Derivative Report

Apr 10, 2013

Comments
The Nifty futures open interest increased by 6.70% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.30% as market closed at 5495.10 levels.
The Nifty Apr. future closed at premium of 5.75 point

against a premium of 16.05 points. The May series closed at a premium of 24.35 points.
The Implied Volatility of at the money options has

increased from 16.15% to 16.42%.

Nifty PCR-OI has increased from 0.80 to 0.83 levels. The total OI of the market is Rs. 1,29,784/- cr. and the

stock futures OI is Rs.24,859/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, JPPOWER, UNITECH, IFCI and PETRONET. View OI Gainers
SCRIP OI OI CHANGE (%) 16.19 14.25 12.18 11.02 9.96 PRICE PRICE CHANGE (%) -0.66 0.19 -1.31 -1.51 -2.17 FIIs continue to sell in cash market segment; they

HDFCBANK ULTRACEMCO HINDUNILVR ALBK TATAPOWER

8592000 1046000 5719500 4292000 5920000

620.60 1800.55 472.15 124.00 94.75

were net sellers worth of Rs.665/- cr. On derivatives front not much of activity was observed in index futures, while in index options significant amount of long buildup was seen by them and also some long buildup in stock futures was also seen by them in yesterdays trade.
On options front significant amount of buildup was

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

seen in 5200 and 5400 put option followed by some unwinding in 5700 strike price. While in call option 5500-5600 strike price has seen maximum buildup in open interest in yesterdays trading session.
STER has seen good amount of short buildup since

RECLTD PFC TATACHEM HINDPETRO VOLTAS

3002000 3756000 969000 6815000 6764000

-14.20 -9.80 -9.44 -7.79 -6.75

214.95 188.50 315.45 290.15 77.25

0.94 -1.67 1.14 -0.05 1.18

start of this expiry and is now bit heavy in terms of open interest. The counter is nearby its strong support of Rs.86-88 levels and hence we feel the stock could see some short covering bounce from current level which could take the counter to around Rs.94. Go long with the stop loss of Rs.85.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 0.83 0.76 0.73 0.57 0.61 PCR-VOL 0.89 0.79 0.80 0.84 0.54

Historical Volatility
SCRIP INFY ONGC ITC LUPIN DENABANK HV 26.53 36.10 24.20 20.81 42.86

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Derivative Report
Apr 10, 2013

FII Statistics for 09-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 1764.44 18502.51 1966.27 1796.00 24029.22 1779.28 17453.63 1250.60 1839.05 22322.55 (14.83) 1048.88 715.67 (43.05) 1706.67 396199 1736953 791126 70693 2994971 10893.74 47720.32 21968.08 1835.96 82418.10 Change (%) 3.60 6.36 1.27 5.04 4.57

Turnover on 09-April-2013
Turnover (` in cr.)

Instrument

No. of Contracts

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,91,958 44,07,142 4,93,606 3,49,156 56,41,862

10906.28 124183.36 13994.33 9963.49 159047.46

104.92 132.91 37.92 19.06 106.14

Nifty Spot =5495.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 74.50 35.15 74.50 14.10 35.15 14.10 21.05 78.95 5621.05 60.40 139.60 5560.40 Risk 39.35 Reward 60.65 BEP 5539.35

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 76.80 40.30 76.80 19.15 40.30 19.15 21.15 78.85 5378.85 57.65 142.35 5442.35 Risk 36.50 Reward 63.50 BEP 5463.50

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

Nifty Put-Call Analysis

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Derivative Report
Apr 10, 2013

Strategy Date 01-Apr-2013 08-Apr-2013

Symbol HDFCBANK RELIANCE

Strategy Bear Put Spread Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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