Daily Derivatives

21-May-13

Market Reviews
Nifty Synopsis
Particulars

Market Outlook:

20-May-13 17-May-13

Chg

Nifty Spot Close

6,156.90

6,187.30

-0.49%

Nifty May Close

6,164.85

6,196.10

-0.50%

Nifty Jun Close

6,173.65

6,201.40

-0.45%

Nifty May OI (in Lacs)

257.62

256.44

0.46%

Nifty Jun OI (in Lacs)

17.08

15.77

8.31%

Nifty CoC - Spot to May (%)

4.71%

3.99%

0.72

Nifty CoC- Spot to Jun (%)

2.61%

2.03%

0.58

Nifty Spread- May to Jun (%)

5.21%

2.40%

2.81

Roll Over (%)

7.26%

6.79%

0.47

Nifty Volume (Qty- in Lacs)

1.84

1.59

15.72%

PCR OI

1.22

1.26

-3.28%

PCR Vol (Contract)

1.25

1.08

15.70%

223.53

221.53

0.90%

17.71

17.57

0.80%

Market OI (in Cr)

Nifty VIX

6,400

Nifty Spot & Nifty Future - Premium / Discount

Last 21 Trading Days

30

6,000

5,800

-10
-20
-30

5,400

-40
NIFTY (Spot)

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

S2
6,101.42
14 Days
6,056.67

NIFTY (Future)

S1
6,133.14
30 Days
5,953.86

Nifty May Future is trading at a premium of 7.95 point as compared to a premium of 8.8
point as of the previous trading day: Indicating negativeness for the Market.
Nifty Jun Future is trading at a premium of 16.75 point as compared to a premium of
14.1 point as of the previous trading day: Indicating positiveness for the Market.
The PCR for Nifty based on Open Interest saw a decrease and stand at 1.22 as compared
to 1.26 : Indicating negativeness for the market.
High PUT option open interest buildup of around 77.22 lacs contracts is seen at 6000
strike: Indicating that traders are betting on to 6000 as strong support.
High CALL option open interest buildup of around 71.36 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 7.26% as compared to 6.79% as of the
previous trading day: Indicating positivesness for the market.
Nifty VIX increased by 0.14 points from 17.57 points to 17.71 points: Indicating
negativeness for the Market.

Securites in Ban for Trade are:

NIL

10

5,600

Nifty May Future Price saw a decrease of around 0.5% and Open Interest saw a increase
of around 0.46%: Indicating Short Buildup in Nifty.

Global Market Commentary:

20

6,200

L
L
J
L
J
L
J
L

Discount / Premium

In the last trading session of respective global market, Dow (US) closed down at
15335.28 by 19 points. In European Market, FTSE (UK) close at 6755.6 and was gain by
33 points, CAC (France) at 4022.85 and was gain by 21.58 points and DAX (Germany) at
8455.83 and was gain by 58 points.

Today Asian Market :

Today major stock markets in Asia are trading in a mixed sentiment. Hang Seng (China)
down at 23493.03 by 132 points. Nikkei (Japan) at 15360.81 and was gain by 6 points,
Straits Times (Singapore) at 3454.23 and was down by 11 points.

Singapore Nifty future is currently gain by 5 points at 6173.5.

PIVOT
R1
R2
6,186.07 6,217.79 6,270.72 BANKNIFTY (F)
50 Days 100 Days 200 Days
5,902.04 5,846.00 5,728.66 BANKNIFTY (S)

S2
12,946.25
14 Days
12,815.34

S1
13,038.60
30 Days
12,482.67

PIVOT
13,193.65
50 Days
12,298.31

R1
6,217.79
100 Days
12,099.83

R2
13,441.05
200 Days
11,717.78

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. 132080.27 crs in NSE F&O
Segment, compare to 121777.74 crs as of the previous trading day. FIIs were net buyers
of Rs. 1068.4 Crs with an open interest of around Rs. 114877.39 crs. In Index Options FIIs
were net buyers of Rs. 1355.35 crs with 0.83% decrease in open interest. In Stock Future
FIIs were net sellers of Rs. 270.59 crs with 0.06% increase in open interest. In Index
Future FIIs were net buyers of Rs. 116.14 crs with 2.23% increase in open interest:
Indicating LONG UNWINDING in Index Futures by FII's.
Sector wise Chg in OI
1.20%
0.87%

Fund Inflow / Outflow

-0.71%
-0.25%

Change in NSE & FII TO & Nifty

Last 21 Trading Days

100%

1.17%

6,300

-1.79%

6,200
50%

0.98%

6,100

-0.33%
-0.59%

6,000

0%

0.10%

5,900

1.51%

5,800
-50%

2.85%

5,700

0.34%
1.51%

5,600
-100%

5,500

NSE TO
% Chg
Cur OI

Open Interest (in lacs)

