Derivatives Report 10th February 2012

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Derivative ReportIndia Research

Feb 10, 2012

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 2.50% whileMinifty futures open interest increased by 6.77% as

market closed at 5412.35 levels.

The Nifty Feb. future closed at a Premium of 24.70 point

against a Premium of 20.55 points. The March Seriesclosed at a Premium of 54.25 points.

The Implied Volatility of at the money options is

decreased from 21.64% to 19.80%.

The PCR-OI has being increased from 1.41 to 1.45

points.

The total OI of the market is `1,36,375.9/-cr. and the

stock futures OI are `33,220/-cr. Few of the liquid counters where we have seen high cost-

of-carry are ABGSHIP, JSWISPAT, JPPOWER,TATAPOWERand APIL.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

DHANBANK 4828000 45.25 67.50 16.98

TATAGLOBAL 8940000 41.63 123.05 4.50

BHUSANSTL 592000 38.97 397.05 9.11

HOTELEELA 2912000 36.33 39.20 11.36

TATACOFFEE 373250 35.97 866.80 3.62

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.45 1.13

BANKNIFTY 1.74 1.14

SBIN 0.84 0.45

RELIANCE 0.93 0.73

ICICIBANK 0.85 0.53

View

FII’s continue to buy in cash market segment; theywere net buyers worth of `1200/- cr. On derivativesfront they were net sellers in index futures while inindex options they were net buyers.

On options front 5400 call option have seen someunwinding, while in put option 4900 and 5200 strikeprice have seen unwinding in open interest and 5300and 5400 put option have seen continuous buildupof open interest in yesterday’s trading session.

In recent past we have seen good amount of openinterest getting buildup in the counter of BIOCONand we believe it is a blend of long and shortposition getting buildup in this stock. In last fewtrading session we have seen some long position inthis stock and we can also see some short coveringrally in this counter which could take the counter to`318. Hence go long with the stop loss of `276.

Historical Volatility

SCRIP HV

DHANBANK 99.48

BHUSANSTL 60.71

HOTELEELA 79.49

HCC 86.29

JSWSTEEL 67.63

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

INDIANB 358000 -18.08 241.60 0.46

VIPIND 2627500 -14.73 120.40 2.08

PATNI 210000 -14.29 470.65 0.15

ORIENTBANK 842000 -13.37 298.15 -0.40

BAJAJHLDNG 70000 -13.04 753.00 1.94



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 10-Feb-2012

Detail Buy Sell Net

Open Interest

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

INDEXFUTURES

1787.95 1845.50 (57.54) 571584 15466.98 0.90

INDEXOPTIONS

14334.10 14084.01 250.09 1500589 40595.69 1.96

STOCK

FUTURES1919.52 2178.69 (259.17) 1040861 30347.32 2.20

STOCK

OPTIONS670.35 701.09 (30.74) 56707 1619.16 4.99

Total 18711.92 18809.28 (97.36) 3169741 88029.15 1.90

Turnover on 10-Feb-2012

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

INDEX

FUTURES480034 12145.27 -15.22

INDEX

OPTIONS2842171 76248.08 -9.34

STOCKFUTURES

621380 17976.66 -0.15

STOCKOPTIONS

194393 5849.45 4.25

Total 4137978 112219.47 -8.05

Nifty Spot = 5412.35 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5500 54.2030.40 69.60 5530.40

Buy 5400 68.8030.20 69.80 5369.80

Sell 5600 23.80 Sell 5300 38.60

Buy 5500 54.2045.60 154.40 5545.60

Buy 5400 68.8048.00 152.00 5352.00

Sell 5700 8.60 Sell 5200 20.80

Buy 5600 23.8015.20 84.80 5615.20

Buy 5300 38.6017.80 82.20 5282.20

Sell 5700 8.60 Sell 5200 20.80

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

30-01-2012 NIFTY Long Call Ladder Open

06-02-2012 SBIN Short Strangle Open

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Derivatives Report 10th February 2012

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