Derivative Report

Apr 16, 2013

Comments
The Nifty futures open interest increased by 6.05% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.42% as market closed at 5568.40 levels.
The Nifty Apr. future closed at discount of 0.35 point

against a premium of 6.65 points. The May series closed at a premium of 19.70 points.
The Implied Volatility of at the money options has

increased from 15.60% to 16.60%.

Nifty PCR-OI has increased from 0.89 to 0.93 levels. The total OI of the market is Rs. 1,45,769/- cr. and the

stock futures OI is Rs.27,896/- cr.

Few of the liquid counters where we have seen high cost

of carry are GMRINFRA, ASHOKLEY, WELCORP, RENUKA and GSPL. OI Gainers

SCRIP OI OI CHANGE (%) 21.43 15.18 13.93 13.41 12.47 PRICE PRICE CHANGE (%) 0.78 1.10 -3.67 2.01 -3.24

View
Despite of decent rally seen in our market in

IOB ANDHRABANK SAIL ALBK HINDZINC

5960000 3824000 19568000 4718000 2038000

64.40 91.20 57.45 129.05 112.85

yesterdays trade, FIIs were net sellers in cash market segment worth of Rs.418/- cr. On derivatives front some short buildup was seen in index futures followed by decent amount of short covering in stock futures. Not much of activity was observed in index options by them in yesterdays trading session.
On options front not much of buildup was observed

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

in call option 5500 and 5700 strike price saw maximum buildup in open interest of 8000 contracts each, followed by some unwinding in 5600 strike price. While in put option significant amount of buildup was seen in 5400-5600 strike price and with increase in put IVs majority of this buildup could be on the longer side.
The recent bounce in JPASSOCIAT was mainly due to

INFY FRL IBREALEST HINDPETRO BANKBARODA

4249750 6594000 19336000 6465000 2516000

-15.25 -7.28 -6.14 -5.87 -4.97

2339.05 147.80 55.80 312.00 677.85

1.36 2.67 2.67 4.46 3.40

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 0.93 1.35 0.55 0.95 0.82 PCR-VOL 0.86 1.09 0.71 0.79 0.61

short covering, however in yesterdays trade the cost-of-carry of this stock has decreased substantially indicating some selling pressure observed at higher levels. And also 70 put option has seen good amount of buildup in open interest which we feel could be on the longer side. Hence we recommend to go short with the target price of Rs.65 and stop loss at Rs.76. Historical Volatility
SCRIP FEDERALBNK BPCL HINDPETRO TITAN TCS HV 37.86 39.33 37.82 43.68 25.97

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Derivative Report
Apr 16, 2013

FII Statistics for 15-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 1401.32 15571.09 2248.66 3506.86 22727.92 1511.84 15638.63 1905.73 3565.34 22621.54 (110.53) (67.54) 342.93 (58.49) 106.38 474449 1828050 829567 102697 3234763 13251.03 50932.97 23794.10 2741.99 90720.09 Change (%) 4.77 0.73 0.13 8.76 1.39

Turnover on 15-April-2013

Instrument

No. of Contracts

Turnover (` in cr.)

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,37,147 40,19,040 5,71,373 6,62,527 55,90,087

9492.95 112777.16 16936.77 19446.27 158653.14

10.98 17.20 -2.67 -30.55 5.64

Nifty Spot =5568.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 45.45 16.00 45.45 5.05 16.00 5.05 10.95 89.05 5710.95 40.40 159.60 5640.40 Risk 29.45 Reward 70.55 BEP 5629.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 78.25 36.30 78.25 15.45 36.30 15.45 20.85 79.15 5479.15 62.80 137.20 5537.20 Risk 41.95 Reward 58.05 BEP 5558.05

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

Nifty Put-Call Analysis

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Derivative Report
Apr 16, 2013

Strategy Date 01-Apr-2013 08-Apr-2013 15-Apr-2013

Symbol HDFCBANK RELIANCE ITC

Strategy Bear Put Spread Long Put Ladder Long Put

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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