Derivative Report

July 11, 2013

Comments The Nifty futures open interest increased by 1.15% while BankNifty futures open interest is increased by 3.11% as market closed at 5816.70 levels. The Nifty July future closed at premium of 5.35 point against a premium of 9.35 points. The August series closed at a premium of 27.40 points. The Implied Volatility of at the money options has increased from 19.13% to 19.98%. Nifty PCR-OI has decreased from 1.18 to 1.13 levels. The total OI of the market is Rs. 1,33,096/- cr. and the stock futures OI is Rs. 28,516/- cr. Few of the liquid counters where we have seen high cost of carry are OPTOCIRCUI, JPPOWER, IGL, ASHOKLEY and HEXAWARE.

Nifty Vs OI

OI Gainers
SCRIP M&M ONGC ASIANPAINT DIVISLAB HCLTECH OI 2577500 9286000 164375 538750 3365500 OI CHANGE (%) 15.20 8.41 8.32 8.29 7.49 PRICE 912.55 296.15 4782.80 1007.10 839.60 PRICE CHANGE (%) -2.54 -2.02 0.48 1.51 1.99

View Second day in a row FII's cash market segment activity was very low and same can be said for DII's. In FNO segments nothing substantial happened in index future but some index option selling was observed. On option front 5800 and 5900 puts have been adding open interest with rise in implied volatility indicating buying happening there while in calls except 6000 call activity was quite less. SGX Nifty is indicating opening around 5900 levels. First few days of this expiry STER has has shown sharp bounce, however it corrected from highs of 90 without formation of short positions. Rs. 82 is good support for the counter. Go long in the range of Rs. 83-85 with target of Rs. 92 and support level as stop loss.

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

BATAINDIA RELCAPITAL RELINFRA APOLLOTYRE FRL

833500 8348000 5368000 12604000 3408000

-12.31 -9.26 -8.10 -7.81 -7.64

887.30 376.95 375.35 63.25 96.75

-0.90 -1.31 -1.51 -0.08 -1.37

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.13 0.91 0.92 0.49 0.80 PCRPCR-VOL 1.06 0.78 0.85 0.42 0.71

Historical Volatility
SCRIP FINANTECH TECHM HINDPETRO LUPIN NHPC INFY HV 57.15 39.49 42.98 37.65 34.47 74.73

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Derivative Derivative Report

July 11, 2013

FII Statistics for 10-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10609.76 48623.21 27226.77 2054.18 88513.92 Change (%) 0.73 2.50 0.11 12.93 1.75

Turnover on 10-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1143.37

1316.25

(172.88) (651.30) 236.09 (128.82) (716.91)

365390 1672872 966834 75368 3080464

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,92,111 26,27,887 4,84,782 3,35,402 37,40,182

8518.50 77117.46 13755.06 9772.59 109163.61

16.68 26.04 7.17 22.62 22.26

10993.40 11644.70 1520.35 1110.18 1284.26 1239.00

14767.30 15484.21

Nifty Spot =5816.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 103.00 56.00 103.00 25.85 56.00 25.85 30.15 69.85 5930.15 77.15 122.85 5877.15 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 85.65 51.45 85.65 29.65 51.45 29.65 21.80 78.20 5678.20 56.00 144.00 5744.00 Risk Reward BEP

47.00

53.00

5847.00

34.20

65.80

5765.80

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

Nifty Put-Call Analysis

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Derivative Derivative Report

July 11, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13

Symbol TATAMOTORS NIFTY

Strategy Long Put Ladder Short Strangle

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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