Derivative Report

Mar 05, 2013

Comments
The Nifty futures open interest increased by 7.68% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.57% as market closed at 5698.50 levels.
The Nifty Mar. future closed at premium of 18.35 point

against a premium of 10.25 points. The Apr. series closed at a premium of 46.45 points.
The Implied Volatility of at the money options is

decreased from 13.16% to 12.50%.

Nifty PCR-OI has increased from 0.88 to 0.90 levels. The total OI of the market is Rs.1,13,662/- cr. and the

stock futures OI are Rs.26,343/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, GMRINFRA, PANTALOONR, AUROPHARMA and IRB.

View OI Gainers
SCRIP BHUSANSTL M&M AMBUJACEM BANKINDIA TCS OI 349504 2775000 7906000 3361000 3050500 OI CHANGE (%) 75.06 26.34 23.69 10.20 9.91 PRICE 460.10 885.50 187.05 309.20 1513.20 PRICE CHANGE (%) -1.14 -0.23 -2.78 -2.43 0.81 FIIs were net sellers in cash market, however there

quantum of selling was quite minimal; they were net sellers worth of `30/- cr. On derivatives front long buildup was seen by them in all the three main segments of index futures, index options and stock futures.
On options front 5300-5600 put option has seen

significant amount of buildup in open interest followed by some unwinding in 5800-6200 strike price. While in call option 5700-5800 strikes has seen maximum buildup in open interest in yesterdays trade.
HINDUNILVR has seen very less rollover in this expiry

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

NHPC TATAMTRDVR GVKPIL SUNTV JPPOWER

152064000 4526000 48480000 1322000 16528000

-37.92 -16.59 -8.46 -8.07 -7.10

19.65 164.20 10.30 431.80 27.85

-23.79 2.11 -5.50 -1.63 -6.07

indicating good amount of shorts created in Jan. series have not carried forward. The counter is nearby its strong support of `438-440 levels and hence we feel the stock could resume its uptrend which could take the stock to around `465. Go long at around `442-444 levels with the stop loss of `432.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.90 1.03 0.53 0.33 0.53 PCR-VOL 0.82 0.57 0.48 0.39 0.60

Historical Volatility
SCRIP NHPC COLPAL ACC CHAMBLFERT HINDALCO HV 135.08 32.86 31.00 57.88 43.19

www.angelbroking.com

Derivative Report
Mar 05, 2013

FII Statistics for 04-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9625.52 41565.76 23656.11 1818.02 76665.42 Change (%) 11.31 3.56 1.27 55.68 4.60

Turnover on 04-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1778.27 9298.93 1897.63 1157.38

1378.91 8667.23 1326.95 901.42

399.37 631.70 570.68 255.95 1857.70

336123 1457948 822539 65295 2681905

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,36,442 21,10,355 3,93,566 2,29,853 29,70,216

6781.38 61123.50 11551.35 6974.09 86430.32

-25.58 -21.83 -24.66 -16.90 -22.15

14132.20 12274.51

Nifty Spot =5698.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 81.25 38.60 81.25 15.90 38.60 15.90 22.70 77.30 5822.70 65.35 134.65 5765.35 Risk 42.65 Reward 57.35 BEP 5742.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 67.30 33.75 67.30 15.00 33.75 15.00 18.75 81.25 5581.25 52.30 147.70 5647.70 Risk 33.55 Reward 66.45 BEP 5666.45

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
Mar 05, 2013

Strategy Date 05-Mar-2013

Symbol TATASTEEL

Strategy Ratio Call Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com