Mar At Hi List

Weekly Derivatives Snapshot 28th November 2009

INDICES Snapshot Underlying BANKNIFTY CNXIT NFTYMCAP50 NIFTY FUTURES - LTP BANKNIFTY CNXIT NFTYMCAP50 NIFTY OPEN INTEREST BANKNIFTY CNXIT NFTYMCAP50 NIFTY -

This week

Prev. week

Change

%Chg

8945.05 5262.50 2479.60 4941.75 -

9219.05 5463.55 2548.30 5052.45 -

-274.00 -201.05 -68.70 -110.70 -

-2.97 -3.68 -2.70 -2.19 -

8939.55 5271.20 2423.00 4946.30 -

9233.00 5467.00 0.00 5071.05 -

-293.45 -195.80 2423.00 -124.75 -

-3.18 -3.58 0.00 -2.46 -

1311450 15500 22200 26665100 -

1157350 26600 20700 30615350 -

154100 -11100 1500 -3950250 -

13.31 -41.73 7.25 -12.90 -

OPEN INTEREST Position (Amount in Cr.) This week

Prev week

Change

% Change

Index Futures

14746.42

17221.05

-2474.63

-14.37

Index Options

43353.87

62984.57

-19630.70

-31.17

Stock Futures

27688.63

32362.76

-4674.13

-14.44

stock Options

2142.88

6050.65

-3907.77

-64.58

87931.80

118619.03

-30687.23

-25.87

Total

NIFTY PUT CALL RATIO (OI) This week

Prev. week

% Change

Call OI

752162

968053

-22.3

Put OI

1001292

1519101

-34.09

1.33

1.57

-15.29

PCR (OI)

Source NSE

F & O Last Week The week gone-by was ‘Negative’ for markets. It was an ‘expiry’ week for NOV series. However, the Week began on a ‘firm’ note. Benchmark NIFTY registered moderate ‘gains’ on 1st day of the week. Next two sessions were ‘Index-neutrals’ with NIFTY losing mildly in one session and regaining all these losses in the next session. An ‘Expiry’ day had it’s usual jitters and ‘negative’ global cues added fuel to fire. NIFTY registered significant losses on that day and NOV series closed on a ‘nervous’ note. Start to the new series on Friday too was ‘shaky’, however markets recovered in the later-half of Friday’s session, on the back of ‘value-buying at lower levels. On weekly basis NIFTY(spot) registered significant ‘losses’ of 111 points and closed 2.19% lower at 4941.75. CNX NIFTY DEC FUTURE too, registered significant ‘losses’ of 125 points and closed 2.46% lower at 4946.30. NIFTY DEC FUTURE ‘Premium’ shrinked to ‘4’ points from that of ‘14’ points earlier to the spot, at the end of previous week. CNX NIFTY NOV FUTURE closed the series (on Thursday 26th NOV 2009) at 5005.55 as against 4750.25 of OCT series – ‘GAINS’ of 255.05 points (5.37%).

Action on FRIDAY 27 NOV 09. New series started on a ‘nervous’ note. Benchmark NIFTY opened ‘sharply lower’ on the back of extremely ‘negative’ global cues and continued falling further. This attracted bargain-buying at ‘Lows’ of the day in the post-noon trade. ‘Smart-recovery’ then materialized, which lifted NIFTY by about 144 points from the day’s Low. At the end, market ended in ‘red’ with moderate losses. NIFTY ended the session with ‘losses’ of 64 points and closed 1.27% lower at 4941.75. CNX NIFTY DEC FUTURE too registered moderate ‘losses’ of 46 points to close 0.93% lower at 4946.30. NIFTY FUTURES DEC closed at a ‘Premium’ of 4 points to the spot. Volumes in F&O were much lower that Thursday with Total Turnover falling to Rs.96,075 crs. v/s.Rs.1,37,130 crs. in previous trading session. Top ‘gainers’ in the F&O were, SUZLON, TATA COMM, RANBAXY and UNITECH, while Top ‘losers’ in the F&O were ABAN, IVRCL INFRA, BOB and SIEMENS.

