Derivative Report

May 02, 2013

Comments
The Nifty futures open interest increased by 2.40% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.39% as market closed at 5930.20 levels.
The Nifty May future closed at discount of 1.20 point

against a premium of 14.10 points. The June series closed at a premium of 8.55 points.
The Implied Volatility of at the money options has

increased from 13.21% to 13.72%.

Nifty PCR-OI has increased from 1.05 to 1.08 levels. The total OI of the market is Rs. 1,16,438/- cr. and the

stock futures OI is Rs.25,912/- cr.

Few of the liquid counters where we have seen high cost

of carry are INDHOTEL, TATACHEM, GSPL, ASHOKLEY and COLPAL.

View OI Gainers
SCRIP DABUR CESC COLPAL HINDUNILVR TATACHEM OI 1704000 762000 163750 8005000 1051000 OI CHANGE (%) 28.90 23.70 16.96 12.87 10.86 PRICE 147.80 285.80 1471.45 583.80 323.85 PRICE CHANGE (%) 0.51 -2.79 5.79 17.27 1.16 FIIs continue to buy in cash market segment; they

were net buyers worth of Rs.877/- cr. On derivatives front not much of activity was observed by them in index futures, however significant amount of long buildup was seen in index options in Tuesdays trading session. On options front 5700-5800 put option has seen good amount of buildup in open interest and with IVs going up majority of this buildup could be on the longer side, while in call option 6200 strike has seen maximum buildup in open interest in Tuesdays trade. short covering. The stock in last few trading sessions has seen some short buildup and also at around `100 the counter could face resistance as 100 call option has highest buildup in open interest and with IVs of call option going down majority of this buildup could be on the shorter side. Hence we recommend to go short at around `98-99 levels with the stop loss of `101.50 and target of `93.

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

Recent bounce in HINDALCO was mainly due to

SRTRANSFIN IBREALEST WIPRO HCLTECH HDFCBANK

1581500 14580000 1755500 2747000 8555500

-13.77 -10.95 -9.72 -8.57 -8.14

745.45 74.45 348.35 721.40 682.30

5.17 -1.09 1.56 2.57 -2.32

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY HINDUNILVR RELIANCE PCR-OI 1.08 1.46 0.42 1.31 0.45 PCR-VOL 1.28 1.29 0.44 0.98 0.41

Historical Volatility
SCRIP HINDUNILVR COLPAL BATAINDIA MCDOWELL-N SRTRANSFIN HV 84.97 35.34 42.95 53.02 49.06

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Derivative Report
May 02, 2013

FII Statistics for 30-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10563.99 44427.33 23748.67 1723.87 80463.85 Change (%) 4.09 5.53 1.70 26.15 4.51

Turnover on 30-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1590.20

1617.82

(27.62) 1075.71 (198.57) (83.12) 766.40

354564 1496552 850749 61778 2763643

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,17,925 27,87,791 5,97,204 3,00,101 40,03,021

9543.01 82716.52 17266.10 8852.31 118377.94

76.90 86.38 35.09 34.09 71.17

13396.42 12320.71 2262.81 1188.36 2461.38 1271.48

18437.78 17671.37

Nifty Spot =5930.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 106.35 58.45 106.35 28.15 58.45 28.15 30.30 69.70 6030.30 78.20 121.80 5978.20 Risk 47.90 Reward 52.10 BEP 5947.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 82.15 49.25 82.15 28.90 49.25 28.90 20.35 79.65 5779.65 53.25 146.75 5846.75 Risk 32.90 Reward 67.10 BEP 5867.10

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

Nifty Put-Call Analysis

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Derivative Report
May 02, 2013

Strategy Date 29-Apr-2013

Symbol TCS

Strategy Bull Call Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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