Derivative Report

Jan 15, 2013

Comments
The Nifty futures open interest increased by 2.46% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.44% as market closed at 6024.05 levels.
The Nifty Jan. future closed at premium of 33.45 point

against a premium of 26.00 points. The Feb. series closed at a premium of 75.90 points.
The Implied Volatility of at the money options is

increased from 11.88% to 12.06%.

Nifty PCR-OI has increased from 1.04 to 1.07 levels. The total OI of the market is Rs.1,48,697/- cr. and the

stock futures OI are Rs.39,179/- cr.

Few of the liquid counters where we have seen high cost

of carry are ABIRLANUVO, INDHOTEL and AUROPHARMA.

GVKPIL,

GMRINFRA, View

OI Gainers
SCRIP SYNDIBANK ANDHRABANK IOB ALBK RECLTD OI 7772000 4268000 6472000 7162000 3928000 OI CHANGE (%) 40.80 22.93 16.07 15.74 12.91 PRICE 143.90 126.15 90.40 182.50 250.90 PRICE CHANGE (%) 4.96 2.50 1.84 4.79 0.58

FIIs continue to be net buyers in cash market

segment; they were net buyers worth of `611/- cr. On derivatives front long unwinding was seen by them in index futures and in stock futures some long buildup was observed by them. While in index option they were net sellers in yesterdays trade.
On options front 5900 and 6000 put option has seen

significant amount of buildup in open interest, followed by decent amount of unwinding observed in 5700 put option. While in call option 6200 strike price saw maximum buildup in open interest and 6000-6100 call option has seen considerable amount of unwinding in yesterdays trading session.
The counter of TATASTEEL has became very much

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

UNIONBANK PETRONET HCLTECH ORIENTBANK TCS

3526000 4008000 2651500 2439000 4022000

-14.17 -9.49 -8.44 -8.24 -7.53

271.70 164.90 672.80 345.20 1334.50

5.28 2.13 4.01 4.71 2.09

heavy in terms of open interest since last few trading session indicating good amount of short positions created in this stock. We feel the counter could take support at around `418-420 levels as 420 put option has highest buildup in open interest and with IVs coming down most of this buildup could be on the shorter side and simultaneously call IV has seen going up indicating long buildup seen in call option. Hence we feel the counter could see short covering bounce from current level which could take the stock to around `448. Go long at around `424-426 levels with the stop loss of `415. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN TCS PCR-OI 1.07 1.14 2.32 0.98 0.70 PCR-VOL 1.07 1.14 1.12 0.84 0.49

SCRIP DLF HCLTECH BANKINDIA ONGC HDIL

HV 43.85 27.24 38.06 37.91 51.62

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Derivative Report
Jan 15, 2013

FII Statistics for 14-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7964.31 46774.92 33434.18 3869.03 92042.45 Change (%) (0.08) 1.25 0.45 9.81 1.17

Turnover on 14-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1275.35

1367.78

(92.43) (65.07) 244.21 (144.01) (57.31)

262392 1547133 1010183 119240 2938948

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,05,779 30,20,799 5,05,343 4,98,213 43,30,134

9,076.77 91,146.54 17,464.27 17,138.88 134,826.46

11.46 12.66 -14.97 -26.33 1.49

16783.58 16848.65 2039.01 2817.73 1794.80 2961.75

22915.68 22972.98

Nifty Spot =6024.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 41.80 15.00 41.80 4.35 15.00 4.35 10.65 89.35 6210.65 37.45 162.55 6137.45 Risk 26.80 Reward 73.20 BEP 6126.80

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 39.75 17.10 39.75 7.05 17.10 7.05 10.05 89.95 5889.95 32.70 167.30 5967.30 Risk 22.65 Reward 77.35 BEP 5977.35

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

Nifty Put-Call Analysis

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Derivative Report
Jan 15, 2013

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

Symbol RELINFRA NIFTY BANKNIFTY

Strategy Long Call Ladder Long Put Long Call

Status Open Profit booked on 08-Jan-13 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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