0.71%

FII TO
% Chg
Prv OI

-0.05%

NIFTY

Roll Over

-0.60%
Sectoral Open Interest Rollover

3,500

14%

3,000

12%

2,500

10%

2,000

8%

1,500

6%

1,000

4%

500

2%

0%

Sector

Price and Open Interest Analysis

Price Loser

Price Gainer
Symbol
ADANIPOWER
ADANIENT
MCLEODRUSS
ASHOKLEY
IRB

Price
54.30
243.45
322.70
23.95
133.50

% Chg

% Chg
Exp

6.78% 9.48%
2.87% 12.73%
2.77% 3.41%
2.57% 6.44%
2.34% 12.80%

OI
(in Lacs)

% Chg

% Chg
Exp

%
Dlvry

123.52 -12.47% 3.80% 19.54%

41.25 4.17% 1.65% 6.40%
22.81 0.75% -2.56% 26.25%
122.58 -4.42% 27.04% 41.69%
115.12 0.75% 16.60% 22.80%

COC

Roll
Over

13.47% 4.16%
8.26% 4.20%
5.09% 34.85%
7.63% 17.40%
13.70% 1.86%

Symbol
RANBAXY
PTC
LUPIN
CROMPGREAV
COLPAL

Price
445.75
60.60
771.00
101.95
1,430.60

% Chg

-5.92% -3.52%
-4.34% -0.98%
-4.15% 11.52%
-4.14% 7.60%
-3.93% 3.08%

Open Interest Gainer

Symbol
JSWENERGY
UCOBANK
WIPRO
PTC
TECHM

Price
66.85
81.45
339.25
60.60
926.60

% Chg

% Chg
Exp

-0.52% 3.72%
0.06% 20.31%
-1.58% 1.12%
-4.34% -0.98%
-0.66% -0.10%

13.54% 20.17%
12.16% 111.83%
9.47% 51.58%
9.20% 88.98%
8.04% 29.19%

%
Dlvry
49.50%
32.78%
84.09%
46.78%
58.17%

COC
-29.91%
15.72%
14.01%
18.11%
17.77%

Roll
Over

Symbol

10.52%
5.62%
25.27%
4.65%
3.28%

KTKBANK
ADANIPOWER
PFC
GODREJIND
IBREALEST

Price
156.50
54.30
204.75
305.95
82.75

% Chg

% Chg
Exp

-1.42% 2.86%
6.78% 9.48%
-0.53% 3.07%
-3.64% -1.34%
-3.72% 16.96%

Long Buildup
Symbol
ADANIENT
MARUTI
RELCAPITAL
SYNDIBANK
HDIL

Price
243.45
1,751.15
382.00
133.20
61.35

% Chg

% Chg
Exp

2.87% 12.73%
1.89% 10.07%
1.56% 5.16%
1.64% 11.60%
1.49% 7.26%

4.17%
3.44%
3.51%
3.14%
3.28%

1.65%
52.21%
15.95%
77.32%
31.94%

%
Dlvry

COC

Roll
Over

Symbol

6.40%
23.36%
13.73%
38.26%
12.51%

8.26%
18.60%
14.84%
12.35%
20.88%

4.20%
5.99%
8.57%
14.15%
10.10%

GODREJIND
KTKBANK
CROMPGREAV
IBREALEST
GMRINFRA

Price
305.95
156.50
101.95
82.75
23.85

% Chg

% Chg
Exp

-3.64% -1.34%
-1.42% 2.86%
-4.14% 7.60%
-3.72% 16.96%
-2.25% 7.92%

Short Covering
Symbol
ADANIPOWER
ASHOKLEY
SRTRANSFIN
CESC
IVRCLINFRA

Price
54.30
23.95
803.40
326.35
22.65

% Chg

% Chg
Exp

6.78% 9.48%
2.57% 6.44%
1.26% 13.43%
1.21% 9.73%
1.34% 6.84%

34.15
45.12
25.32
70.80
1.19

% Chg

% Chg
Exp

5.38% 32.82%
9.20% 88.98%
-1.27% 238.42%
-7.28% 10.35%
7.45% 5.72%

%
Dlvry

COC

Roll
Over

56.80%
46.78%
75.90%
39.66%
53.43%

17.65%
18.11%
12.57%
8.96%
15.34%

10.13%
4.65%
5.31%
4.86%
4.61%

OI
% Chg
% Chg
(in Lacs)
Exp

%
Dlvry

COC

Roll
Over

142.78 -21.45%
123.52 -12.47%
51.52 -11.11%
6.90 -8.49%
149.00 -7.77%

9.39%
3.80%
44.72%
10.72%
-1.99%

20.81%
19.54%
54.79%
52.74%
21.53%

9.34%
13.47%
3.57%
6.57%
15.47%

24.90%
4.16%
4.56%
4.56%
5.46%

%
Dlvry

COC

Roll
