Daily Derivatives

08-May-13

Market Reviews
Nifty Synopsis
Particulars

Market Outlook:

07-May-13 06-May-13

Chg

Nifty Spot Close

6,043.55

5,971.05

1.21%

Nifty May Close

6,050.30

5,971.30

1.32%

Nifty Jun Close

6,057.30

5,978.35

1.32%

Nifty May OI (in Lacs)

208.08

191.28

8.78%

Nifty Jun OI (in Lacs)

12.46

10.85

14.84%

Nifty CoC - Spot to May (%)

1.77%

0.06%

1.71

Nifty CoC- Spot to Jun (%)

1.63%

0.86%

0.77

Nifty Spread- May to Jun (%)

1.83%

1.79%

0.04

Roll Over (%)

6.28%

5.93%

0.35

Nifty Volume (Qty- in Lacs)

1.90

1.53

24.18%

PCR OI

1.20

1.14

5.25%

PCR Vol (Contract)

1.07

1.12

-5.09%

188.54

182.14

3.51%

16.50

15.84

4.17%

Market OI (in Cr)

Nifty VIX

J
J
J
J
J
L
J
L

Nifty May Future Price saw a increase of around 1.32% and Open Interest saw a
increase of around 8.78%: Indicating Long Buildup in Nifty.
Nifty May Future is trading at a premium of 6.75 point as compared to a premium of
0.25 point as of the previous trading day: Indicating positiveness for the Market.
Nifty Jun Future is trading at a premium of 13.75 point as compared to a premium of 7.3
point as of the previous trading day: Indicating positiveness for the Market.
The PCR for Nifty based on Open Interest saw a increase and stand at 1.2 as compared
to 1.14 : Indicating positiveness for the market.
High PUT option open interest buildup of around 85.21 lacs contracts is seen at 5800
strike: Indicating that traders are betting on to 5800 as strong support.
High CALL option open interest buildup of around 56.14 lacs contracts is seen at 6200
strike: Indicating that traders are betting on to 6200 as strong resistance.
Nifty Rollover saw a increase and stand at 6.28% as compared to 5.93% as of the
previous trading day: Indicating positivesness for the market.
Nifty VIX increased by 0.66 points from 15.84 points to 16.5 points: Indicating
negativeness for the Market.

Securites in Ban for Trade are:

NIL

6,200

Nifty Spot & Nifty Future - Premium / Discount

Last 21 Trading Days

Global Market Commentary:

30
20

6,000

10

5,800

5,600

-10
-20

5,400

-30

5,200

-40
NIFTY (Spot)

Pivot Point
NIFTY (F)
Mv. Avg. (E)
NIFTY (S)

S2
5,958.83
14 Days
5,877.02

NIFTY (Future)

S1
6,004.56
30 Days
5,811.80

Discount / Premium

In the last trading session of respective global market, Dow (US) closed gain at 15056.2
by 87 points. In European Market, FTSE (UK) close at 6557.3 and was gain by 36 points,
CAC (France) at 3921.32 and was gain by 14.28 points and DAX (Germany) at 8181.78
and was gain by 70 points.

Today Asian Market :

Today major stock markets in Asia are trading in a positive sentiment. Hang Seng
(China) gain at 23047.09 by 132 points. Nikkei (Japan) at 14180.24 and was gain by 130
points, Straits Times (Singapore) at 3383.16 and was gain by 25 points.

Singapore Nifty future is currently gain by 30 points at 6083.

PIVOT
R1
R2
6,030.78 6,076.51 6,102.73 BANKNIFTY (F)
50 Days 100 Days 200 Days
5,804.43 5,790.19 5,689.92 BANKNIFTY (S)

