Derivative ReportIndia Research July 12, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 1.25% while Minifty futures’ open interest decreased by 6.99% as market closed at 5616.10 levels.

The Nifty July future closed at a premium of 0.95 points, against a premium of 16.65 points in the last trading session, while the Aug futures closed at a premium of 17.50 points.

The Implied Volatility of at the money options increased from 16.80% to 18.00%.

The PCR-OI decreased from 1.25 to 1.20 points.

The total OI of the market is `123,093cr and the stock futures OI is `33,575cr.

Few liquid stocks where CoC is positive are GTLINFRA, BAJAJHLDNG, 3IINFOTECH, TRIVENI and MAX.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

BHUSANSTL 815000 17.27 431.95 -2.75

JETAIRWAYS 734000 16.60 482.55 0.29

ONMOBILE 1958000 14.91 102.15 -5.37

HINDALCO 16805000 13.05 180.05 -4.28

RAYMOND 899000 11.12 392.95 1.73

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.20 0.95

INFY 0.72 0.70

RELIANCE 0.43 0.39

SBIN 0.79 0.72

BANKNIFTY 1.43 1.01

View

FIIs continued to form short positions in the Index futures and the stock futures. They were net buyers of `433cr in the cash market segment.

Yesterday, the 5700 and 5800 call options added huge open interest and unwinding was observed in the 5900 call option and the 5600 and 5700 put options.

After some short covering buying was observed in NTPC. Now the stock is showing some weakness. CoC has also turned to negative. We may see a negative move in the counter up to `178. Traders should use the stop loss of `194.

After long build up, some unwinding was observed in CHAMBLFERT. Stock is trading around its resistance levels. We may see a negative move up to `76. Traders can trade with negative bias with a stop loss of `83.50.

Historical Volatility

SCRIP HV

CANBK 27.01

UNITECH 56.90

ONMOBILE 53.64

AXISBANK 32.53

INFY 23.60

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

FEDERALBNK 665000 -8.28 454.60 -1.29

IRB 2640000 -8.14 173.65 -1.11

ORIENTBANK 1105000 -5.72 329.65 -0.27

BANKBARODA 1296750 -5.16 877.70 -2.02

UNIONBANK 2093000 -4.99 298.25 -0.60

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For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 11-July-2011

Detail Buy Sell Net

Open Interest

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

INDEX FUTURES 1098.64 1777.12 (678.48) 465509 13049.89 3.77

INDEX OPTIONS

6089.39 5524.72 564.67 1284845 36077.23 2.82

STOCK FUTURES

912.64 1167.51 (254.87) 1108961 31224.00 0.86

STOCK OPTIONS

643.41 558.14 85.28 33857 978.03 21.90

TOTAL 8744.09 9027.49 (283.40) 2893172 81329.14 29.34

Turnover on 11-July-2011

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 333344 8834.55 -19.77

Stock Futures 361862 10488.23 -30.35

Index Options 2074976 58994.77 -17.64

Stock Options 131332 4114.30 5.60

Total 2901514 82431.85 -18.87

Nifty Spot = 5616.10 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

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

Buy 5700 50.30 25.85 74.15 5725.85 Buy 5600 79.20 34.65 65.35 5565.35

Sell 5800 24.45 Sell 5500 44.55

Buy 5700 50.30 39.40 160.60 5739.40 Buy 5600 79.20 55.45 144.55 5544.55

Sell 5900 10.90 Sell 5400 23.75

Buy 5800 24.45 13.55 86.45 5813.55

Buy 5500 44.55 20.80 79.20 5479.20

Sell 5900 10.90 Sell 5400 23.75 Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation

Nifty Put-Call Analysis

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For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

04-July-2011 NIFTY Long Call Continue

11-July-2011 RELIANCE Long Call Ladder Continue

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