Derivative Report

May Jun 06, 10,2013 2013

Comments
The Nifty futures open interest decreased by 1.42% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.86% as market closed at 5923.85 levels.
The Nifty Jun future closed at premium of 14.45 point

against a premium of 12.90 points. The July series closed at a premium of 30.15 points.
The Implied Volatility of at the money options has

decreased from 16.76% to 16.14%.

Nifty PCR-OI has remained unchanged at 0.98 levels. The total OI of the market is Rs. 1,22,554/- cr. and the

stock futures OI is Rs.29,552/- cr.

Few of the liquid counters where we have seen high cost

of carry are PUNJLLOYD, INDHOTEL, UNITECH, APOLLOTYRE and JPASSOCIAT.

View OI Gainers
SCRIP PFC RCOM IDEA FINANTECH TECHM OI 8104000 39720000 7332000 772000 1509250 OI CHANGE (%) 18.48 14.97 13.36 12.17 11.88 PRICE 173.75 116.30 136.10 828.50 917.60 PRICE CHANGE (%) -2.94 5.59 1.18 1.92 -2.40 There has being muted performance by FIIs in cash

market segment since last few trading sessions; they were net buyers worth of `89/- cr. only. On derivatives front some long unwinding was seen in index futures, while in index options long buildup was observed by them in yesterdays trade.
On options front 5900 and 6200 call option has

seen good amount of buildup in open interest, while in put option 5700-5800 strike has seen maximum buildup in open interest followed by some unwinding in 6000 strike in yesterdays trading session.
The recent bounce in CAIRN was mainly due to short

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

SIEMENS M&M GAIL BATAINDIA BPCL

667500 2427500 3234000 2069500 5121000

-6.90 -6.18 -6.15 -5.76 -4.58

579.70 986.55 314.95 865.75 373.65

-0.65 0.26 1.09 -0.07 0.51

covering and the counter has not seen much of the long positions getting buildup in this rally. The stock in last few trading session has seen taking resistance at around `290-292 levels and hence we feel the counter could see some downward pressure in near term which could take the stock to around `275. Go short with the stop loss of `298.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCR-OI 0.98 1.82 0.52 0.46 0.49 PCR-VOL 0.87 1.00 0.61 0.34 0.67

Historical Volatility
SCRIP JISLJALEQS OFSS IVRCLINFRA BIOCON CHAMBLFERT HV 56.02 49.81 72.33 25.51 45.29

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Derivative Report
Jun 06, 2013

FII Statistics for 05-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7667.21 45699.43 28174.39 1420.77 82961.80 Change (%) (0.88) 2.85 0.90 6.39 38.37

Turnover on 05-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1323.73

1920.91

(597.18) 164.96 (261.22) 45.06 (648.38)

256945 1539314 1003118 54853 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,13,394 27,00,464 4,25,501 2,12,474 36,51,833

9379.88 81259.58 12186.15 6140.35 108965.95

11.04 12.41 -6.19 -11.00 8.29

13288.64 13123.68 1257.89 812.69 1519.11 767.63

16682.95 17331.33

Nifty Spot =5923.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 112.55 64.70 112.55 33.20 64.70 33.20 31.50 68.50 6031.50 79.35 120.65 5979.35 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 77.40 44.60 77.40 24.25 44.60 24.25 20.35 79.65 5779.65 53.15 146.85 5846.85 Risk Reward BEP

47.85

52.15

5947.85

32.80

67.20

5867.20

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

Nifty Put-Call Analysis

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Derivative Report
Jun 06, 2013

Strategy Date 03-June-2013

Symbol RELIANCE

Strategy Long call ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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