derivatives+report+03 may 2011

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Derivative Report

India ResearchMay 02, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 4.28% whileMinifty futures’ open interest increased by 10.24% asmarket closed at 5701.30 levels.

The Nifty May future closed at a premium of 24.10points, against a premium of 4.30 points in the lasttrading session. On the other hand, Jun future closed ata premium of 38.55 points.

The PCR-OI decreased from 1.34 to 1.18 levels.

The Implied volatility of At-the-money options decreasedfrom19.75% to 19.00%.

The total OI of the market is ` 1,14,282cr and the stockfutures OI is `33,484c r.

Few liquid counters where cost of carry is positive areGTLINFRA, KSOILS, FSL, DISHTV and ABIRLANUVO.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

IO 5034000 202.52 160.55 5.24

BANKINDIA 1444000 53.94 420.30 -8.05

ALBK 2671000 36.14 198.35 -3.29IDFC 22118000 14.27 140.05 -3.61

RAYMO ND 155000 13.97 351.00 -0.43

Put-Call Ratio

SCRIP PCR-O I PCR-VOL

NIFTY 1.18 0.86

RELIANC 0.44 0.27

INFOSYSTCH 0.31 0.21

SBIN 0.58 0.48

BANKNIFTY 1.13 0.57

View

FIIs formed short positions in the Index futures andthe Stock futures. They were net sellers of ` 261cr inthe cash segment.

In the last trading session significant build up wasobserved in most of the call options while highestunwinding was observed in the 5400 put.

After less rollover in MARUTI, some shorting wasobserved in the stock. We may see further correctionin the counter up to ` 1230. Traders can trade withnegative bias with a stop loss of ` 1305.

ADANIENT is consolidating around current levelssince 5-6 trading sessions. Some buying has beenobserved in the stock. We may see a positive moveup to ` 660. Trading with positive bias is advisable

around ` 630. Keep a stop loss of ` 617.

Historical Volatility

SCRIP HV

BANKINDIA 53.24

CANBK 37.21

SRTRANSFIN 38.05

ADANIPOWER 25.88

POWERGRID 17.89

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SAIL 8260000 -14.13 158.85 -0.28

BATAINDIA 449000 -10.38 425.80 -0.46

IGL 388000 -8.27 323.85 0.73

TVSMOTOR 6560000 -7.50 56.50 0.27

MPHASIS 699500 -7.41 470.10 0.43



Derivative Report | India Research

For Private Circulation O nly SEBI Registration No: INB 010996539 2

FII Statistics for 02-May-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES 1525.18 2443.56 (918.38) 565941 16178.73 3.82

INDEXOPTIONS 5985.54 6016.16 (30.61) 1403913 40019.57 2.29

STOCKFUTURES 1218.43 1470.51 (252.08) 1209148 30416.57 0.75

STOCKOPTIONS 177.59 185.78 (8.18) 9478 250.95 24.43

TOTAL 8906.75 10116.01 (1,209.25) 3188480 86865.82 31.29

Turnover on 02-May-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 425348 11362.18 -14.00

Stock Futures 436763 11799.43 -13.94

Index Options 2154738 62704.01 -12.25

Stock Options 83034 2269.35 -14.50

Total 3099883 88134.97 -12.77

Nifty Spot = 5701.30 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5800 77.70 34.10 65.90 5834.10Buy 5700 102.45 36.95 63.05 5663.05

Sell 5900 43.60 Sell 5600 65.50Buy 5800 77.70

56.00 144.00 5856.00Buy 5700 102.45

62.25 137.75 5637.75Sell 6000 21.70 Sell 5500 40.20Buy 5900 43.60 21.90 78.10 5921.90

Buy 5600 65.50 25.30 74.70 5574.70Sell 6000 21.70 Sell 5500 40.20

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

Nifty Put-Call Analysi



Derivative Report | India Research

For Private Circulation O nly SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

02-May-2011 BANKNIFTY Ratio Put Spread Continue

DISCLAIMER

This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investmentdecision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document shouldmake such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the

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Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, makeinvestment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in thisdocument are those of the analyst, and the company may or may not subscribe to all the views expressed within.

Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions andtrading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company'sfundamentals.

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Derivative Research Team [email protected]

derivatives+report+03 may 2011

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