Derivative Report

May Jun 18, 10,2013 2013

Comments
The Nifty futures open interest increased by 9.18% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.14% as market closed at 5850.05 levels.
The Nifty Jun future closed at discount of 2.30 point

against a discount of 2.45 points. The July series closed at a premium of 14.90 points.
The Implied Volatility of at the money options has

increased from 17.39% to 17.71%.

Nifty PCR-OI has remain unchanged at 0.95 levels. The total OI of the market is Rs. 1,47,584/- cr. and the

stock futures OI is Rs.30,557/- cr.

Few of the liquid counters where we have seen high cost

of carry are IVRCLINFRA, TATACOMM, GMRINFRA, MRF and UNITECH.

View OI Gainers
SCRIP APOLLOTYRE ADANIPOWER COLPAL IDEA M&M OI 18532000 15256000 165000 9542000 2551250 OI CHANGE (%) 23.74 18.96 14.98 10.70 10.60 PRICE 63.90 44.15 1319.75 139.70 989.35 PRICE CHANGE (%) -1.31 -7.95 -0.09 2.93 4.22 FIIs were net sellers in cash market segment; they

were net sellers worth of `165/- cr. On derivatives front some short buildup was observed by them in index futures, while in index options some long unwinding was seen by them in yesterdays trade.
On options front 6100 call option has seen good

amount of buildup in open interest followed by some unwinding in 5700 strike price. While in put option 5700-5800 strike has seen maximum buildup in open interest and 5600 put option has seen some unwinding in yesterdays trading session.
The recent fall in YESBANK from around `520 odd

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

FRL AXISBANK MARUTI DISHTV BHARTIARTL

3834000 5140250 2463500 10776000 8006000

-8.67 -6.26 -5.96 -5.94 -5.24

131.60 1316.05 1535.25 65.95 296.00

1.19 1.43 1.25 3.04 2.40

levels was mainly due to long unwinding. The counter after seeing short covering bounce in Fridays trade, has seen good amount of long buildup in yesterdays trading session with increase in CoC. Hence we feel the stock could continue its positive momentum which could take the counter to around `514. Go long at around `484-486 levels with the stop loss of `470.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR RELIANCE PCR-OI 0.95 0.99 0.52 0.67 0.60 PCR-VOL 0.89 0.81 0.57 0.22 0.61

Historical Volatility
SCRIP AUROPHARMA GSPL UNIPHOS PUNJLLOYD ADANIPOWER HV 61.55 40.78 51.84 59.93 84.12

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Derivative Report
Jun 18, 2013

FII Statistics for 17-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11672.38 57342.13 29110.65 2088.45 100213.61 Change (%) 12.34 (1.59) (0.62) 3.49 11.16

Turnover on 17-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1789.86

2110.75

(320.89) (212.58) 477.11 8.38 (47.98)

398263 1957521 1060351 79554 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,96,712 39,68,938 5,18,263 3,18,610 52,02,523

11621.66 116701.27 14227.30 8848.94 151399.18

21.31 18.15 12.23 28.39 18.36

18507.91 18720.49 2167.46 1073.99 1690.35 1065.61

23539.22 23587.20

Nifty Spot =5850.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 44.35 18.05 44.35 6.50 18.05 6.50 11.55 88.45 6011.55 37.85 162.15 5937.85 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 48.55 22.20 48.55 9.80 22.20 9.80 12.40 87.60 5687.60 38.75 161.25 5761.25 Risk Reward BEP

26.30

73.70

5926.30

26.35

73.65

5773.65

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 18, 2013

Strategy Date 03-June-2013 10-June-2013 17-June-2013

Symbol RELIANCE NIFTY HDFC

Strategy Long call ladder Long Call Ratio Call Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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