S2
12,293.67
14 Days
12,322.35

S1
12,445.14
30 Days
12,069.00

PIVOT
12,531.47
50 Days
12,001.93

R1
6,076.51
100 Days
11,925.46

R2
12,769.27
200 Days
11,595.47

Turnover & Sector wise Open Interest Reviews

NSE TO , FII TO & Net Inflow (Outflow) FII

Last 21 Trading Days

375000

4,000

325000

3,000

275000

2,000

225000

1,000

175000

125000
75000

-1,000

25000

-2,000
NSE TO

FII TO

In the last trading session, we saw total turnover of Rs. 118493.84 crs in NSE F&O
Segment, compare to 96624.05 crs as of the previous trading day. FIIs were net buyers
of Rs. 482.23 Crs with an open interest of around Rs. 95483.74 crs. In Index Options FIIs
were net sellers of Rs. 486.73 crs with 5.42% increase in open interest. In Stock Future
FIIs were net sellers of Rs. 523.57 crs with 1.63% increase in open interest. In Index
Future FIIs were net buyers of Rs. 540.46 crs with 7.28% increase in open interest:
Indicating SHORTBUILDUP in Index Futures by FII's.
Sector wise Chg in OI
3.26%

Fund Inflow / Outflow

3.82%
0.28%

Change in NSE & FII TO & Nifty

Last 21 Trading Days

100%

3.17%

4.80%

6,200

2.91%
4.21%

6,000

50%

1.37%
2.28%
1.79%

5,800
0%
5,600
-50%

1.48%
1.84%
1.83%

5,200

NSE TO
% Chg

Cur OI

Open Interest (in lacs)

0.61%

5,400

-100%

FII TO
% Chg

Prv OI

NIFTY

Roll Over

4.22%

0.23%

-2.50%

Sectoral Open Interest Rollover

3,500

6%

3,000

5%

2,500

4%

2,000

3%

1,500
1,000

2%

500

1%

0%

Sector

Price and Open Interest Analysis

Price Loser

Price Gainer
Symbol
CENTURYTEX
SINTEX
IVRCLINFRA
RECLTD
ARVIND

Price
317.70
54.15
20.85
233.55
83.45

% Chg

% Chg
Exp

5.60% 8.02%
4.94% 12.00%
4.51% -1.65%
4.38% 4.03%
4.18% 6.92%

OI
(in Lacs)

