Derivative Report

Apr 12, 2013

Comments
The Nifty futures open interest increased by 4.18% while

Nifty Vs OI

BankNifty futures open interest is increased by 4.72% as market closed at 5594.00 levels.
The Nifty Apr. future closed at premium of 0.80 point

against a premium of 5.15 points. The May series closed at a premium of 20.25 points.
The Implied Volatility of at the money options has

decreased from 16.21% to 16.17%.

Nifty PCR-OI has increased from 0.88 to 0.93 levels. The total OI of the market is Rs. 1,40,740/- cr. and the

stock futures OI is Rs.26,719/- cr.

Few of the liquid counters where we have seen high cost

of carry are GMRINFRA, UNITECH, INDIACEM, MRF and PUNJLLOYD. View OI Gainers
SCRIP OI OI CHANGE (%) 29.83 15.25 12.65 12.47 10.40 PRICE PRICE CHANGE (%) 3.44 1.07 3.88 -2.49 3.67 FIIs were net buyers in yesterdays trade, however

INFY HDFCBANK SRTRANSFIN PTC TATAMOTORS

2895750 11471000 614500 2056000 19386000

2916.70 639.25 688.50 58.40 278.15

the quantum of buying was again very less; they were net buyers worth of Rs.37/- cr. only. On derivatives front some long buildup was observed by them in all the three main segment of index futures, index options and stock futures in yesterdays trade.
On options front 5300-5600 put option has seen

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

considerable amount of buildup in open interest. While in call option 5900 strike has seen maximum buildup in open interest followed by decent amount of unwinding in 5500-5800 call option in yesterdays trading session.
Yesterdays bounce in DLF was due to short covering

WIPRO TATACHEM MRF ADANIENT INDIACEM

1257000 901000 75875 4930000 3112000

-8.01 -4.45 -3.96 -3.64 -3.35

402.95 316.55 11675.85 207.45 82.90

-0.05 -0.31 -0.23 0.80 -0.48

and also some short buildup was seen in this counter at higher levels as cost-of-carry in this stock has turned negative. 250 call option has the highest buildup in open interest and majority of this buildup is on the shorter side and hence we feel the stock could see resisitance around that level. Go short at around Rs.248-250 levels with the stop loss of Rs.258 and target of Rs.232. Historical Volatility

Put-Call Ratio
SCRIP NIFTY INFY BANKNIFTY SBIN RELIANCE PCR-OI 0.93 1.08 1.07 0.66 0.55 PCR-VOL 0.96 0.84 1.11 0.72 0.41

SCRIP LUPIN INFY TATAMTRDVR INDUSINDBK BIOCON

HV 26.61 30.96 37.32 36.98 40.43

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Derivative Report
Apr 12, 2013

FII Statistics for 11-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 1183.98 8820.20 1428.36 946.14 12378.67 1046.04 7391.72 1320.02 1034.92 10792.70 137.93 1428.48 108.34 (88.78) 1585.97 280115 1344561 774574 43086 2442336 8082.96 38644.28 22597.54 1175.27 70500.05 Change (%) 3.38 5.33 1.53 59.46 4.49

Turnover on 11-April-2013
Turnover (` in cr.)

Instrument

No. of Contracts

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,62,149 40,34,879 4,99,383 5,18,453 54,14,864

10158.69 113561.25 14663.73 16793.39 155177.06

-3.82 2.14 7.62 80.88 7.27

Nifty Spot =5594.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 68.55 29.45 68.55 10.60 29.45 10.60 18.85 81.15 5718.85 57.95 142.05 5657.95 Risk 39.10 Reward 60.90 BEP 5639.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 75.75 39.30 75.75 19.80 39.30 19.80 19.50 80.50 5480.50 55.95 144.05 5544.05 Risk 36.45 Reward 63.55 BEP 5563.55

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 12, 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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