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Derivative Report

July 19, 2013

Comments The Nifty futures open interest increased by 4.34% while BankNifty futures open interest is increased by 8.24% as market closed at 6038.05 levels. The Nifty July future closed at premium of 14.35 point against a discount of 5.85 points. The August series closed at a premium of 47.30 points. The Implied Volatility of at the money options has decreased from 17.67% to 16.30%. Nifty PCR-OI has increased from 1.26 to 1.34 levels. The total OI of the market is Rs. 1,53,460/- cr. and the stock futures OI is Rs. 31,633/- cr. Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, GMRINFRA, SUNTV, PTC and VOLTAS.

Nifty Vs OI

OI Gainers
SCRIP UCOBANK ZEEL ICICIBANK BIOCON GODREJIND OI 20920000 4674000 8815000 1534000 630000 OI CHANGE (%) 54.51 18.69 15.52 14.31 14.13 PRICE 73.60 247.15 984.45 306.90 299.25 PRICE CHANGE (%) 15.46 2.46 0.51 0.24 0.99

View Despite markets inching higher FII's are shying away from buying in cash markets, infact they were marginal sellers and same was the case with DII's. We didnt see any formation of long positions either in index futures by them. However they bought decent amount of index options with rise in open interest. On option front 5900 and 6000 call some unwinding was observed but 6100 strike didnt see any indicating that it would be difficult for market to breach that level. In put options 5900 to 6100 strike added significant open interest and if we club this with FII's data then it suggests that its buying of puts by stronger hands. Recent rally in ITC can be attributed to whats happening to other major counter in the sector. We have seen decent formation of long positions in it and also cash base volumes were significant. However we believe that this copy cat rally may not sustain and we may see formation of short positions in it. We suggest to go short in it around Rs. 369 372, with target of Rs. 348 and stop loss of Rs. 381.

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

ONGC DABUR IDFC EXIDEIND COLPAL

7598000 2190000 17216000 2642000 118750

-15.04 -11.41 -5.02 -4.69 -4.04

314.65 171.05 127.90 133.75 1515.85

4.54 2.86 2.52 4.89 0.81

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.34 0.83 1.33 0.39 0.93 PCRPCR-VOL 1.33 0.81 0.82 0.48 0.70

Historical Volatility
SCRIP MRF UCOBANK EXIDEIND ASIANPAINT ONGC INFY HV 53.98 101.81 37.24 35.75 45.00 74.73

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Derivative Report
July 19, 2013

FII Statistics for 18-July-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15185.52 54853.20 29248.69 3498.59 102785.99 Change (%) 5.68 1.63 0.69 8.35 2.14

Turnover on 18-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2510.36

2480.34

30.02 465.02 324.23 (90.98) 728.30

506573 1821732 1017195 117932 3463432

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,20,592 38,22,785 7,20,719 4,61,299 54,25,395

12299.38 113780.27 20985.44 14309.13 161374.22

0.08 8.01 7.94 16.79 8.07

15035.74 14570.73 2754.67 1628.05 2430.44 1719.02

21928.82 21200.52

Nifty Spot =6038.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 81.30 29.00 81.30 6.90 29.00 6.90 22.10 77.90 6122.10 74.40 125.60 6074.40 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 32.65 13.95 32.65 6.30 13.95 6.30 7.65 92.35 5892.35 26.35 173.65 5973.65 Risk Reward BEP

52.30

47.70

6052.30

18.70

81.30

5981.30

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

Nifty Put-Call Analysis

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Derivative Report
July 19, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13 1515-JulyJuly-13

Symbol TATAMOTORS NIFTY NIFTY

Strategy Long Put Ladder Short Strangle Long Put Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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Derivative Research Team


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