% Chg

48.27
174.72
277.20
27.50
55.80

% Chg
Exp

%
Dlvry

3.72% 12.00% 17.47%

3.90% 16.00% 16.07%
4.09% -0.09% 26.36%
8.44% 9.75% 40.21%
3.49% 8.40% 29.95%

COC
5.50%
7.34%
11.46%
3.06%
8.58%

Roll
Over
0.90%
2.04%
1.23%
1.93%
0.85%

Symbol
ALBK
COALINDIA
ZEEL
WIPRO
KTKBANK

Price
121.50
311.45
235.75
351.80
154.95

% Chg

-6.39% -10.83%
-1.87% -1.78%
-1.65% 4.71%
-1.53% 4.86%
-1.43% 1.84%

Open Interest Gainer

Symbol
ALBK
SRTRANSFIN
UCOBANK
TATAPOWER
GODREJIND

Price

% Chg

% Chg
Exp

121.50 -6.39% -10.83%

741.75 -0.57% 4.73%
73.85 0.34% 9.08%
94.50 0.21% -0.11%
314.20 2.05% 1.32%

24.62%
22.87%
19.04%
18.55%
18.30%

61.25%
6.84%
27.65%
77.60%
14.70%

%
Dlvry
26.56%
62.46%
18.06%
78.31%
71.68%

COC
-62.74%
0.32%
7.54%
5.05%
12.42%

Roll
Over
4.85%
0.19%
3.41%
2.27%
1.60%

Symbol
ZEEL
TATASTEEL
ADANIENT
SUNPHARMA
RCOM

Price
235.75
324.95
232.35
993.45
113.00

% Chg

% Chg
Exp

-1.65% 4.71%
0.31% 3.97%
1.24% 7.59%
0.87% 1.41%
-0.09% 18.20%

Long Buildup
Symbol
PTC
GODREJIND
RECLTD
LUPIN
FRL

Price
61.00
314.20
233.55
718.35
157.00

% Chg
3.13%
2.05%
4.38%
2.29%
3.94%

% Chg
Exp
-0.33%
1.32%
4.03%
3.91%
2.25%

16.96%
18.30%
8.44%
16.03%
9.09%

29.71%
14.70%
9.75%
74.18%
41.59%

%
Dlvry

COC

42.19%
71.68%
40.21%
67.25%
21.84%

10.44%
12.42%
3.06%
8.31%
10.65%

Roll
Over
2.34%
1.60%
1.93%
1.89%
2.74%

Symbol
ZEEL
KTKBANK
EXIDEIND
HINDZINC
RCOM

Price
235.75
154.95
137.95
122.60
113.00

% Chg

% Chg
Exp

-1.65% 4.71%
-1.43% 1.84%
-0.65% -0.07%
-0.53% 3.37%
-0.09% 18.20%

Short Covering
Symbol
BHARATFORG
CANBK
ADANIENT
INDIACEM
SUNTV

Price
245.50
400.75
232.35
88.65
433.90

% Chg

% Chg
Exp

4.18% 6.42%
1.97% -8.65%
1.24% 7.59%
1.96% 7.59%
1.34% 4.47%

OI
% Chg
% Chg
(in Lacs)
Exp
36.44
27.62
39.04
32.24
17.30

73.40
40.50
34.92
17.94
183.46

% Chg

% Chg
Exp

24.62% 61.25%
17.19% 59.80%
-6.38% -15.85%
8.01% 17.46%
-2.22% 6.40%

%
Dlvry
26.56%
75.18%
56.99%
80.11%
12.74%

COC
-62.74%
7.66%
7.08%
4.52%
2.56%

Roll
Over
4.85%
1.00%
1.80%
5.25%
0.79%

OI
% Chg
% Chg
(in Lacs)
Exp
34.92
159.45
39.04
33.82
371.20

-6.38% -15.85%
-4.73%
6.18%
-4.01% -5.83%
-3.99% 52.59%
-3.94%
1.93%

%
Dlvry
56.99%
32.08%
14.90%
79.63%
7.23%

COC
7.08%
1.22%
2.73%
4.00%
4.22%

Roll
Over
1.80%
5.92%
2.13%
2.01%
3.06%

Long Unwind

OI
% Chg
% Chg
(in Lacs)
Exp
31.72
7.37
27.50
13.50
46.82

OI
(in Lacs)

Open Interest Loser

OI
% Chg
% Chg
(in Lacs)
Exp
73.40
18.86
121.28
103.52
7.37

% Chg
Exp

OI
% Chg
% Chg
(in Lacs)
Exp
34.92
183.46
18.12
23.74
371.20

-6.38% -15.85%
-2.22%
6.40%
-0.98% -6.86%
-0.84% -3.03%
-3.94%
1.93%

%
Dlvry
56.99%
12.74%
32.01%
64.31%
7.23%

COC
7.08%
2.56%
4.03%
7.14%
4.22%

Roll
Over
1.80%
0.79%
4.73%
2.38%
3.06%

Short Buildup
%
Dlvry

-2.28% -1.06% 40.42%

-3.44% 38.59% 34.98%
-4.01% -5.83% 14.90%
-1.95% -0.97% 53.82%
-2.64% -18.80% 30.70%

COC
0.00%
3.17%
2.73%
4.48%
1.65%

Roll
Over
0.16%
5.43%
2.13%
1.47%
0.86%

Symbol
ALBK
COALINDIA
SRTRANSFIN
WIPRO
CHAMBLFERT

Price
121.50
311.45
741.75
351.80
47.60

% Chg

% Chg
Exp

-6.39% -10.83%
-1.87% -1.78%
-0.57% 4.73%
-1.53% 4.86%
-1.24% -14.23%

OI
% Chg
% Chg
(in Lacs)
Exp
73.40
40.50
18.86
17.94
112.24

24.62%
17.19%
22.87%
8.01%
6.94%

61.25%
59.80%
6.84%
17.46%
43.15%

%
Dlvry
26.56%
75.18%
62.46%
80.11%
57.38%

COC
-62.74%
7.66%
0.32%
4.52%
8.36%

Roll
Over
4.85%
1.00%
0.19%
5.25%
4.10%

An increase in open interest along with an increase in price is said to confirm an upward trend. Similarly, an increase in open interest along with a decrease in price
confirms a downward trend. An increase or decrease in prices while open interest remains flat or declining may indicate a possible trend reversal.