Outlook for coming Week Markets were ‘nervous’ in the week gone-by and witnessed usual ‘unwinding’ pressures in an ‘expiry week’ being a heavy series. Choppy global markets added to the market’s woes. FIIs were aggressive ‘Sellers’ in CASH segment and sold stocks worth Rs.1458 crs (as per provisional figs) over the week. Interestingly, they were ‘net Buyers’ in F&O segment. New series once again has started on a ‘heavy’ note, with outstanding Leveraged’ position of about Rs.82.1 K crs in comparison to that of Rs.79 K crs at the beginning of previous series. This could be a ‘big’ cause of concern and may impact ‘Market Trend’ in the near term. Mild Build-up of ‘Long’ positions was observed on INDEX OPTIONS through ‘PUT-writing’ at little Lower strikes. Markets have shed substantial weight now in last two trading sessions. Indices now have slipped almost to a comfortable zone for ‘buying’ to emerge. With no immediate ‘triggers’ in domestic markets, Institutional activity (FIIs action) and Global cues will decide the trend in markets in the coming week. ‘Weak U.S. dollars was one of the main driver for ‘rally’ in domestic markets in the recent past. As such, rise in ‘dollar index’ may trigger ‘unwinding’ of dollar-carry trades. NIFTY may find ‘Support’ in the range 4850~4800. On the Higher side 5180~5200 levels remain as a ‘stiff’ hurdle’ for NIFTY for the week. Contd...

NIFTY FUTURES ExpiryDate

ClosePrice 27/11/2009 SPOT 4941.75 NIFTY-FUT 26/11/2009* 5005.30 NIFTY-FUT 31/12/2009 4946.30 NIFTY-FUT 28/01/2010 4953.85 NIFTY-FUT 25/02/2010 4960.50 * Series Expired on Thurs. Nov.26,2009

Prv.ClosePrice 20/11/2009 5052.45 5066.25 5071.05 5081.35 --

Diff -110.70 -60.95 -124.75 -127.50 --

OIShares 27/11/2009

Prv.OI-Shares 20/11/2009

OI Diff- shares

OI Diff- %

26112950 543400 8750

8005600 177300 --

18107350 366100 --

226.18 206.49 --

NIFTY Highlights- for the Week „

Overall leveraged position in F&O now at Rs.87,932 crs. post day 1 of DEC series as against Rs. 83,267 crs post day 1 of NOV series.

„

NIFTY NOV FUTURES closed the series at 5005.30 as against 4750.25 of OCT series – ‘GAINS’ of 255.05 points (5.37%)

„

NIFTY DEC FUTURES closed the week at a ‘Premium’ of 4 points vis-à-vis ‘Premium’ of 19 points in the previous week

„

NIFTY OI at the end of day 1 of NOV series now stand at Rs.56,503 crs. as against Rs. 52,785 crs post day 1 of NOV series.

„

NIFTY FUTURES OI is now at Rs.13,177 crs and NIFTY OPTIONS OI now stands at Rs.49,326 cr.

„

NIFTY OI PCR fell by about 15.3% to 1.33 vis-à-vis at 1.57 in the last week.

„

NIFTY 4800 PUTs DEC added 10.29 L shares to OI; NIFTY 4700 PUTs NOV added 9.64 L shares to OI.

„

NIFTY 5000 CALLs DEC added 8.10 L shares to OI; NIFTY 5100 CALLs NOV shed 7.10 L shares from OI.

Cost of Carry (CoC) „

NIFTY FUTURES DEC -‘Cost of Carry’ is at ‘+2.59’.

„

Highest CoC: ACC, PANTLOON, BOB and SBI.

Implied Volatility „

NIFTY 5200 DEC CALL -IV is at 23.04 % (HV: 26.79%) and NIFTY 5200 DEC PUT IV at 29.54%.

Roll-Over ƒ Market-wide Roll-over picked up on ‘expiry’ day and was around 84% like last series ; ƒ NIFTY Roll-over was much lower, around 70% as against 74% in last series. ƒ Highest Roll-over seen in GTL(98%); GTL INFRA(94%); GMR INFRA(94%); IND. HOTEL(93%); CAIRNS (93%) and VOLTAS(92%). ƒ Lowest Roll-over seen in SUN TV(54%); DABUR(58%); GAIL (61%); LUPIN(61%); LUPIN(4%); and YES BANK (68%). Other Highlights of the week: „

FIIs were Net Buyers for Rs.782 crs in F&O during the week, with their Net OI, in Index (Futures and Options) now stand at 17,92,039 contracts and at 7,46,101 contracts. in Stocks (Futures and Options).

