Derivative Report

Feb 01, 2013

Comments
The Nifty futures open interest decreased by 30.95%

Nifty Vs OI

while BankNifty futures open interest is decreased by 27.84% as market closed at 6034.75 levels.
The Nifty Feb. future closed at premium of 32.45 point

against a premium of 39.15 points. The Mar. series closed at a premium of 64.80 points.
The Implied Volatility of at the money options is

decreased from 15.02% to 13.02%.

Nifty PCR-OI has decreased from 1.04 to 0.90 levels. The total OI of the market is Rs.92,235/- cr. and the

stock futures OI are Rs.32,355/- cr.

Few of the large cap names where we have seen high

cost-of-carry are SUZLON, GVKPIL, RCOM, GMRINFRA and RENUKA. View OI Gainers
SCRIP PUNJLLOYD OI 32672000 OI CHANGE (%) 12.38 PRICE 53.00 PRICE CHANGE (%) 7.65 FIIs continue to buy in cash market segment; they

were net buyers worth of `959/- cr. On derivatives front they were net sellers in index futures and in stock futures, while in index options they were net buyers in yesterdays trade.
On options front in new series good amount of

buildup was observed in 6100, 6200 and 6400 call option, while in put option 5600-5800 strike price saw significant amount of buildup in open interest in yesterdays trading session.
Rollover in NIFTY future was in line at 64% however

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

significant amount of reduction in open interest was observed in it, while that of BANKNIFTY future the rollover was bit on the lower side at 67% with buildup in open interest.
HINDALCO has seen significant amount of short

DABUR BHUSANSTL SRTRANSFIN INFY BANKBARODA

1246000 280416 302000 2316625 1255000

-49.27 -48.75 -47.61 -46.96 -43.73

132.70 449.10 789.80 2789.50 867.75

2.19 0.51 1.49 -0.35 3.62

buildup in last expiry and with rollover also on the higher side we feel majority of these positions has got carried forward. At around `112-113 the stock has seen taking support and have also seen some signs of short covering in yesterdays trade. We feel more short covering bounce could be seen in this stock which could take the counter to around `129. Go long with the stop loss of `112. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY RELIANCE ICICIBANK SBIN PCR-OI 0.90 1.58 0.34 0.28 0.50 PCR-VOL 1.16 0.82 0.41 0.42 0.55

SCRIP PNB WELCORP SUZLON DABUR TATAGLOBAL

HV 51.73 42.66 106.23 21.50 34.48

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Derivative Report
Feb 01, 2013

FII Statistics for 31-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7213.16 32491.56 30794.69 160.74 70660.14 Change (%) (32.44) (41.81) (16.05) (96.33) (34.82)

Turnover on 31-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3770.90

4229.17

(458.26) 1112.28 (533.82) 146.24 266.44

236419 1073991 957351 5578 2273339

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,04,179 49,63,179 13,15,076 5,38,534 73,20,968

15,269.71 151,150.19 43,300.44 17,877.44 227,597.79

51.67 35.07 32.27 33.94 35.43

15887.17 14774.89 9284.41 2185.12 9818.24 2038.87

31127.60 30861.17

Nifty Spot =6034.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 125.50 71.55 125.50 36.00 71.55 36.00 35.55 64.45 6135.55 89.50 110.50 6089.50 Risk 53.95 Reward 46.05 BEP 6053.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 59.95 32.65 59.95 17.10 32.65 17.10 15.55 84.45 5884.45 42.85 157.15 5957.15 Risk 27.30 Reward 72.70 BEP 5972.70

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 01, 2013

Strategy Date 31-Dec-2012 07-Jan-2013 14-Jan-2013 21-Jan-2013 28-Jan-2013

Symbol RELINFRA NIFTY BANKNIFTY CAIRN NIFTY

Strategy Long Call Ladder Long Put Long call Long call Long call
E-mail: research@angelbroking.com

Status No profit no loss on expiry Profit booked on 08-Jan-13 Profit booked on 15-Jan-13 Loss on expiry Loss on expiry
Website: www.angelbroking.com

Research Team Tel: 022 - 39357800

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