Derivative Report

Sept 03, 2013

Comments The Nifty futures open interest increased by 4.28% while BankNifty futures open interest is increased by 0.79% as market closed at 5550.75 levels. The Nifty September future closed at premium of 3.85 point against a discount of 15.05 points. The October series closed at a premium of 26.55 points. The Implied Volatility of at the money options has increased from 24.29% to 26.93%. Nifty PCR-OI has increased from 1.22 to 1.24 levels. The total OI of the market is Rs. 1,18,297/- cr. and the stock futures OI is Rs. 27,699/- cr. Few of the liquid counters where we have seen high cost of carry are MCLEODRUSS, UNITECH, APOLLOTYRE, RENUKA, ADANIENT.

Nifty Vs OI

OI Gainers
SCRIP MRF VOLTAS GODREJIND IDEA FEDERALBNK OI 32000 3528000 566000 10196000 924500 OI CHANGE (%) 27.36 21.49 17.18 15.31 14.07 PRICE 13582.55 68.85 242.05 156.10 248.05 PRICE CHANGE (%) 5.50 3.03 3.25 -2.14 -3.26

View FII's were net buyer in cash market segment after long time, they were net buyler worth of Rs. 476/- cr. On derivatives front overall activity in index futures was muted, where they were marginal seller with rise in open interest. In index options good amount of long buildup was seen in yesterdays trading session. In options front some buildup was seen in 5600 & 5800 call options. In put options huge amount of buildup was seen in 5500 strike, some buildup was also seen in 4700 strike in yesterdays trading session.

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

LUPIN PETRONET ARVIND FINANTECH IGL

2525000 1332000 2844000 2248000 1788000

-5.75 -5.53 -5.33 -5.11 -4.99

819.85 123.40 79.45 114.75 261.15

2.36 1.51 0.94 8.24 1.44

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.24 1.05 0.69 1.04 0.45 PCRPCR-VOL 0.95 0.79 0.43 0.73 0.36

Historical Volatility
SCRIP RENUKA JUBLFOOD CIPLA OFSS DIVISLAB INFY HV 95.72 41.76 36.41 28.37 37.81 74.73

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Derivative Report
Seot 03, 2013

FII Statistics for 02-Sept-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10278.60 48117.45 26120.14 802.01 85318.20 Change (%) 1.07 7.17 1.72 31.47 4.78

Turnover on 02-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1968.82

1987.14

(18.32) 604.62 414.60 (4.48) 996.42

386568 1737931 1012348 28756 3165603

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,27,751 27,88,651 5,40,420 2,07,673 39,64,495

11346.56 76546.83 13410.15 5344.56 106648.11

-33.85 -16.78 -33.31 -11.86 -21.18

15343.68 14739.06 2180.18 453.62 1765.59 458.10

19946.31 18949.88

Nifty Spot =5550.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 114.90 71.20 114.90 40.00 71.20 40.00 31.20 68.80 5731.20 74.90 125.10 5674.90 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 122.50 93.50 122.50 71.25 93.50 71.25 22.25 77.75 5377.75 51.25 148.75 5448.75 Risk Reward BEP

43.70

56.30

5643.70

29.00

71.00

5471.00

Note: Above mentioned Bullish or 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
Seot 03, 2013

Strategy Date 0202-SeptSept-13

Symbol NIFTY

Strategy Ratio Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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