„

Leveraged Positions in STOCKS (Fut.+Options) stands at Rs.29,831 post day 1 of DEC series.(It was Rs. 28,755 crs. D-1 of NOV series)

„

Stock Futures ‘Open Interest’ stand at 127.83 cr shares at the end of day 1 of DEC series (It was 130.22 cr shares. D-1 of NOV. series).

FII's Derivative Statistics for Week ending 27/Nov/2009

FII

No. of Contr.

Open Interest as on 27/Nov/2009

Sell

Buy Amt in Crs.

No. of Contr.

Open Interest as on 20/Nov/2009

Amt in Crs.

No. of Contr.

Amt in Crs.

No. of Contr.

Amt in Crs.

542227

13772.86

Change in FIIs Open Interest

No. of Contr.

Amt in Crs.

INDEX FUTURES

99167

2455.32

127345

3225.09

561961

14552.80

-19734

-779.94

INDEX OPTIONS

283019

6714.87

259650

6281.74 1249812

30881.29 1507828

38114.98

-258016

-7233.69

STOCK FUTURES

50076

1604.63

42326

1438.86

735107

22757.33

807675

25740.92

-72568

-2983.59

STOCK OPTIONS

1177

35.41

806

22.19

10994

355.31

41199

1299.81

-30205

-944.50

Cash Market

1449.17

2506.35

DII

2394.92

1696.25

Source NSE

Contd...

Week ativ es Snapsho eeklly Deriv Derivativ atives Snapshott

2

OPEN INTEREST AS A PERCENTAGE OF MARKETWIDE POSITIONS Scrip

% OI

Scrip

ABAN ABB ABIRLANUVO ACC ALBK AMBUJACEM ANDHRABANK APIL ASHOKLEY ASIANPAINT AUROPHARMA AXISBANK BAJAJ-AUTO BAJAJHIND BALRAMCHIN BANKBARODA BANKINDIA BEL BEML BHARATFORG BHARTIARTL BHEL BHUSANSTL BIOCON BOSCHLTD BPCL BRFL CAIRN CANBK CENTURYTEX CESC CHAMBLFERT CHENNPETRO CIPLA COLPAL CONCOR CROMPGREAV CUMMINSIND DABUR DCHL DENABANK DISHTV DIVISLAB DLF DRREDDY EDUCOMP EKC ESSAROIL FEDERALBNK FINANTECH FSL GAIL GESHIP GLAXO GMRINFRA GRASIM GSPL GTL GTLINFRA

77.78 6.83 16.6 8.18 8.5 11.95 2.23 13.25 5.2 0.03 30.29 6.37 2.36 51.23 51.88 7.69 5.44 5.72 2.94 12.98 11.14 7.13 13.3 15.01 0.09 5.77 48.53 11.51 6.16 27.95 4.94 21.56 14.63 6.39 2.25 0.01 0.83 0.86 1.7 25.29 33.81 51.58 5.89 19.51 2.4 25.03 32.4 61.85 3.02 9.87 38.82 2.37 8.5 0.95 16.36 9.75 15.15 48.85 42.79

GTOFFSHORE GVKPIL HCC HCLTECH HDFC HDFCBANK HDIL HEROHONDA HINDALCO HINDPETRO HINDUNILVR HINDZINC HOTELEELA IBREALEST ICICIBANK ICSA IDBI IDEA IDFC IFCI INDHOTEL INDIACEM INDIAINFO INDIANB INFOSYSTCH IOB IOC ISPATIND ITC IVRCLINFRA JINDALSAW JINDALSTEL JPASSOCIAT JPHYDRO JSWSTEEL KFA KOTAKBANK KSOILS LICHSGFIN LITL LT LUPIN M&M MARUTI MCDOWELL-N MLL MOSERBAER MPHASIS MRPL MTNL NAGARCONST NAGARFERT NATIONALUM NEYVELILIG NOIDATOLL NTPC OFSS ONGC OPTOCIRCUI

Nilesh Kulkarni Market Strategist Week ativ es Snapsho eeklly Deriv Derivativ atives Snapshott

