Derivative Report

Feb 11, 2013

Comments
The Nifty futures open interest increased by 2.55% while

Nifty Vs OI

BankNifty futures open interest is increased by 7.76% as market closed at 5903.50 levels.
The Nifty Feb. future closed at premium of 18.30 point

against a premium of 22.30 points. The Mar. series closed at a premium of 45.25 points.
The Implied Volatility of at the money options is

increased from 13.12% to 13.79%.

Nifty PCR-OI has increased from 0.97 to 0.98 levels. The total OI of the market is Rs.1,32,645/- cr. and the

stock futures OI are Rs.33,861/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, NHPC, SUZLON, GVKPIL and PNB.

View OI Gainers
SCRIP CANBK BANKBARODA INDUSINDBK ASHOKLEY IRB OI 2447000 2451000 1972000 17082000 18368000 OI CHANGE (%) 11.84 11.43 9.31 9.02 9.01 PRICE 446.05 768.25 424.80 23.70 120.35 PRICE CHANGE (%) -2.61 -0.59 -1.47 -4.61 -1.19 Despite of a sharp fall seen in last half hour of trade

in Fridays trading session FIIs were seen net buyers in cash market segment worth of `1,491/- cr. On derivatives front long unwinding was observed in inbdex futures, while in index options and stock futures long buildup was seen in Fridays trade.
On options front 5900-6000 call option has seen

good amount of buildup in open interest. While in put option 5600, 5800 and 5900 strike has seen maximum buildup, followed by some unwinding in 5700 and 6000 put option in Fridays trading session.
The recent fall in HCLTECH was mainly due to long

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

EXIDEIND GODREJIND SESAGOA APOLLOTYRE MARUTI

4538000 979000 7314000 9116000 2036500

-14.47 -12.67 -8.44 -8.22 -6.66

129.50 312.55 169.85 86.40 1587.70

5.66 1.52 -2.72 0.87 -2.02

unwinding. The counter in Fridays trade has seen good amount of long buildup with increase in CoC, Hence we feel the stock could resume its uptrend and can see more fresh long positions in it which could take the counter to around `710. Go long at around `672-676 levels with the stop loss of `656.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.98 1.06 0.57 0.33 0.28 PCR-VOL 0.94 0.60 0.54 0.35 0.42

Historical Volatility
SCRIP ASHOKLEY AMBUJACEM ACC EXIDEIND TCS HV 35.06 41.95 25.29 45.99 23.03

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Derivative Report
Feb 11, 2013

FII Statistics for 08-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7647.22 45072.11 31026.11 2572.60 86318.03 Change (%) (3.52) 2.88 0.13 8.86 1.47

Turnover on 08- February-2013

No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1039.71 9663.91 1542.57 1014.49

1340.51 8715.01 1262.55 1023.87

(300.80) 948.90 280.02 (9.38) 918.74

257017 1523220 1006100 87772 2874109

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,35,657 22,25,580 4,46,160 2,70,674 31,78,071

7074.24 67006.41 14632.17 8907.22 97620.04

-10.68 -9.99 1.63 9.46 -6.94

13260.69 12341.95

Nifty Spot =5903.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 85.40 41.45 85.40 16.30 41.45 16.30 25.15 74.85 6025.15 69.10 130.90 5969.10 Risk 43.95 Reward 56.05 BEP 5943.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 64.55 31.75 64.55 13.85 31.75 13.85 17.90 82.10 5782.10 50.70 149.30 5849.30 Risk 32.80 Reward 67.20 BEP 5867.20

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

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Derivative Report
Feb 11, 2013

Strategy Date 04-Feb-2013

Symbol NIFTY

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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