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Derivative ReportIndia Research

Oct 21, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures open interest increased by 0.75% whileMinifty futures open interest decreased by 12.16% as

market closed at 5091.90 levels.

The Nifty Oct. future closed at a Premium of 10.95 pointagainst a Premium of 10.25 points. The November

Series closed at a Premium of 27.80 points.

The Implied Volatility of at the money options isincreased from 21.85% to 23.66%.

The PCR-OI is decreased from 1.55 to 1.47. The total OI of the market is ` 1,36,793.60cr. And the

stock futures OI are `32,228.36cr. Stocks where cost of carry is positive are GVKPIL, TTML,

VIDEOIND, TATAGLOBAL, and CUMMINSIND.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

EXIDEIND 4608000 63.52 121.30 -7.69

3IINFOTECH 12032000 15.25 25.55 -2.11

ULTRACEMCO 666750 14.27 1119.05 -0.44

STER 27460000 13.65 116.30 -2.43

RAYMOND 1360000 13.62 358.00 3.13

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.47 1.01

SBIN 0.63 0.43

INFY 1.62 1.39

RELIANCE 0.73 0.72

BANKNIFTY 1.32 1.00

View

We have seen cash based selling by the FIIsyesterday; they were net sellers worth of `472/- cr.In derivatives segment we have seen fresh shortpositions buildup in Index futures while in Indexoptions they were net buyers and most of the buildupwas visible in call options.

On Options front Nifty 5000-5200 call options haveadded significant amount of open interest while input options we have seen some buildup in 4500strike price.

BANKNIFTY has witnessed unwinding in yesterdayssession, however rollovers are on the higher side justlike last month, they are around 53%. NIFTY hasseen average rollover of 36% so far.

SUZLON has been stabilizing around current levelsand has meaningful short positions standing in it. Weare witnessing stock moving towards its strongsupport of ` 35. Buy with target of ` 41 with stop lossof ` 34.

Historical Volatility

SCRIP HV

EXIDEIND 53.54

LICHSGFIN 49.73

HDFC 37.90

SREINFRA 65.16

RANBAXY 30.40

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ADANIPOWER 9122000 -20.40 85.75 0.76

PUNJLLOYD 22792000 -17.10 54.30 -1.72

SESAGOA 12248000 -11.64 209.15 -2.36

MOSERBAER 2536000 -10.70 26.10 7.63

BRFL 1388000 -10.57 276.15 -0.61

8/3/2019 Derivatives Report 21st October 2011

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8/3/2019 Derivatives Report 21st October 2011

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Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

03-10-2011 NIFTY Long Put Ladder Continue

10-10-2011 SBIN Long Call Book Profit

17-10-2011 RCOM Long Call Continue

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