Derivative Report

Aug 19, 2013

Comments The Nifty futures open interest increased by 16.87% while BankNifty futures open interest is increased by 0.62% as market closed at 5507.85 levels. The Nifty August future closed at discount of 2.85 point against a premium of 6.00 points. The September series closed at a premium of 29.75 points. The Implied Volatility of at the money options has increased from 16.68% to 22.98%. Nifty PCR-OI has decreased from 1.05 to 0.98 levels. The total OI of the market is Rs. 1,46,979/- cr. and the stock futures OI is Rs. 26,917/- cr. Few of the liquid counters where we have seen high cost of carry are NHPC, HEXAWARE, INDHOTEL, BHEL, SIEMENS.

Nifty Vs OI

OI Gainers
SCRIP ULTRACEMCO GRASIM RELIANCE TATAPOWER HDFC OI 628750 588375 8521750 5996000 7858500 OI CHANGE (%) 20.25 17.79 16.88 11.20 10.25 PRICE 1684.00 2332.90 826.70 73.45 737.90 PRICE CHANGE (%) -2.83 -3.75 -4.51 -6.19 -5.41

View FII's were net seller in cash market segment, they were net seller worth of Rs. 563/- cr. On derivatives front significant amount of short buildup was seen in index future while in index option huge amount of long buildup was seen in Fridays trading session. In options front 5500 - 5700 call options and 5100 5400 put options added tremendous amount of open interest wherein Fiis too participated. We have also observed huge amount of unwinding in 5600 - 5800 put strikes in Fridays trading session.

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

ABIRLANUVO ZEEL TATACHEM BIOCON HCLTECH

466000 5119000 764000 1824000 3535500

-17.63 -12.87 -12.08 -11.15 -10.97

1225.25 248.80 249.10 337.15 921.00

-3.20 -4.13 -3.51 -1.50 -0.41

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT RELIANCE PCRPCR-OI 0.98 0.72 0.51 0.44 0.51 PCRPCR-VOL 1.17 0.70 0.70 0.17 0.77

Historical Volatility
SCRIP TITAN GAIL JSWSTEEL RCOM SUNTV INFY HV 87.17 46.34 66.48 88.61 75.32 74.73

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Derivative Report
Aug 19, 2013

FII Statistics for 16-Aug-2013

Open Interest Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12403.22 56225.87 26878.82 2818.71 98326.62 Change (%) 12.65 11.09 2.71 0.95 8.39

Turnover on 16-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3475.98

4463.18

(987.20) 1562.68 744.82 (25.32) 1294.98

463290 2059703 1074975 110964 3708932

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

7,31,219 67,07,151 7,55,336 4,11,778 86,05,484

19798.96 188213.06 18855.69 10554.49 237422.20

88.85 93.66 14.87 12.53 77.89

37576.77 36014.09 3332.21 1528.55 2587.39 1553.87

45913.52 44618.53

Nifty Spot =5507.85

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 94.25 50.35 94.25 23.30 50.35 23.30 27.05 72.95 5627.05 70.95 129.05 5570.95 Risk Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 94.30 57.80 94.30 33.15 57.80 33.15 24.65 75.35 5375.35 61.15 138.85 5438.85 Risk Reward BEP

43.90

56.10

5543.90

36.50

63.50

5463.50

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

Nifty Put-Call Analysis

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Derivative Report
Aug 19, 2013

Strategy Date 2929-JulyJuly-2013 0505-AugAug-2013 1212-AugAug-2013

Symbol INFY SBIN LT

Strategy Long Put Long Call Ladder Long Call Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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