Over

52.74%
20.81%
39.66%
21.53%
34.03%

6.57%
9.34%
8.96%
15.47%
15.34%

4.56%
24.90%
4.86%
5.46%
22.13%

%
Dlvry

COC

Roll
Over

46.78%
56.80%
53.43%
40.87%
84.09%

18.11%
17.65%
15.34%
9.94%
14.01%

4.65%
10.13%
4.61%
3.56%
25.27%

Long Unwind

OI
% Chg
% Chg
(in Lacs)
Exp
41.25
32.04
81.15
47.92
292.32

OI
(in Lacs)

Open Interest Loser

OI
% Chg
% Chg
(in Lacs)
Exp
71.44
196.64
18.26
45.12
11.12

% Chg
Exp

OI
% Chg
% Chg
(in Lacs)
Exp

OI
% Chg
% Chg
(in Lacs)
Exp
6.90 -8.49%
142.78 -21.45%
70.80 -7.28%
149.00 -7.77%
453.50 -6.28%

10.72%
9.39%
10.35%
-1.99%
22.05%

Short Buildup
%
Dlvry

123.52 -12.47% 3.80% 19.54%

122.58 -4.42% 27.04% 41.69%
15.92 -6.95% -8.74% 69.39%
7.05 -5.11% 20.70% 51.99%
263.76 -4.10% -1.51% 23.28%

COC

Roll
Over

13.47% 4.16%
7.63% 17.40%
6.14% 1.33%
-2.24% 2.49%
16.15% 4.66%

Symbol
PTC
RANBAXY
COLPAL
DIVISLAB
WIPRO

Price
60.60
445.75
1,430.60
1,085.15
339.25

% Chg
-4.34%
-5.92%
-3.93%
-3.46%
-1.58%

% Chg
Exp
-0.98%
-3.52%
3.08%
2.61%
1.12%

OI
% Chg
% Chg
(in Lacs)
Exp
45.12
34.15
1.19
5.22
18.26

9.20%
5.38%
7.45%
4.87%
9.47%

88.98%
32.82%
5.72%
30.11%
51.58%

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
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500
6600

Price
665.25
559.30
462.45
368.75
272.60
182.05
106.30
49.95
18.55
5.75
1.70
0.70

PUT

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

% Chg
-4.03%
-5.87%
-6.90%
-7.40%
-9.90%
-15.42%
-20.52%
-28.90%
-39.87%
-46.01%
-48.48%
-48.15%

8.23
9.39
13.05
17.52
22.36
28.97
51.98
71.36
60.28
58.46
15.03
5.34

8.45
9.51
13.30
18.06
23.46
31.62
56.13
75.32
55.72
55.17
15.17
5.32

CE OI
% Chg
-2.69%
-1.30%
-1.81%
-2.99%
-4.67%
-8.40%
-7.39%
-5.26%
8.20%
5.97%
-0.89%
0.32%

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

Price

% Chg

1.30
2.00
3.05
5.15
9.70
19.95
42.05
83.50
149.65
235.20
325.40
440.90

-33.33%
-21.57%
-15.28%
-10.43%
-3.00%
4.18%
11.84%
18.19%
14.94%
11.18%
9.84%
4.23%

39.15
39.79
66.26
59.93
72.48
77.22
56.21
46.10
9.99
1.22
2.75
0.04

Call Put Open Interest Concentration

30%

90
80

20%

70
60

10%

50

0%

40
-10%

30
20

-20%

10

-30%

-40%

CE OI
(in lkh)

PE OI
(in lkh)

Poly. (CE OI
(in lkh))

Poly. (PE OI
(in lkh))

PCR (OI)

-50%

46.98
42.86
67.65
69.13
75.08
83.65
57.88
47.59
7.93
1.14
2.77
0.06

PE OI
% Chg
-16.67%
-7.14%
-2.06%
-13.30%
-3.45%
-7.69%
-2.89%
-3.13%
25.96%
7.27%
-0.92%
-39.68%

OI
4.76
4.24
5.08
3.42
3.24
2.67
1.08
0.65
0.17
0.02
0.18
0.01

OI (T-1)
5.56
4.51
5.09
3.83
3.20
2.65
1.03
0.63
0.14
0.02
0.18
0.01

Call Put Open Interest Concentration

CE OI
PE OI
% Chg
% Chg

PCR
% Chg
-14.36%
-5.92%
-0.25%
-10.62%
1.28%
0.78%
4.86%
2.25%
16.42%
1.23%
-0.03%
-39.87%

