Derivative Report

Aug 30, 2013

Comments The Nifty futures open interest decreased by 49.23% while BankNifty futures open interest is decreased by 34.87% as market closed at 5409.05 levels. The Nifty September future closed at premium of 6.10 point against a premium of 19.00 points. The October series closed at a premium of 38.10 points. The Implied Volatility of at the money options has decreased from 32.02% to 26.22%. Nifty PCR-OI has increased from 0.90 to 1.16 levels. The total OI of the market is Rs. 99,743/- cr. and the stock futures OI is Rs. 24,170/- cr. Few of the liquid counters where we have seen high cost of carry are RENUKA, UNITECH, DISHTV, DENABANK, IDBI.

Nifty Vs OI

OI Gainers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%) -

View FII's continue to sell in cash market segment, they were net seller worth of Rs. 248/- cr. On derivatives front they were net buyer in index futures and net seller in index options while open interest of both has decrease significantly due to expiry. In options front good amount of buildup was seen in 5100, 5300 & 5600 call options. In put options good amount of buildup was seen in 5000, 5200 & 5400 strikes, some buildup was also seen in 4500 & 5300 strikes in yesterdays trading session. Roll-over in Nifty is 51.87% and in BankNifty is on higher side at 70.24%. Market wide roll-over is also on lower side at 69.21%

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

POWERGRID UNIPHOS ITC TATAPOWER RELIANCE

5086000 5292000 18704000 6212000 6247250

-53.19 -52.52 -50.24 -49.58 -48.45

97.30 136.40 305.55 76.90 845.25

2.72 -4.75 2.35 -0.71 3.81

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.16 1.01 0.58 0.78 0.52 PCRPCR-VOL 1.08 1.03 0.61 0.67 0.31

Historical Volatility
SCRIP KOTAKBANK SESAGOA HAVELLS LUPIN CROMPGREAV INFY HV 53.94 121.03 62.19 47.29 53.81 74.73

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Derivative Report
Aug 30, 2013

FII Statistics for 29-Aug-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8952.86 40519.17 23689.71 275.32 73437.06 Change (%) (52.76) (39.55) (22.70) (93.69) (38.83)

Turnover on 29-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

7296.97

6722.08

574.89 (659.71) 1273.75 73.74 1262.67

347099 1499334 938310 8679 2793422

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

10,85,200 91,72,292 15,41,806 4,05,483 1,22,04,781

28215.36 244683.46 37438.74 10590.75 320928.31

-2.25 -13.97 -3.95 11.30 -11.29

25650.02 26309.73 8562.11 625.66 7288.35 551.92

42134.75 40872.08

Nifty Spot =5409.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 162.10 110.75 162.10 68.70 110.75 68.70 42.05 57.95 5542.05 93.40 106.60 5493.40 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 153.30 119.30 153.30 93.15 119.30 93.15 26.15 73.85 5273.85 60.15 139.85 5339.85 Risk Reward BEP

51.35

48.65

5451.35

34.00

66.00

5366.00

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

Nifty Put-Call Analysis

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Derivative Report
Aug 30, 2013

Strategy Date 2929-JulyJuly-2013 0505-AugAug-2013 1212-AugAug-2013 1919-AugAug-2013 2626-AugAug-2013

Symbol INFY SBIN LT NIFTY ICICIBANK

Strategy Long Put Long Call Ladder Long Call Ladder Short Strangle Long Call Ladder

Status Loss on expiry Close Close Loss booked Loss on expiry

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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