Derivative Report

May Jun 24, 10,2013 2013

Comments
The Nifty futures open interest increased by 1.04% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.04% as market closed at 5667.65 levels.
The Nifty Jun future closed at discount of 5.80 point

against a discount of 7.45 points. The July series closed at a premium of 11.00 points.
The Implied Volatility of at the money options has

decreased from 18.68% to 17.39%.

Nifty PCR-OI has increased from 0.87 to 0.89 levels. The total OI of the market is Rs. 1,62,582/- cr. and the

stock futures OI is Rs.31,863/- cr.

Few of the liquid counters where we have seen high cost

of carry are BHARATFORG, VOLTAS, JSWENERGY, GMRINFRA and DISHTV.

View OI Gainers
SCRIP JINDALSTEL ADANIPOWER GAIL ADANIENT IOC OI 12706000 20456000 6932000 4882000 2779000 OI CHANGE (%) 20.17 19.77 18.25 17.89 12.33 PRICE 204.45 41.15 289.65 182.80 234.90 PRICE CHANGE (%) -7.62 -1.45 -0.50 -0.27 -2.55 FIIs continue to sell in cash market segment; they

were net sellers worth of Rs.1,769/- cr. On derivatives front some long unwinding was seen by them in index futures, while in index options short buildup was seen by them in yesterdays trading session.
On options front 5600-5800 call option has seen

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

good amount of buildup in open interest followed by some unwinding in 5900 and 6000 call option, while in put option 5600 strike has seen considerable amount of buildup in open interest and 5800-5900 put option has seen some unwinding in yesterdays trade.
Rollover in NIFTY and in BANKNIFTY future is in line

at 14% and 11% respectively.

ITC has seen good amount of buildup in open

INDHOTEL KTKBANK PTC DABUR IDEA

8020000 17646000 4444000 2192000 10226000

-11.28 -9.34 -9.16 -8.59 -7.17

51.65 116.80 48.15 154.05 139.85

4.96 -16.00 -3.99 2.29 -2.20

interest since last few trading sessions. We feel majority of this buildup is on the shorter side and also the cash market volume has seen going up. Hence we feel the stock could see some downward pressure in near term which could take the counter to around `305. Go short at around `323-325 levels with the stop loss of `334. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE HINDUNILVR PCR-OI 0.89 0.78 0.51 0.50 0.60 PCR-VOL 0.87 0.80 0.74 0.51 1.13

SCRIP APOLLOTYRE SUNTV NMDC JUBLFOOD RAYMOND

HV 126.03 65.01 35.68 39.75 49.70

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Derivative Report
Jun 24, 2013

FII Statistics for 21-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13843.25 60594.40 28865.92 2206.41 105509.98 Change (%) (1.10) 2.41 0.91 3.18 1.53

Turnover on 21-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2226.68

2495.40

(268.72) (472.56) 579.07 (64.19) (226.40)

488752 2138198 1082570 85926 3795446

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,45,083 56,79,571 7,44,022 3,75,540 72,44,216

12629.05 162593.12 19644.38 10426.81 205293.37

-11.51 -3.11 13.19 6.44 -1.88

26667.14 27139.70 3184.33 1389.79 2605.26 1453.98

33467.94 33694.34

Nifty Spot =5667.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 32.10 8.55 32.10 2.45 8.55 2.45 6.10 93.90 5806.10 29.65 170.35 5729.65 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 26.60 7.60 26.60 2.75 7.60 2.75 4.85 95.15 5595.15 23.85 176.15 5676.15 Risk Reward BEP

23.55

76.45

5723.55

19.00

81.00

5681.00

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

Nifty Put-Call Analysis

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Derivative Report
Jun 24, 2013

Strategy Date 03-June-2013 10-June-2013 17-June-2013

Symbol RELIANCE NIFTY HDFC

Strategy Long call ladder Long Call Ratio Call Spread

Status Open Loss booked on 17-Jun-13 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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