% OI 17.39 17.62 13.08 2.92 3.88 3.65 24.63 12.72 15.35 10.25 6.88 0.76 12.4 13.06 10 26.72 17.26 11.18 5.84 64.6 8.25 38.13 18.39 10.81 3.88 3.92 2.93 62.15 1.33 12.67 37.65 9.64 7.98 28.68 10.69 84.87 5.18 34.64 9.48 9.09 4.25 4.41 7.11 6.91 3.73 28.15 15.98 28.57 12.3 22.69 3.56 26.55 6.41 10.49 29.67 8.18 14.81 2.13 5.19

Scrip

% OI

Scrip

ORCHIDCHEM ORIENTBANK PANTALOONR PATELENG PATNI PETRONET PFC PIRHEALTH PNB POLARIS POWERGRID PRAJIND PTC PUNJLLOYD RANBAXY RCOM RECLTD RELCAPITAL RELIANCE RELINFRA RELMEDIA RENUKA RNRL ROLTA RPOWER SAIL SBIN SCI SESAGOA SIEMENS SINTEX STER STERLINBIO SUNPHARMA SUNTV SUZLON SYNDIBANK TATACHEM TATACOMM TATAMOTORS TATAPOWER TATASTEEL TATATEA TCS TECHM TITAN TRIVENI TTML TULIP TV-18 UCOBANK ULTRACEMCO UNIONBANK UNIPHOS UNITECH VIJAYABANK VOLTAS WELGUJ WIPRO

43.93 3.94 10.05 11.83 23.09 9.09 4.8 0.49 11 12.72 15.36 25.99 10.41 17.2 10.75 18.38 3.25 20.31 7.8 16.08 46.32 21.82 23.98 16.48 29.34 6 8.19 6.09 16.28 3.55 3.1 8.96 7.85 2.96 1.16 47.38 6.39 2.73 9.33 30.99 5.7 10.44 11.66 4.55 21.81 1.96 31.94 26.73 6.19 42.05 16.14 5.84 3.2 2.03 23.41 27.74 4.03 73.95 3.95

