` 1016/- cr.On Derivatives front they were net sellers in indexfutures, while in index options they were net buyers.

On Options front deep out-of-the money put optionof 4200 strike have seen some buildup in openinterest, while in call option 4600 and 4700 strikeshave seen maximum buildup in open interest.

We are seeing significant amount of short positionsgetting buildup in AXISBANK counter in Decemberseries and rollover is also quite significant at around79%. ` 780-800 level is the strong support for thestock and hence we recommend to go long on thiscounter for an upside till ` 865 on back of shortcovering and keeping stop loss at ` 778.

Historical Volatility

SCRIP HV

TTML 57.18

TULIP 55.74

SKUMARSYNF 82.34

COLPAL 24.98

PIRHEALTH 28.80

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

FSL 7500000 -41.86 5.75 -10.85

MRF 33625 -27.30 6920.25 4.64

HOTELEELA 2904000 -23.09 28.95 -1.86

HAVELLS 739000 -17.89 384.75 -0.25

TRIVENI 892000 -15.21 12.85 -5.86



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 29-Dec-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

3465.26 3570.82 (105.55) 401304 9194.21 -28.67

INDEXOPTIONS

13859.64 13366.05 493.60 908931 21081.49 -52.89

STOCK

FUTURES5096.03 5228.29 (132.26) 967025 22209.12 -19.85

STOCK

OPTIONS173.57 175.57 (1.99) 9190 243.61 -79.67

Total 22594.52 22340.72 253.80 2286450 52728.44 -38.93

Turnover on 29-Dec-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 797753 17495.68 21.79

Index Options 5701644 135673.85 15.40

Stock Futures 1048698 22327.69 23.72

Stock Options 168230 3680.61 23.04

Total 7716325 179177.83 17.13

Nifty Spot = 4646.25 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 4700 111.1541.25 58.75 4741.25

Buy 4600 96.8031.15 68.85 4568.85

Sell 4800 69.90 Sell 4500 65.65

Buy 4700 111.1570.05 129.95 4770.05

Buy 4600 96.8053.60 146.40 4546.40

Sell 4900 41.10 Sell 4400 43.20

Buy 4800 69.9028.80 71.20 4828.80

Buy 4500 65.6522.45 77.55 4477.55

Sell 4900 41.10 Sell 4400 43.20

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. 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

28-11-2011 RELINFRA Long Call Did not triggered

05-12-2011 TATAMOTORS Long Put Profit on Expiry

12-12-2011 NIFTY Short Strangle Book Profit

19-12-2011 NIFTY Long Call Did not triggered

26-12-2011 TATASTEEL Long Call Loss on Expiry

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Derivatives Report 30th Decmber 2011