derivatives report 9th december 2011

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Derivative ReportIndia Research

Dec 09, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Ni fty futures’ open interest decreased by 4.89% whileMinifty futures’ open interest decreased by 7.34% as

market closed at 4943.65 levels.

The Nifty Dec. future closed at a Premium of 12.95 point

against a Premium of 23.50 points. The January Seriesclosed at a Premium of 32.35 points.

The Implied Volatility of at the money options is

increased from 24.65% to 27.16%.

The PCR-OI has decreased from 1.23 points to 1.14

points.

The total OI of the market is `1,20,982.20cr. and the

stock futures OI are `27,147.36cr. Stocks were cost of carry is positive are GITANJALI,

COREEDUTEC, UNIONBANK, ROLTA and NHPC.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

CESC 670000 20.29 241.80 -7.23

IBREALEST 10648000 18.52 52.65 -6.81

VIPIND 3401250 10.65 103.80 -9.34

LUPIN 1117500 10.64 443.95 -1.45

ASHOKLEY 22368000 9.39 25.70 -4.28

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.14 1.01

SBIN 0.88 0.87

BANKNIFTY 0.83 0.70

RELIANCE 0.66 0.75

ICICIBANK 0.47 0.61

View

FII’s were net buyers in cash market segment, but thequantum of buying was quite minimal; they were netbuyers of worth ` 26/ - cr. On Derivatives front theywere net sellers in index futures indicating some longunwinding by them, while in index options they werenet buyers.

On Options front at-the-money and out-of-themoney call options of 4900-5200 strike price haveseen some buildup in open interest, while in put

options most of the strike price have seen someunwinding but amongst them 5000-5100 put optionhave seen maximum unwinding in yesterday’strading session.

There was a significant build of long position in TCSwhich resulted a good upside in recent past. We feel`1200 could act as the resistance for this stock andcan expect some more long unwinding in thiscounter. Hence we recommend to go short with thetarget price of `1110 and stop loss at ` 1201.

Historical Volatility

SCRIP HV

NATIONALUM 49.68

DHANBANK 69.80

GMRINFRA 64.29

LT 45.63

GSPL 38.87

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

BRFL 2844000 -14.36 234.10 3.33

RCOM 21618000 -13.95 75.70 -5.73

SREINFRA 5104000 -12.60 28.30 3.47

DABUR 2174000 -12.55 97.55 1.19

INDIANB 252000 -10.95 197.95 -1.79



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 08-Dec-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

1687.71 2768.25 (1,080.55) 515868 12589.83 -6.35

INDEXOPTIONS

20221.05 20118.32 102.73 1887635 46656.92 1.94

STOCK

FUTURES1167.41 1480.81 (313.40) 1120596 25546.71 0.39

STOCK

OPTIONS455.95 456.62 (0.67) 30420 714.05 5.50

Total 23532.11 24824.00 (1,291.89) 3554519 85507.50 0.20

Turnover on 08-Dec-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 749473 17197.46 25.27

Stock Futures 500546 11548.03 1.70

Index Options 3869283 97725.73 16.98

Stock Options 155423 3677.52 22.66

Total 5274725 130148.74 16.60

Nifty Spot = 4943.65 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5000 106.6040.35 59.65 5040.35

Buy 4900 106.2032.35 67.65 4867.65

Sell 5100 66.25 Sell 4800 73.85

Buy 5000 106.6068.65 131.35 5068.65

Buy 4900 106.2054.95 145.05 4845.05

Sell 5200 37.95 Sell 4700 51.25

Buy 5100 66.2528.30 71.70 5128.30

Buy 4800 73.8522.60 77.40 4777.40

Sell 5200 37.95 Sell 4700 51.25

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

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Derivative Research Team

Email Id : - [email protected]

derivatives report 9th december 2011

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