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Derivative Report

Sept 02, 2013

Comments The Nifty futures open interest increased by 17.14% while BankNifty futures open interest is increased by 2.49% as market closed at 5471.80 levels. The Nifty September future closed at discount of 15.05 point against a premium of 6.10 points. The October series closed at a premium of 12.90 points. The Implied Volatility of at the money options has decreased from 26.22% to 24.29%. Nifty PCR-OI has increased from 1.16 to 1.22 levels. The total OI of the market is Rs. 1,10,983/- cr. and the stock futures OI is Rs. 26,466/- cr. Few of the liquid counters where we have seen high cost of carry are UNITECH, PUNJLLOYD, EXIDEIND, CHAMBLFERT, FEDERALBNK.

Nifty Vs OI

OI Gainers
SCRIP FINANTECH FINANTECH IDFC AXISBANK ICICIBANK HEROMOTOCO OI 2369000 33320000 10148750 9768000 2537750 OI CHANGE (%) 73.43 59.14 51.63 34.54 29.73 PRICE 113.90 80.50 832.95 803.75 2046.50 PRICE CHANGE (%) -27.09 -0.85 -0.96 0.55 -3.66

View FII's were inactive in cash market segment. On derivatives front they were marginal seller in index futures with significant rise in open interest, indicating mix of both long and short. In index options they were buyer of more than Rs.1000/- cr with good amount of rise in open interest in Fridays trading session. In options front good amount of buildup was seen in 5500, 5800 & 5900 call options. In put options huge amount of buildup was seen in 5300 strike, some buildup was also seen in 5200 & 5400 strikes in yesterdays trading session.

OI Losers


3588000 405750 4266000 1033500 483000

-13.98 -7.36 -7.02 -6.30 -5.66

142.30 1136.05 483.60 389.90 235.75

7.63 6.49 2.91 0.21 3.54

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN AXISBANK RELIANCE PCRPCR-OI 1.22 1.10 0.74 0.47 0.83 PCRPCR-VOL 0.95 0.89 0.67 0.40 0.72

Historical Volatility

Derivative Report
Seot 02, 2013

FII Statistics for 30-Aug-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9995.87 44258.00 25168.59 610.10 80032.56 Change Change (%) 10.19 8.16 6.07 152.01 8.15

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




(155.12) 1025.12 457.15 17.97 1345.12

382465 1621631 995231 21872 3021199


6,59,866 33,91,484 8,37,102 2,37,732 51,26,184

17151.81 91979.10 20107.89 6064.01 135302.80

-40.58 -67.66 -48.41 -36.27 -62.60

17886.66 16861.54 4009.18 592.70 3552.03 574.72

25727.32 24382.20

Nifty Spot =5471.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 124.00 77.95 124.00 44.10 77.95 44.10 33.85 66.15 5633.85 79.90 120.10 5579.90 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 167.90 129.20 167.90 100.05 129.20 100.05 29.15 70.85 5370.85 67.85 132.15 5432.15 Risk Reward BEP







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

Nifty Put-Call Analysis

Derivative Report
Seot 02, 2013

Strategy Date




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