Options Reviews
Nifty Option Open Interest Distribution
CALL
Strike
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400

Price
745.50
647.60
547.75
450.35
356.00
268.50
185.70
117.95
66.95
34.05
14.95
5.95

PUT

CE OI OI (T-1)
(in lkh) (in lkh)

% Chg
13.66%
13.67%
16.31%
20.59%
25.13%
34.42%
45.59%
62.69%
85.97%
116.88%
149.17%
133.33%

4.46
4.74
10.34
11.20
17.06
23.05
46.25
49.92
50.33
56.14
43.69
12.40

4.46
4.77
10.46
11.32
18.15
24.87
51.08
55.10
53.30
38.69
35.89
11.72

CE OI
% Chg
-0.06%
-0.64%
-1.13%
-1.06%
-6.04%
-7.30%
-9.45%
-9.40%
-5.58%
45.10%
21.74%
5.76%

PE OI OI (T-1)
(in lkh) (in lkh)

Price

% Chg

2.25
3.40
4.70
7.15
13.10
23.55
40.90
70.45
116.45
182.25
262.15
351.25

0.00%
0.00%
-12.96%
-29.90%
-31.59%
-32.52%
-33.22%
-32.13%
-29.42%
-25.70%
-20.86%
-18.42%

11.07
35.89
51.91
60.92
75.94
85.21
64.47
47.88
11.75
7.37
2.38
0.47

Call Put Open Interest Concentration

100%

90
80

80%

70
60

60%

50
40%

40
30

20%

20
10

0%

-20%

CE OI
(in lkh)

PE OI
(in lkh)

Poly. (CE OI
(in lkh))

Poly. (PE OI
(in lkh))

PCR (OI)

-40%

11.25
35.97
63.60
49.54
72.12
76.12
53.31
26.04
8.37
7.51
2.11
0.43

PE OI
% Chg
-1.61%
-0.23%
-18.38%
22.97%
5.29%
11.93%
20.94%
83.83%
40.31%
-1.91%
12.75%
7.59%

OI
2.48
7.57
5.02
5.44
4.45
3.70
1.39
0.96
0.23
0.13
0.05
0.04

OI (T-1)
2.52
7.54
6.08
4.38
3.97
3.06
1.04
0.47
0.16
0.19
0.06
0.04

Call Put Open Interest Concentration

CE OI
PE OI
% Chg
% Chg

PCR
% Chg
-1.55%
0.42%
-17.45%
24.29%
12.05%
20.75%
33.56%
102.90%
48.61%
-32.40%
-7.39%
1.74%

Most Active Option Contract and Sentiment Reviews

Most Active Nifty - CALL
Expiry
Date

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Strike
Price

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

6,100
6,000
6,200
6,300
5,900

Setl
Price

Con
(in lkh)

66.95
117.95
34.05
14.95
185.70

3.75
2.99
2.92
1.38
0.69

Most Active Nifty

Trd
Val (Cr)
11,552.33
9,129.80
9,088.00
4,340.79
2,094.99

OI
(in lkh)
50.33
49.92
56.14
43.69
46.25

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Opt

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

CE
PE
CE
CE
PE

Most Active Nifty - PUT

Expiry
Date

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Strike
Price

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

Setl
Price

5,900
6,000
5,800
5,700
5,600

3.12
2.84
2.58
1.57
1.03

Trd
Val (Cr)
9,277.98
8,626.20
7,529.95
4,482.33
2,887.49

OI
(in lkh)
64.47
47.88
85.21
75.94
60.92

Symbol
RELIANCE
SBIN
RELIANCE
DLF
DLF

Expiry
Date

Opt

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

CE
CE
CE
CE
CE

Basis

HEXAWARE
DABUR
ARVIND
TATAGLOBAL
ASIANPAINT

Symbol
ALBK
ASHOKLEY
CENTURYTEX
ITC
BHARATFORG

1.80
1.75
0.75
1.80
34.10

Price

% Chg

121.50 -6.39%
23.40 2.86%
317.70 5.60%
336.90 2.85%
245.50 4.18%

30-May-13
83.85
162.15
83.45
149.05
4,923.90

27-Jun-13
85.65
163.90
84.20
150.85
4,958.00

Volatility Gainer
% Chg
OI
% Chg
Exp (in Lacs)
-10.83%
73.40 24.62%
4.00% 137.07 5.76%
8.02%
48.27 3.72%
5.33% 210.36 9.22%
6.42%
36.44 -2.28%

