Derivative Report

Aug 05, 2013

Comments The Nifty futures open interest decreased by 5.09% while BankNifty futures open interest is decreased by 0.04% as market closed at 5677.90 levels. The Nifty August future closed at premium of 27.65 point against a premium of 34.20 points. The September series closed at a premium of 54.55 points. The Implied Volatility of at the money options has increased from 19.21% to 19.65%. Nifty PCR-OI has decreased from 0.01 to 0.99 levels. The total OI of the market is Rs. 1,25,741/- cr. and the stock futures OI is Rs. 27,148/- cr. Few of the liquid counters where we have seen high cost of carry are ARVIND, JPPOWER, HINDZINC, BHARATFORG and GMRINFRA.

Nifty Vs OI

OI Gainers
SCRIP SIEMENS RECLTD ADANIENT HDIL UNIPHOS OI 758500 8470000 5479000 47012000 8248000 OI CHANGE (%) 31.57 30.71 24.21 13.75 13.45 PRICE 451.35 151.05 157.80 30.60 124.85 PRICE CHANGE (%) -5.60 -0.62 -10.52 -3.91 0.16

View Though FII's continue to be marginal buyers in cash market segment, their significant unwinding of long positions in index futures is definetely not uncouraging. They have be aggressive buyers in index options with huge built-up observed mainly in call options. In options segment built-up was seen mainly in 5700 call and 5600 put. We did observe some built-up in out-of-money calls of 5900 and 6000 levels. With IV's now near 20% and one week of expiry behind us, short straddle and short strangle guys should come forward to do the trades. HINDPETRO has significantly corrected in last few days due to currency depreciation and rise in crude prices. However there has been not much formation of short positions and stock is trading at huge discount. Though we dont see immediate respite on currency and oil front for the counter, what encourages us to form contra buy is lack of short positions. We suggest to go long in its futures around Rs. 184-187/- with target of Rs. 207/- and stop loss of Rs. 175/-

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

FINANTECH IDEA IOC JPPOWER RANBAXY

1938000 8446000 3148000 24624000 3667500

-24.62 -9.59 -9.23 -8.58 -8.54

147.50 158.95 193.05 10.20 273.10

-23.66 -5.48 -2.19 16.95 3.81

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT INFY PCRPCR-OI 0.99 0.88 0.62 0.44 1.25 PCRPCR-VOL 0.99 0.48 0.64 0.31 1.13

Historical Volatility
SCRIP POWERGRID ADANIENT TITAN ADANIPORTS SYNDIBANK INFY HV 65.56 70.56 65.74 89.73 86.22 74.73

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Derivative Report
Aug 05, 2013

FII Statistics for 02-Aug-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10317.90 50326.97 25699.54 1736.04 88080.44 Change (%) (6.73) 5.97 2.48 13.16 3.39

Turnover on 02-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1383.41

1948.16

(564.75) 1071.34 205.54 59.22 771.35

369740 1783685 996990 64239 3214654

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,28,049 27,94,796 6,42,317 2,75,988 40,41,150

9116.91 81003.68 15201.70 7234.72 112557.02

-38.38 -30.77 -15.85 -10.15 -28.73

13960.94 12889.60 2238.02 859.71 2032.48 800.49

18442.08 17670.73

Nifty Spot =5677.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 121.90 74.20 121.90 40.85 74.20 40.85 33.35 66.65 5833.35 81.05 118.95 5781.05 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 119.85 82.65 119.85 54.85 82.65 54.85 27.80 72.20 5572.20 65.00 135.00 5635.00 Risk Reward BEP

47.70

52.30

5747.70

37.20

62.80

5662.80

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
Aug 05, 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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