Derivative Report

May 10, 27, 2013

Comments
The Nifty futures open interest decreased by 1.24%

Nifty Vs OI

while BankNifty futures open interest is decreased by 1.00% as market closed at 5983.55 levels.
The Nifty May future closed at premium of 1.85 point

against a discount of 0.95 points. The June series closed at a premium of 15.65 points.
The Implied Volatility of at the money options has

decreased from 17.88% to 15.27%.

Nifty PCR-OI has remained unchanged at 1.12 levels. The total OI of the market is Rs. 1,69,654/- cr. and the

stock futures OI is Rs.33,662/- cr.

Few of the liquid counters where we have seen high roll-

over are KTKBANK, MCLEODRUSS, IOB, BHEL and ANDHRABANK. View OI Gainers
SCRIP OI OI CHANGE (%) 20.80 20.44 12.72 11.28 7.97 PRICE PRICE CHANGE (%) 1.88 -0.03 -2.40 2.12 -1.57 FIIs after a long time has seen being net sellers in

COLPAL SRTRANSFIN BANKINDIA RCOM IVRCLINFRA

143750 1611500 2924000 47836000 27000000

1462.25 786.00 299.30 108.30 18.90

cash market segment; they were net sellers worth of Rs.238/- cr. On derivatives front some short covering was seen by them in index futures, while in index options good amount of short buildup was observed by them in Fridays trade.
On options front 6000-6100 call option and 5900-

6000 put option has seen decent amount of buildup in open interest, however with IVs of both the options have gone down indicating majority of this buildup could be on the shorter side.
Rollover in NIFTY and BANKNIFTY future is at 11%,

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

which is on the lower side.

SAIL has seen good amount of short buildup since

TATASTEEL LT TATAPOWER TATAMTRDVR PFC

20882000 5288750 13288000 6078000 4834000

-12.13 -12.03 -9.95 -8.60 -7.82

313.00 1456.80 91.50 160.50 193.10

4.39 2.45 3.91 0.16 1.79

start of this series. However around Rs.57-58 the stock has decent support and also the counter has seen some short covering in Fridays trade and hence we feel more short covering bounce can be seen which could take the counter to around Rs.66. Go long at around Rs.59-60 levels with the stop loss of Rs.57. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR INFY PCR-OI 1.12 1.35 0.46 1.26 0.63 PCR-VOL 1.09 0.88 0.70 1.08 0.46

SCRIP TATAPOWER MCDOWELL-N HEXAWARE CESC TATASTEEL

HV 30.70 52.64 38.35 43.52 37.82

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Derivative Report
May 27, 2013

FII Statistics for 24-May-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 2203.14 24813.48 3634.10 1920.29 32571.01 1976.11 26279.95 3879.82 1783.45 33919.33 227.03 (1466.47) (245.72) 136.84 (1348.32) 575380 2061112 1026321 175195 3838008 17277.71 61842.12 29058.24 4942.80 113120.87 Change (%) (2.98) 2.25 (0.11) 0.17 0.71

Turnover on 24-May-2013
Turnover (` in cr.)

Instrument

No. of Contracts

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,77,743 48,11,567 6,77,999 4,36,443 63,03,752

11477.45 145341.76 19615.80 12798.09 189233.10

-28.60 -28.39 -15.48 -44.41 -28.66

Nifty Spot =5983.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 40.65 11.65 40.65 3.05 11.65 3.05 8.60 91.40 6108.60 37.60 162.40 6037.60 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 76.90 43.90 76.90 25.25 43.90 25.25 18.65 81.35 5881.35 51.65 148.35 5948.35 Risk Reward BEP

29.00

71.00

6029.00

33.00

67.00

5967.00

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

Nifty Put-Call Analysis

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Derivative Report
May 27, 2013

Strategy Date 29-Apr-2013 06-May-2013 13-May-2013

20-May-2013

Symbol TCS DLF RELIANCE

NIFTY

Strategy Bull Call Spread Bull Call Spread Ratio Put Spread
Ratio Call Spread

Status Profit booked on 02-May-2013 Profit booked on 16-May-2013

Position squared off Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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