Derivative Report

July 30, 2013

Comments The Nifty futures open interest increased by 0.84% while BankNifty futures open interest is decreased by 2.67% as market closed at 5838.95 levels. The Nifty August future closed at premium of 38.40 point against a premium of 39.05 points. The September series closed at a premium of 67.00 points. The Implied Volatility of at the money options has increased from 15.88% to 17.59%. Nifty PCR-OI has remained unchanged at 1.00 levels. The total OI of the market is Rs. 1,10,684/- cr. and the stock futures OI is Rs. 27,584/- cr. Few of the liquid counters where we have seen high cost of carry are GMRINFRA, JPPOWER, UNIONBANK, TATAPOWER and IDFC.

Nifty Vs OI

OI Gainers
SCRIP SYNDIBANK DRREDDY RECLTD DISHTV IDFC OI 2900000 799625 4324000 19708000 17388000 OI CHANGE (%) 29.12 26.82 16.77 13.81 12.67 PRICE 87.70 2217.70 165.05 51.35 110.60 PRICE CHANGE (%) -6.59 -3.65 -2.61 -2.54 -4.16

View FII's were net seller in cash market segment, they were net seller worth of Rs. 231/- cr. On derivatives front activity in index futures was subdued and in index options some long buildup was seen in yesterdays trading session. In option front 5900 call option had decent amount of buildup in open interest. While in put option we hardly saw any buildup, maximum buildup was seen in 5700 strike in yesterdays trading session. As BHARTIARTL moved from sub 300 levels, we have seen formation of long positions. In yesterdays trading session we saw sector coming under pressure and we have seen some formation of short buildup in this counter. We expect long unwinding and short formation can bring this counter down. We suggest to go short in it around Rs. 335-338 zone. Fix a stop loss of Rs. 347 and target of Rs. 314.

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

GAIL IDEA IDEA ZEEL EXIDEIND CESC

3054000 6344000 4674000 1986000 474000

-18.36 -13.55 -13.14 -9.48 -8.14

317.85 159.50 250.95 130.40 336.00

0.20 -2.70 -0.69 -0.72 3.00

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT HINDUNILVR PCRPCR-OI 1.00 1.00 0.59 0.63 1.24 PCRPCR-VOL 0.95 0.81 0.62 0.33 1.09

Historical Volatility
SCRIP WIPRO IOC DRREDDY HINDPETRO ADANIENT INFY HV 46.58 41.98 32.21 40.76 53.01 74.73

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Derivative Report
July 30, 2013

FII Statistics for 29-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12356.59 41926.05 24638.69 975.33 79896.67 Change (%) (0.97) 4.55 0.43 13.18 2.43

Turnover on 29-July-2013
No. of Contracts Contracts Turnover (` in cr.) Change (%)

Instrument

818.17 9821.36 1355.11 511.77

794.60 9618.33 1474.63 479.07

23.57 203.03 (119.53) 32.71 139.78

427644 1443685 897400 36611 2805340

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,98,682 39,63,190 10,38,817 3,63,363 58,64,052

14924.93 119620.92 30035.61 11019.68 175601.14

38.76 83.93 74.09 52.84 75.15

12506.42 12366.64

Nifty Spot =5838.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 105.40 63.65 105.40 34.15 63.65 34.15 29.50 70.50 6029.50 71.25 128.75 5971.25 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 86.25 55.20 86.25 33.70 55.20 33.70 21.50 78.50 5678.50 52.55 147.45 5747.45 Risk Reward BEP

41.75

58.25

5941.75

31.05

68.95

5768.95

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

Nifty Put-Call Analysis

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Derivative Report
July 30, 2013

Strategy Date 2929-JulyJuly-2013

Symbol INFY

Strategy Long Put

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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