Derivative Report

Mar 25, 2013

Comments
The Nifty futures open interest decreased by 0.03% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.57% as market closed at 5651.35 levels.
The Nifty Mar. future closed at premium of 17.05 point

against a premium of 5.70 points. The Apr. series closed at a premium of 55.25 points.
The Implied Volatility of at the money options is

decreased from 15.63% to 14.39%.

Nifty PCR-OI has decreased from 0.83 to 0.82 levels. The total OI of the market is Rs.1,54,863/- cr. and the

stock futures OI are Rs.28,714/- cr.

Few of the liquid counters where we have seen high

rollovers are WELCORP, MCLEODRUSS, MCDOWELL-N, BHARATFORG and BHEL. View OI Gainers
SCRIP ARVIND JSWENERGY SUNTV ADANIPORTS HINDUNILVR OI 5888000 8416000 1766000 3100000 5997000 OI CHANGE (%) 16.36 12.15 11.98 11.75 10.97 PRICE 75.40 51.95 387.65 124.10 459.10 PRICE CHANGE (%) -1.11 1.46 0.73 -2.09 0.03 FIIs were net sellers in cash market segment;

however the quantum of selling was quite low, they were net sellers worth of `14/- cr. only. On derivatives front some more short buildup was seen by them in both index futures and in index options. However some short covering was seen by them in stock futures in Fridays trade.
On options front 5700 call option and 5600 put

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

option has seen maximum buildup in open interest since the overall IVs have decreased most of this buildup could be on the shorter side. Good amount of unwinding was observed in 6000-6100 call option and 5800 put option which was much of long unwinding in Fridays trading session.
Rollover in NIFTY future and in BANKNIFTY future is

in line at 26% and 16% respectively.

ALBK RENUKA VOLTAS GVKPIL ZEEL

4342000 52184000 7676000 34560000 5770000

-10.73 -7.57 -7.38 -7.30 -6.97

129.55 22.30 76.25 9.40 206.00

4.05 -1.32 0.46 -5.05 2.57

The counter of AXISBANK has seen good amount of short buildup in last few trading sessions. The counter has some support at around `1300 odd levels and hence can expect some short covering bounce in it. However we dont expect major trend reversal in this stock but minor pullback due to short covering can be seen in this counter. Hence we recommend to go long with the target price of `1340 and stop loss at `1280. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.82 0.64 0.57 0.39 0.86 PCR-VOL 0.88 0.69 0.77 0.62 1.03

SCRIP FEDERALBNK DISHTV DIVISLAB OFSS AMBUJACEM

HV 24.76 42.31 32.47 41.14 42.97

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Derivative Report
Mar 25, 2013

FII Statistics for 22-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10989.80 58845.28 24939.49 3066.87 97841.44 Change (%) 5.07 1.87 (0.10) 3.64 1.76

Turnover on 22-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2063.80

2379.99

(316.18) (63.43) 149.74 (105.48) (335.35)

387751 2083736 888263 112971 3472721

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,74,058 49,85,965 6,72,521 3,62,799 63,95,343

10615.50 143111.19 19143.86 10440.61 183311.16

-27.46 -27.56 -11.56 -21.82 -25.85

22204.42 22267.85 3693.34 1625.09 3543.60 1730.57

29586.66 29922.01

Nifty Spot =5651.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 27.65 6.45 27.65 1.80 6.45 1.80 4.65 95.35 5804.65 25.85 174.15 5725.85 Risk 21.20 Reward 78.80 BEP 5721.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 20.30 5.10 20.30 1.20 5.10 1.20 3.90 96.10 5496.10 19.10 180.90 5580.90 Risk 15.20 Reward 84.80 BEP 5584.80

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

Nifty Put-Call Analysis

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Derivative Report
Mar 25, 2013

Strategy Date 05-Mar-2013 11-Mar-2013 18-March-2013

Symbol TATASTEEL HINDUNILVR RELIANCE

Strategy Ratio Call Spread Bull Call Spread Long Put Ladder

Status Exited with minor loss on 22-Mar-13 Profit booked on 18-Mar-13 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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