YESBANK ZEEL

% OI 5.57 2.53

Bhavin Y Mehta Technical Analyst 3

Reliance Securities Limited: 2nd Floor, Parijat House, Manjrekar Lane, 1076, Off Dr. E. Moses Road, Acharya Atre Chowk, Near Worli Naka, Worli, Mumbai - 400018 Tel.: 91-22-42171234 Equities: Trading through Reliance Securities Limited | NSE SEBI Registration Number Capital Market :- INB 231234833 | BSE SEBI Registration Number Capital Market :- INB 011234839 | NSE SEBI Registration Number Derivatives :- INF 231234833 DISCLAIMER: This report is for private circulation only, and not for sale. Reliance Securities Limited or any of its affiliate companies (collectively referred to as "RELIANCE SECURITIES LIMITED ") do not guarantee the accuracy or correctness of the information provided in this report or that any forecasts or projections made in this report will be realised. The information set out in this report has been prepared by the author based upon information available to him and/or made available to him and/or from information available in the public domain. No independent verification has been made of such information or sources. This report is for information purposes only. It has not been prepared with regard to the specific investment objectives, financial situations and/or particular needs of any specific person who may receive this report. Investors should seek advice from Financial Advisors/Certified Financial Planners/Financial Experts before taking any investment decisions or acting on any investment strategies that may have been discussed or recommended in this report. No reliance may be placed for any purpose whatsoever on the information contained in this report or on its completeness. RELIANCE SECURITIES LIMITED makes no representations or warranties regarding the accuracy, completeness or reliability of any information provided in this report. RELIANCE SECURITIES LIMITED assumes no responsibility for errors or omissions in the report. Recipients should conduct their own research before acting on any information received through the report. RELIANCE SECURITIES LIMITED shall not be responsible or liable for any losses, costs, expenses, charges, including notional losses/lost opportunities incurred by a recipient as a result of acting or non acting on any information/material contained in the report. RELIANCE SECURITIES LIMITED shall not be liable to the recipient or any third party for any damages of any kind, including but not limited to, direct, indirect, incidental, consequential or punitive damages, arising from or connected with the report and its contents. This report does not constitute nor is it intended to constitute an offer to buy or sell or a solicitation to an offer to buy or sell securities or derivatives or mutual fund units or any financial products or an attempt to influence the opinion or behaviour of investors or recipients or provide any investment advice. RELIANCE SECURITIES LIMITED or their employees have or may have from time to time an outstanding position or holding in the securities or other related investments of issuers and companies mentioned herein. All information/material provided as part of the report shall be for personal use of the Recipients and not for commercial use. No Recipient shall distribute, disseminate or part with any information/material contained in the report to any person or entity whether in oral, written, electronic or digital form. RELIANCE SECURITIES LIMITED does not offer tax advice on the consequences of investment and the recipient is advised to contact an independent tax adviser for the same. This report is not to be relied upon in substitution for the exercise of independent judgment. The investments discussed or recommended in the report may not be suitable for all investors. This report was originally prepared and issued by RELIANCE SECURITIES LIMITED for distribution to their market professional and institutional investor customers. Recipients who are not market professional or institutional investor customers must make their own investment decisions based on their own specific investment objectives and financial position and using such independent professional advisors as they believe necessary. Trading in stocks, stock derivatives, and the like is inherently risky and the recipient agrees to assume complete and full responsibility for the outcomes of all trading decisions that recipient makes, including but not limited to loss of capital. The distribution of this report in certain jurisdictions may be restricted or prohibited and accordingly, persons who come into possession of this report are required to inform themselves about, and to observe, any such restrictions. This report is not directed to, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or which would subject RELIANCE SECURITIES LIMITED to any registration or licensing requirement within such jurisdiction. Any facts or figures mentioned in this report are merely indicative and the recipients should obtain correct facts and figures before making any investment decisions. Structured securities are complex instruments, typically involve a different levels of risk and are designed for sale only to sophisticated/institutional investors who are capable of understanding and taking the risks involved. Mutual fund investments are subject to market risks. Please read the offer documents carefully before investing. Past performance is not indicative of future results. RELIANCE SECURITIES LIMITED may have issued, and may in the future issue, a trading call regarding securities discussed in this report. Trading calls are short term trading opportunities based on market & technical events. Stock ratings reflect investment recommendations based on expected total return over a 1 year period. Because trading calls and stock ratings reflect different assumptions, trading calls may be different from the stock rating calls. Further, RELIANCE SECURITIES LIMITED may have issued, or may in the future issue, other reports that are inconsistent with or reach different conclusions from the conclusions presented in this report. RELIANCE SECURITIES LIMITED is under no obligation to ensure that such other reports are brought to the attention of the recipients of this report. Opinions, projections and estimates in this report solely constitute the current judgment of the author of this report as of the date of this report and do not in any way reflect the views of RELIANCE SECURITIES LIMITED, its directors, officers, or employees. Opinions, projections and estimates given in this report are subject to change without notice. RELIANCE SECURITIES LIMITED has no obligation to update, modify or amend this report or to otherwise notify a recipient thereof in the event that any opinion, estimate or projection set forth herein, changes or subsequently becomes inaccurate. This report may provide hyperlinks to other websites. Except to the extent to which the report refers to website of RELIANCE SECURITIES LIMITED, RELIANCE SECURITIES LIMITED states that it has not reviewed the linked site and takes no responsibility for the content contained in such other websites. Such hyperlinks are provided solely for the convenience and information of the recipient and the content of the linked site does not in any way form part of this report. Accessing such websites shall be at recipient's own risk. This report is specifically for residents in the territory of India. Although access may be available to recipients outside India, though not expressly granted, RELIANCE SECURITIES LIMITED shall have no legal liabilities whatsoever in any laws of any jurisdiction other than India. The report contains material, including text, graphics, which is protected by copyright and/or other intellectual property rights. All copyright and other intellectual property rights in this material are either owned by RELIANCE SECURITIES LIMITED or have been licensed to RELIANCE SECURITIES LIMITED by the owner(s) of those rights so that it can use this material as part of this report. It is expressly agreed by the recipient of the report that exclusive jurisdiction for any dispute with RELIANCE SECURITIES LIMITED resides in the courts at Mumbai and the Recipient expressly consents to the exercise of jurisdiction in the courts of Mumbai in connection with any such dispute. These terms shall be governed by and construed in accordance with the laws of India. The information contained in this report may not be transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without the prior written consent of RELIANCE SECURITIES LIMITED. Please cite source when quoting. Copyright 2009 Reliance Securities Limited. All rights reserved.

Week ativ es Snapsho eeklly Deriv Derivativ atives Snapshott

4