Con
(in lkh)

66.95
40.90
117.95
34.05
70.45

Trd
Val (Cr)

3.75
3.12
2.99
2.92
2.84

11,552.33
9,277.98
9,129.80
9,088.00
8,626.20

OI
(in lkh)
50.33
64.47
49.92
56.14
47.88

Strike
Price
840
2,300
820
250
240

LTP

Con
(in '000)

Trd
Val (Cr)

5.10
4.08
3.84
3.69
3.21

108.71
119.92
80.58
94.60
80.30

12.20
54.00
20.50
7.00
11.05

OI
(in lkh)
8.21
4.26
4.70
22.02
10.89

CoC Gainer

Spread Gainer
Symbol

6,100
5,900
6,000
6,200
6,000

Setl
Price

Most Active Stock

Con
(in lkh)

40.90
70.45
23.55
13.10
7.15

Strike
Price

Dvnd
0.85
-

% Chg
Exp
61.25%
21.80%
12.00%
81.80%
-1.06%

Spread
33.71%
25.38%
14.20%
19.05%
10.95%

Chg
22.73
17.67
16.10
12.90
11.28

%
Volatility Roll
Dlvry % Chg Over
26.56% 18.94% 4.85%
38.08% 14.76% 3.67%
17.47% 12.31% 0.90%
71.40%
9.15% 1.75%
40.42%
9.00% 0.16%

Symbol

Basis

BANKBARODA
IVRCLINFRA
UNIONBANK
BPCL
INDUSINDBK

Symbol
HINDUNILVR
RCOM
JISLJALEQS
MCDOWELL-N
IDEA

Price

2.20
0.15
0.55
2.20
1.50

% Chg

581.85 1.11%
113.00 -0.09%
70.50 2.25%
2,351.75 2.35%
132.75 0.11%

Future
707.10
20.85
242.70
408.90
486.40

Spot
704.90
20.70
242.15
406.70
484.90

Expiry to Exipry Gainer

% Chg
OI
% Chg
Exp (in Lacs)
21.56%
74.58 2.29%
18.20% 371.20 -3.94%
18.19% 112.76 8.46%
14.67%
77.42 -1.25%
14.00%
83.90 -2.89%

Dvnd
-

% Chg
Exp
59.21%
1.93%
11.86%
-0.91%
-16.60%

CoC

Chg

4.95%
11.46%
3.60%
8.56%
4.90%

7.99
7.64
7.07
6.70
6.66

%
Volatility Roll
Dlvry
% Chg
Over
71.40% -2.83% 19.10%
7.23% -3.05% 3.06%
37.75% -0.99% 1.02%
18.13% -0.31% 4.60%
59.70% -3.03% 1.18%

The CoC is the cost of "carrying" or holding a position. A higher carry cost is indicative of buying pressure and vice versa.
The Future Spread refers to the difference between in the price of two future contracts while hedging against risk. More buyers and sellers competing in the same space bring Bid/Offer spreads lower.
Volatility is the relative rate at which the price of a security moves up and down. If the price of a stock moves up and down rapidly over short time periods, it has high volatility and vice versa.

Disclaimer:
The information and opinions contained herein been compiled or arrived at, based upon information obtained from reliable sources. Such
information has not been independently verified and no guarantee, representation of warranty, express or implied, is made as to its accuracy,
completeness or correctness. All such information and opinions are subject to change without notice. I do not take any responsibility, financial or
otherwise, of the losses or the damages sustained due to the investments made or any action taken on basis of this report. I may or may not have
any positions in any of the stocks dealt in the report. This report is only for PRIVATE CIRCULATION.

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