Derivative Report

May 10, 31, 2013

Comments The Nifty futures open interest decreased by 37.08% while BankNifty futures open interest is decreased by 28.44% as market closed at 6124.05 levels. The Nifty Jun future closed at premium of 7.20 point against a premium of 6.10 points. The July series closed at a premium of 14.60 points. The Implied Volatility of at the money options has decreased from 18.10% to 14.62%. Nifty PCR-OI has decreased from 1.24 to 1.16 levels. The total OI of the market is Rs. 1,04,148/- cr. and the stock futures OI is Rs.28,295/- cr. Few of the liquid counters where we have seen high cost of carry are RENUKA, JISLALEQS, INDHOTEL, NHPC and CHAMBLEFERT.

Nifty Vs OI

View OI Gainers
SCRIP TATAGLOBAL OI 20892000 OI CHANGE (%) 0.27 PRICE 148.00 PRICE CHANGE (%) 3.15 -

FIIs have formed fresh long positions in yesterdays segment and they continue to buy in cash market segment. Surprisingly we have seen rise in open interest in FIIs data on expiry day which is generally not the case. Call option activity is increasing in 6300 strike and some interest is visible in 6400 too. In put options too built-up has been scattered, 6000 strike is emerging as a strong contender to be viewed as immediate support level for the markets. NMDC has been correcting from 130 odd levels and has seen lot of addition of short positions. Stock has found support around 116 levels and may continue its bounce due to short covering. We suggest going long in counter around 119-120 with stop loss of 116 and target of 129.

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

EXIDEIND PETRONET ASIANPAINT ONGC AXISBANK

1046000 1650000 236875 7953000 3709250

-46.25 -45.04 -43.25 -43.22 -43.11

138.35 143.05 4913.60 333.90 1432.70

-0.11 0.11 1.92 -0.36 -1.66

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR INFY PCRPCR-OI 1.16 0.74 0.44 0.93 0.52 PCRPCR-VOL 1.09 0.80 0.39 0.59 0.55

Historical Volatility
SCRIP CIPLA M&M TATAMTRDVR TATAMOTORS TATASTEEL INFY HV 34.61 38.00 37.36 41.20 40.99 74.73

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Derivative Report
May 31, 2013

FII Statistics for 30-May-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 20939.20 55795.31 36334.27 3126.04 116194.82 Change (%) 7.49 (5.99) 3.58 (29.78) (1.82)

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

Instrument

6894.07

5725.93

1168.14 383.33 (234.71) 272.40 1589.16

681785 1818940 1264921 111069 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

6,46,935 70,12,689 12,51,501 4,33,100 93,44,225

19933.50 214608.78 35806.98 12762.76 283112.02

43.53 46.59 24.44 22.22 41.91

17041.27 16657.94 8064.68 1194.07 8299.39 921.67

33194.09 31604.93

Nifty Spot =6124.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 114.40 67.20 114.40 36.10 67.20 36.10 31.10 68.90 6231.10 78.30 121.70 6178.30 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 89.25 55.40 89.25 33.20 55.40 33.20 22.20 77.80 5977.80 56.05 143.95 6043.95 Risk Reward BEP

47.20

52.80

6147.20

33.85

66.15

6066.15

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

Nifty Put-Call Analysis

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Derivative Report
May 31, 2013

Strategy Date 2929-AprApr-2013 0606-MayMay-2013 1313-MayMay-2013

2020-MayMay-2013 2727-MayMay-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 0202-MayMay-2013 Profit booked on 1616-MayMay-2013

Position squared off

Loss on expiry expiry

Loss on expiry

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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