Derivative Report

May 10, 28, 2013

Comments
The Nifty futures open interest increased by 1.44% while

Nifty Vs OI

BankNifty futures open interest is increased by 5.23% as market closed at 6083.15 levels.
The Nifty May future closed at premium of 0.30 point

against a premium of 1.85 points. The June series closed at a premium of 19.60 points.
The Implied Volatility of at the money options has

increased from 15.27% to 16.39%.

Nifty PCR-OI has increased from1.12 to 1.18 levels. The total OI of the market is Rs. 1,74,020/- cr. and the

stock futures OI is Rs.35,720/- cr.

Few of the liquid counters where we have seen high roll-

over are HEROMOTOCO, INDIACEM, PUNJLLOYD, NHPC and HDIL. View OI Gainers
SCRIP OI OI CHANGE (%) 31.20 19.04 13.64 12.98 12.79 PRICE PRICE CHANGE (%) -1.87 -2.23 -1.35 -1.51 3.24 After a pause FIIs again seen being net buyers in

INDIACEM CROMPGREAV BANKBARODA CIPLA ULTRACEMCO

7552000 11106000 2666000 7979000 895375

70.30 93.95 682.25 401.50 2013.65

cash market segment; they were net buyers worth of Rs.406/- cr. On derivatives front some long buildup was seen by them in index futures, while in index options long unwinding was observed by them in yesterdays trading session.
On options front 5900-6000 call option has seen

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

decent amount of unwinding followed by some buildup observed in 6100 strike which has highest buildup in open interest in call option. While in put option 6000-6100 strike has seen significant amount of buildup in open interest in yesterdays trade.
Rollover in NIFTY and BANKNIFTY future is at 20%

and 17% respectively.

The recent fall in NTPC was mainly due to long

HEXAWARE APOLLOTYRE COLPAL DIVISLAB ASHOKLEY

8340000 5920000 136500 587250 13833000

-10.94 -8.07 -5.04 -4.67 -3.70

84.85 90.55 1491.90 990.60 23.90

6.00 4.87 1.80 0.48 2.80

unwinding. However stock in last two trading sessions has seen good amount of long buildup and is also seen taking support at around Rs.148-150 levels. Hence we recommend to go long on this stock with the target price of Rs.162 and stop loss at Rs.147. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR INFY PCR-OI 1.18 1.40 0.45 1.21 0.63 PCR-VOL 1.03 0.99 0.52 0.56 0.53

SCRIP HEXAWARE RELIANCE INDUSINDBK SUNPHARMA APOLLOTYRE

HV 46.62 40.45 49.77 39.39 45.03

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Derivative Report
May 28, 2013

FII Statistics for 27-May-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 3284.15 24513.81 7578.46 1419.22 36795.64 3117.50 25059.84 7703.78 1394.90 37276.02 166.65 (546.03) (125.32) 24.32 (480.38) 581184 1993510 1094861 173933 3843488 17747.31 60795.58 31465.48 5008.75 115017.12 Change (%) 1.01 (3.28) 6.68 (0.72) 0.14

Turnover on 27-May-2013
Turnover (` in cr.)

Instrument

No. of Contracts

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,06,455 48,98,698 8,37,045 3,33,418 64,75,616

12432.53 148545.70 24017.92 9680.22 194676.37

8.32 2.20 22.44 -24.36 2.88

Nifty Spot =6083.15

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 30.30 5.70 30.30 1.30 5.70 1.30 4.40 95.60 6204.40 29.00 171.00 6129.00 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 46.65 14.00 46.65 4.55 14.00 4.55 9.45 90.55 5990.55 42.10 157.90 6057.90 Risk Reward BEP

24.60

75.40

6124.60

32.65

67.35

6067.35

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 28, 2013

Strategy Date 29-Apr-2013 06-May-2013 13-May-2013

20-May-2013 27-May-2013

Symbol TCS DLF RELIANCE

NIFTY BANKNIFTY

Strategy Bull Call Spread Bull Call Spread Ratio Put Spread
Ratio Call Spread Long Call

Status Profit booked on 02-May-2013 Profit booked on 16-May-2013

Position squared off Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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