Derivative Report

May 10, 16, 2013

Comments
The Nifty futures open interest increased by 11.57% while

Nifty Vs OI

BankNifty futures open interest is increased by 9.45% as market closed at 6146.75 levels.
The Nifty May future closed at premium of 14.75 point

against a premium of 10.60 points. The June series closed at a premium of 20.00 points.
The Implied Volatility of at the money options has

increased from 15.86% to 17.04%.

Nifty PCR-OI has increased from 1.19 to 1.25 levels. The total OI of the market is Rs. 1,63,941/- cr. and the

stock futures OI is Rs.33,066/- cr.

Few of the liquid counters where we have seen high cost

of carry are TATAMTRDVR, UCOBANK, PTC, GSPL and ANDHRABANK.

View OI Gainers
SCRIP TATAMTRDVR UCOBANK PTC GSPL ANDHRABANK OI 5370000 17132000 4248000 4396000 7320000 OI CHANGE (%) 48.67 34.47 23.20 15.08 13.95 PRICE 170.55 81.65 62.70 61.65 92.75 PRICE CHANGE (%) 1.03 9.35 1.28 -1.90 2.53 Yesterdays sharp bounce in our market was backed

by signifincat amount of buying observed by FIIs in cash market segment; they were net buyers worth of `1647/- cr. On derivatives front some long buildup was also seen by them in index futures and in index options.
On options front interestingly 6400 call option has

started seeing significnat amount of buildup in open interest followed by good amount of unwinding in 6000 strike which was much of short covering. While in put option 6000-6200 strikes has seen considerable amount of buildup in yesterdays trade.
BANKBARODA in line with other PSU bank has seen

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

SYNDIBANK IBREALEST FEDERALBNK IFCI ACC

5934000 14144000 917500 49240000 663500

-7.17 -6.97 -6.66 -5.12 -4.12

130.40 80.15 477.70 29.25 1229.75

4.89 6.14 4.40 -0.84 2.18

good amount of long buildup in open interest since last few trading sessions. In yesterdays trade also the stock has seen decent long buildup with increase in cost of carry. Hence we recommend to go long on dips at around `725-730 levels with the stop loss of `700 and target of `776.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY HINDUNILVR SBIN INFY PCR-OI 1.25 1.52 1.43 0.91 0.52 PCR-VOL 0.88 1.01 1.25 0.56 0.47

Historical Volatility
SCRIP KOTAKBANK IRB PNB UCOBANK VIJAYABANK HV 34.94 41.41 48.33 62.99 38.92

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Derivative Report
May 16, 2013

FII Statistics for 15-May-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16531.39 61426.02 28867.45 3560.05 110384.91 Change (%) 4.90 4.95 2.96 2.74 4.32

Turnover on 15-May-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2650.56

2404.50

246.06 343.17 (383.52) (15.98) 189.73

534261 1994160 994892 121550 3644863

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,56,533 46,97,968 5,87,855 3,51,786 60,94,142

14164.92 144288.30 17431.59 10510.79 186395.59

40.25 40.88 29.13 28.98 38.93

20679.50 20336.33 1775.30 1444.27 2158.82 1460.25

26549.63 26359.90

Nifty Spot =6146.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6200 6300 6200 6400 6300 6400 Price 64.90 30.05 64.90 11.65 30.05 11.65 18.40 81.60 6318.40 53.25 146.75 6253.25 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 59.50 34.50 59.50 19.65 34.50 19.65 14.85 85.15 5985.15 39.85 160.15 6060.15 Risk Reward BEP

34.85

65.15

6234.85

25.00

75.00

6075.00

Note: Above mentioned Bullish or Bearish Spreads in Nifty (May. Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

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Derivative Report
May 16, 2013

Strategy Date 29-Apr-2013 06-May-2013 13-May-2013

Symbol TCS DLF RELIANCE

Strategy Bull Call Spread Bull Call Spread Ratio Put Spread

Status Profit booked on 02-May-2013 Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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