derivatives report 19th september 2011

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Derivative ReportIndia Research

Sep 19, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest decreased 0.49% whileMinifty futures’ open interest decreased by 1.74% as

market closed at 5084.25 levels.

The Nifty Sep future closed at a premium of 3.35 pointagainst a premium of 5.50 points. The October Series

closed at a Premium of 17.45 points.

The Implied Volatility of at the money options is

decreased from 28.28% to 25.05%.

The PCR-OI has increased from 1.49 to 1.51 points.

The total OI of the market is `1, 39,065.20 cr. and the

stock futures OI is `30,217.32cr.

Stocks where cost of carry is positive are STRTECH,

NHPC, DHANBANK, SOBHA and INDIACEM.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

NATIONALUM 1604000 18.29 65.65 0.08

BHEL 3137250 18.17 1681.45 -1.87

OIL 36000 18.03 1373.25 4.94

BAJAJHLDNG 113000 14.14 742.10 -0.51

FINANTECH 955000 12.35 861.60 10.37

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.51 1.01

SBIN 0.51 0.45

BANKNIFTY 1.91 0.90

RELIANCE 1.24 0.72

INFY 0.52 0.86

View

Some cash base buying was visible by FII's on Fridayhowever the net activity in derivatives segment wasmuted despite high volumes as well as high volatility.

5000 put saw huge addition in open interest andsurprisingly this has happened despite marketcoming down from higher levels and IV's too hascome down.

MPHASIS has consolidated in the range of ` 335-345for some time now. It has seen addition of OI withpositive CoC. We suggest to go long in it around`342-344 with target price of `372 and stop loss of`331/-.

Keep eye on NATIONALUM. It has added significantopen interest with CoC turning from negative topositive. Also we have seen huge volumes in cashmarket segment.

Historical Volatility

SCRIP HV

OIL 28.99

FINANTECH 63.91

ONGC 40.40

NMDC 50.27

NTPC 34.46

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ONGC 24168000 -21.21 274.70 5.41

TECHM 376500 -14.53 650.45 2.24

GESHIP 342000 -11.17 252.80 3.16

SIEMENS 462500 -10.54 869.75 1.93

BGRENERGY 1148000 -8.16 361.20 -1.69



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 16-Sep-2011

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

2897.61 2809.24 88.37 635371 16032.57 -3.84

INDEXOPTIONS

15638.26 15326.74 311.52 2349734 59722.44 3.60

STOCK

FUTURES2531.62 2265.66 265.95 1184664 29578.43 0.79

STOCK

OPTIONS567.45 553.07 14.38 70827 1751.03 -0.33

Total 21634.93 20954.71 680.22 4240596 107084.46 1.56

Turnover on 16-Sep-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 745032 17760.22 -2.92

Stock Futures 636999 15958.43 17.24

Index Options 4377598 111753.00 16.65

Stock Options 188529 4744.28 22.81

Total 5948158 150215.92 14.17

Nifty Spot = 5084.25 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5100 86.5042.55 57.45 5142.55

Buy 5000 64.2021.50 78.50 4978.50

Sell 5200 43.95 Sell 4900 42.70

Buy 5100 86.5067.45 132.55 5167.45

Buy 5000 64.2035.10 164.90 4964.90

Sell 5300 19.05 Sell 4800 29.10

Buy 5200 43.9524.90 75.10 5224.90

Buy 4900 42.7013.60 86.40 4886.40

Sell 5300 19.05 Sell 4800 29.10

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

09-Sep-2011 BANKNIFTY Short Straddle Continue

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Derivative Research Team

Email Id : - [email protected]

derivatives report 19th september 2011

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