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Derivative Report

Feb 28, 2013

The Nifty futures open interest increased by 4.73% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.24% as market closed at 5796.90 levels.
The Nifty Feb. future closed at premium of 1.00 point

against a premium of 5.65 points. The Mar. series closed at a premium of 28.90 points.
The Implied Volatility of at the money options is

increased from 21.49% to 24.23%.

Nifty PCR-OI has decreased from 0.83 to 0.79 levels. The total OI of the market is Rs.1,68,487/- cr. and the

stock futures OI are Rs.35,611/- cr.

Few of the large cap names where we have seen low


View OI Gainers
SCRIP HDIL GODREJIND COALINDIA M&M MARUTI OI 33252000 1148000 5436000 2676000 2412500 OI CHANGE (%) 22.29 18.35 13.75 11.08 10.51 PRICE 64.10 275.90 311.50 892.80 1408.55 PRICE CHANGE (%) 2.06 -1.07 -1.14 3.03 0.34 FIIs were net buyers in cash market; they were net

buyers worth of `106/- cr. On derivatives front not much of activity was observed by them in index futures on net basis and in index options significant amount of long unwinding was seen. While in stock futures considerable amount of long buildup and short covering was seen by them in yesterdays trade.
On options front not much of buildup was seen in

OI Losers

this series highest buildup was seen in 5800-5900 call option, while in next series good amount of buildup was seen in 5500 put option and 5800 call option. Decent amount of unwinding was also observed in 5600 and 5900 put option in yesterdays trading session.
Rollover in NIFTY and BANKNIFTY future is bit on the

lower side at 46% and 35% respectively.

BHEL has seen significant amount of short positions


3818000 16731000 3816000 75456000 435864

-18.21 -15.65 -15.50 -12.50 -12.27

224.60 22.75 96.20 32.00 462.50

3.46 0.44 1.64 4.36 0.68

getting buildup since start of this expiry and is now very much heavy in terms of open interest. Around `198-200 the counter has very strong support and hence can see short covering bounce in this stock which could take the stock to around `220. Go long in March future with the stop loss of `196. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.79 0.78 0.50 0.34 0.38 PCR-VOL 0.78 0.74 0.52 0.41 0.56


HV 103.43 37.81 27.65 27.69 52.60

Derivative Report
Feb 28, 2013

FII Statistics for 27-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 18345.34 57549.21 31410.64 3792.45 111097.65 Change (%) 6.57 0.79 1.50 3.88 2.01

Turnover on 27-February-2013
No. of Contracts Turnover (` in cr.) Change (%)




1.41 (1303.16) 1149.28 187.43 34.96

629639 1982401 1050210 131637 3793887


4,43,270 49,70,709 10,14,935 3,26,864 67,55,778

12919.84 145787.94 30492.97 10030.28 199231.03

-27.16 1.29 12.46 -6.63 -0.15

20009.90 21313.06 8356.24 1281.81 7206.96 1094.38

33888.30 33853.34

Nifty Spot =5796.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 38.15 9.15 38.15 1.80 9.15 1.80 7.35 92.65 5907.35 36.35 163.65 5836.35 Risk 29.00 Reward 71.00 BEP 5829.00

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 40.45 9.80 40.45 1.55 9.80 1.55 8.25 91.75 5691.75 38.90 161.10 5761.10 Risk 30.65 Reward 69.35 BEP 5769.35

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

Derivative Report
Feb 28, 2013

Strategy Date 04-Feb-2013 11-Feb-2013 18-Feb-2013 25-Feb-2013


Strategy Long Call Bull Call Spread Long Call Bull Call Spread

Status Open Open Open Open

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