Most Active Option Contract and Sentiment Reviews

Most Active Nifty - CALL
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

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

6,200
6,300
6,400
6,100
6,500

Setl
Price

Most Active Nifty

Con
(in lkh)

49.95
18.55
5.75
106.30
1.70

Trd
Val (Cr)

4.12
3.68
1.93
1.16
0.77

12,916.59
11,658.02
6,176.55
3,628.59
2,498.30

OI
(in lkh)
71.36
60.28
58.46
51.98
15.03

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
PE
CE
PE

Most Active Nifty - PUT

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

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

Setl
Price

6,100
6,200
6,000
5,900
5,800

Trd
Val (Cr)

4.15
4.00
2.79
1.43
0.93

12,732.66
12,530.45
8,385.81
4,210.12
2,695.06

OI
(in lkh)
56.21
46.10
77.22
72.48
59.93

Symbol
SBIN
RELIANCE
RELIANCE
SBIN
SBIN

Expiry
Date

Opt

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

CE
CE
CE
CE
CE

Basis

HAVELLS
ADANIPOWER
CROMPGREAV
GMRINFRA
ZEEL

Symbol
RANBAXY
GODREJIND
ADANIPOWER
DIVISLAB
COLPAL

6.65
0.45
0.80
0.20
2.10

Price

% Chg

445.75
305.95
54.30
1,085.15
1,430.60

-5.92%
-3.64%
6.78%
-3.46%
-3.93%

30-May-13
680.35
54.30
101.95
23.85
246.05

27-Jun-13
687.00
54.75
102.75
24.05
248.15

Volatility Gainer
% Chg
OI
% Chg
Exp (in Lacs)
-3.52%
34.15 5.38%
-1.34%
6.90 -8.49%
9.48% 123.52 -12.47%
2.61%
5.22 4.87%
3.08%
1.19 7.45%

Con
(in lkh)

49.95
42.05
83.50
18.55
19.95

Trd
Val (Cr)

4.12
4.15
4.00
3.68
2.79

12,916.59
12,732.66
12,530.45
11,658.02
8,385.81

OI
(in lkh)
71.36
56.21
46.10
60.28
77.22

Strike
Price
2,500
840
860
2,400
2,450

LTP

Con
(in '000)

Trd
Val (Cr)

7.29
6.30
6.02
5.45
4.96

230.84
135.16
130.93
168.44
154.68

25.90
11.95
5.65
56.50
37.25

OI
(in lkh)
7.41
9.63
8.56
4.83
2.64

CoC Gainer

Spread Gainer
Symbol

6,200
6,100
6,200
6,300
6,000

Setl
Price

Most Active Stock

Con
(in lkh)

42.05
83.50
19.95
9.70
5.15

Strike
Price

Dvnd
-

% Chg
Exp
32.82%
10.72%
3.80%
30.11%
5.72%

Spread
35.50%
30.12%
28.53%
30.48%
31.02%

Chg
34.28
32.88
21.94
19.00
18.40

%
Volatility Roll
Dlvry % Chg Over
56.80% 28.39% 10.13%
52.74% 19.20% 4.56%
19.54% 18.45% 4.16%
40.87% 14.77% 3.56%
53.43% 14.20% 4.61%

Symbol

Basis

IOC
UNIPHOS
TCS
HDIL
BANKBARODA

Symbol
HINDUNILVR
UCOBANK
LICHSGFIN
RCOM
UNIPHOS

1.90
0.75
-0.90
0.35
2.80

Price

% Chg

588.85 0.14%
81.45 0.06%
275.45 0.00%
113.30 -0.66%
155.05 0.13%

Future

Spot

305.05
155.05
1,471.50
61.35
737.45

303.15
154.30
1,472.40
61.00
734.65

Expiry to Exipry Gainer

% Chg
OI
% Chg
Exp (in Lacs)
23.02%
76.18 -1.48%
20.31% 196.64 12.16%
18.55%
96.75 -3.33%
18.51% 371.36 -1.68%
17.24%
63.74 1.69%

Dvnd
-

% Chg
Exp
91.34%
111.83%
-10.44%
5.36%
-5.64%

CoC
22.81%
17.70%
-2.23%
20.88%
13.88%

Chg
20.56
18.61
17.84
13.90
11.42

%
Volatility Roll
Dlvry
% Chg
Over
89.60% -3.05% 31.24%
32.78% -3.05% 5.62%
38.91% -3.05% 4.78%
7.61% -2.98% 6.17%
69.74% -3.04% 1.33%

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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