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Derivatives Report, 05 March 2013

Derivatives Report, 05 March 2013

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Published by Angel Broking
5th March, 2013
5th March, 2013

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Categories:Types, Business/Law
Published by: Angel Broking on Mar 06, 2013
Copyright:Attribution Non-commercial

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03/06/2013

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www.angelbroking.com1
Derivative Report
 
Mar 05, 2013
Comments
 
 The Nifty futures open interest increased by 7.68% whileBankNifty futures open interest is increased by 3.57% asmarket closed at 5698.50 levels.
 
 The Nifty Mar. future closed at premium of 18.35 pointagainst a premium of 10.25 points. The Apr. seriesclosed at a premium of 46.45 points.
 
 The Implied Volatility of at the money options isdecreased 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 thestock futures OI are Rs.26,343/- cr.
 
Few of the liquid counters where we have seen high costof carry are WELCORP, GMRINFRA, PANTALOONR,AUROPHARMA and IRB.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)BHUSANSTL
349504 75.06 460.10 -1.14
M&M
2775000 26.34 885.50 -0.23
AMBUJACEM
7906000 23.69 187.05 -2.78
BANKINDIA
3361000 10.20 309.20 -2.43
 TCS
3050500 9.91 1513.20 0.81
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.90 0.82BANKNIFTY 1.03 0.57SBIN 0.53 0.48RELIANCE 0.33 0.39ICICIBANK 0.53 0.60
View
 
FII’s were net sellers in cash market, however therequantum of selling was quite minimal; they were netsellers worth of 
`
30/- cr. On derivatives front longbuildup was seen by them in all the three mainsegments of index futures, index options and stockfutures.
 
On options front 5300-5600 put option has seensignificant amount of buildup in open interestfollowed by some unwinding in 5800-6200 strikeprice. While in call option 5700-5800 strikes hasseen maximum buildup in open interest in yesterday’strade.
 
HINDUNILVR has seen very less rollover in this expiryindicating good amount of shorts created in Jan.series have not carried forward. The counter isnearby its strong support of 
`
438-440 levels andhence we feel the stock could resume its uptrendwhich could take the stock to around
`
465. Go longat around
`
442-444 levels with the stop loss of 
`
432.
Historical Volatility
SCRIP HV
NHPC 135.08COLPAL 32.86ACC 31.00CHAMBLFERT 57.88HINDALCO 43.19
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
NHPC
152064000 -37.92 19.65 -23.79
 TATAMTRDVR
4526000 -16.59 164.20 2.11
GVKPIL
48480000 -8.46 10.30 -5.50
SUNTV
1322000 -8.07 431.80 -1.63
PPOWER
16528000 -7.10 27.85 -6.07
 
 
Derivative Repor
Mar 05, 2013
www.angelbroking.com2
FII Statistics for 04-March-2013
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
 
INDEXFUTURES1778.27 1378.91 399.37 336123 9625.52 11.31INDEXOPTIONS9298.93 8667.23 631.70 1457948 41565.76 3.56STOCK FUTURES1897.63 1326.95 570.68 822539 23656.11 1.27STOCK OPTIONS1157.38 901.42 255.95 65295 1818.02 55.68 TOTAL 14132.20 12274.51 1857.70 2681905 76665.42 4.60
 Turnover on 04-March-2013
InstrumentNo. of Contracts Turnover(
`
in cr.)Change(%)
INDEXFUTURES2,36,442 6781.38 -25.58INDEXOPTIONS21,10,355 61123.50 -21.83STOCK FUTURES3,93,566 11551.35 -24.66STOCK OPTIONS2,29,853 6974.09 -16.90 TOTAL 29,70,216 86430.32 -22.15
Nifty Spot =5698.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5700 81.2542.65 57.35 5742.65Buy5700 67.3033.55 66.45 5666.45Sell5800 38.60Sell5600 33.75Buy5700 81.2565.35 134.65 5765.35Buy5700 67.3052.30 147.70 5647.70Sell5900 15.90Sell5500 15.00Buy5800 38.6022.70 77.30 5822.70Buy5600 33.7518.75 81.25 5581.25Sell5900 15.90Sell5500 15.00
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

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