derivatives report 23rd september 2011

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Derivative ReportIndia Research

Sep 23, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased 11.96% whileMinifty futures’ open interest decreased by 0.04% as

market closed at 4923.65 levels.

The Nifty Sep future closed at a discount of 9.75 pointagainst a premium of 8.05 points. The October Series

closed at a Premium of 9.25 points.

The Implied Volatility of at the money options is

increased from 24.69% to 30.67%.

The PCR-OI has decreased from 1.55 to 1.37 points.

The total OI of the market is `1, 41,276.40 cr. and the

stock futures OI is `30634.31cr.

Stocks where cost of carry is positive are ABGSHIP,

RUCHISOYA, TULIP, KFA, and SREINFRA .

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

PETRONET 5156000 18.97 166.85 -6.24

ITC 21566000 16.35 190.95 -3.37

BHARTIARTL 12568000 14.34 372.80 -5.20

TRIVENI 2672000 13.80 22.75 -7.71

ICICIBANK 10783000 10.81 862.35 -4.31

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.37 1.19

SBIN 0.51 0.68

BANKNIFTY 1.71 0.95

RELIANCE 0.96 0.80

INFY 0.48 1.03

View

After yesterdays fall it was obvious that FII'sparticipation would be high and indeed it was. Theysold ` 1305 crores worth of shares in cash marketsegment. Significant short positions areformed in index futures by them and index optionsthere is substantial buying.

Again the way market corrected yesterday there wasunwinding in most of the put options especially 5000put and in calls it was 4900 strike which added hugeOI. Looking at the rise in IV's and more that of call,we believe its blend of call buying and selling.

We believe market is disappointed due to not muchbeen delivered in form of quantitative easing andFED agreeing that there are serious problems ineconomy and recessions probability is quitehigh. According to us all these things were alreadyknown to market since quite some time. SGXNIFTYsuggests that market may open somewhere around4850. At these levels we suggest to square-off shortpositions if formed and form some contra long as weex ect bounce back in market.

Historical Volatility

SCRIP HV

BHARTIARTL 38.34

GODREJIND 63.61

SIEMENS 36.60

TATAGLOBAL 54.59

PETRONET 47.91

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ARVIND 2972000 -25.48 95.30 -2.90

BOMDYEING 354000 -21.85 345.00 -3.83

MAX 780000 -17.37 199.90 -4.74

CHAMBLFERT 4772000 -15.75 107.10 -2.64

MRF 35875 -14.58 6737.20 -4.20



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 22-Sep-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

3390.62 5203.78 (1,813.16) 698609 17044.84 14.68

INDEXOPTIONS

22449.81 20751.23 1,698.58 2402827 59145.31 0.04

STOCK

FUTURES2934.04 3329.86 (395.82) 1229339 29696.28 1.57

STOCK

OPTIONS564.47 570.86 (6.39) 70575 1690.75 -0.52

Total 29338.94 29855.73 (516.79) 4401350 107577.18 2.54

Turnover on 22-Sep-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 870171 20297.13 72.36

Stock Futures 670420 16692.76 20.36

Index Options 5826476 146524.12 76.61

Stock Options 189374 4809.36 42.50

Total 7556441 188323.36 68.17

Nifty Spot = 4923.65 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5000 49.2528.40 71.60 5028.40

Buy 4900 82.6532.55 67.45 4867.45

Sell 5100 20.85 Sell 4800 50.10

Buy 5000 49.2541.40 158.60 5041.40

Buy 4900 82.6553.90 146.10 4846.10

Sell 5200 7.85 Sell 4700 28.75

Buy 5100 20.8513.00 87.00 5113.00

Buy 4800 50.1021.35 78.65 4778.65

Sell 5200 7.85 Sell 4700 28.75

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

29-Aug-2011 ITC Covered Call Writing Continue

05-Sep-2011 NIFTY Ratio Put Spread Continue

12-Sep-2011 BANKNIFTY Short Straddle Continue

19-Sep-2011 IFCI Long Call Continue

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derivatives report 23rd september 2011

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