Derivative Report

Feb 07, 2013

Comments
The Nifty futures open interest decreased by 0.41% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.29% as market closed at 5959.20 levels.
The Nifty Feb. future closed at premium of 13.77 point

against a premium of 17.55 points. The Mar. series closed at a premium of 44.95 points.
The Implied Volatility of at the money options is

decreased from 12.85% to 12.65%.

Nifty PCR-OI has decreased from 0.96 to 0.95 levels. The total OI of the market is Rs.1,23,107/- cr. and the

stock futures OI are Rs.33,687/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, GSPL, PNB, GVKPIL and JPPOWER. View OI Gainers
SCRIP NTPC PFC JUBLFOOD BHUSANSTL KOTAKBANK OI 21276000 6676000 1099000 377952 2341500 OI CHANGE (%) 40.23 33.31 32.85 19.61 19.10 PRICE 151.80 221.85 1134.55 463.60 695.15 PRICE CHANGE (%) -1.87 4.54 8.55 1.30 2.07 FIIs were net buyers in cash market segment; they

were net buyers worth of `1,138/- cr. On derivatives front long unwinding was observed by them in index futures, while in index options and stock futures they continue to form long buildup in yesterdays trading session also.
On options front good amount of buildup was

observed in 6100-6200 call option, while in put option 5700 strike price saw maximum buildup in open interest in yesterdays trade.
LT has seen good amount of short positions getting

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

SESAGOA CANBK BAJAJ-AUTO INDUSINDBK INDIACEM

8572000 2212000 800625 1784000 6640000

-10.13 -6.90 -4.74 -4.03 -3.99

179.15 466.60 2081.80 429.50 88.20

0.67 2.75 -0.89 -0.66 2.37

buildup since last few trading sessions and the counter is also bit heavy in terms of open interest. 1500 put option has now highest buildup in open interest and with IVs coming down most of this buildup could be on the shorter side. Hence we feel around `1500 the counter could see taking some support and can see short covering bounce from that level. Go long at around `1510-1520 levels with the stop loss of `1480 and target at `1574.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.95 1.05 0.62 0.34 0.34 PCR-VOL 0.80 0.79 0.61 0.44 0.62

Historical Volatility
SCRIP MCLEODRUSS JUBLFOOD SAIL COALINDIA KOTAKBANK HV 29.78 75.08 38.08 21.86 21.67

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Derivative Report
Feb 07, 2013

FII Statistics for 06-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8067.65 41027.50 31203.83 2191.97 82490.96 Change (%) (4.02) 3.54 0.59 12.95 1.88

Turnover on 06-February-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

554.59 6444.83 1736.86 700.65 9436.92

1118.29 5941.52 1134.59 857.15 9051.56

(563.71) 503.30 602.27 (156.50) 385.37

269020 1373271 993791 74269 2710351

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

1,64,121 15,17,672 4,11,916 2,17,253 23,10,962

4974.90 46083.82 13577.42 7254.65 71890.79

-23.82 -27.76 -5.80 -5.59 -22.21

Nifty Spot =5959.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 61.85 27.45 61.85 10.05 27.45 10.05 17.40 82.60 6217.40 51.80 148.20 6151.80 Risk 34.40 Reward 65.60 BEP 6134.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 88.30 45.85 88.30 21.25 45.85 21.25 24.60 75.40 5875.40 67.05 132.95 5932.95 Risk 42.45 Reward 57.55 BEP 5957.55

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 07, 2013

Strategy Date 04-Feb-2013

Symbol NIFTY

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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