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Derivatives Report, 02 April 2013

Derivatives Report, 02 April 2013

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Published by Angel Broking
2nd April, 2013
2nd April, 2013

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Categories:Types, Business/Law
Published by: Angel Broking on Apr 02, 2013
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12/23/2013

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www.angelbroking.com1
Derivative Report
 
Apr 02, 2013
Comments
 
 The Nifty futures open interest increased by 9.37% whileBankNifty futures open interest is increased by 7.60% asmarket closed at 5704.40 levels.
 
 The Nifty Apr. future closed at premium of 22.15 pointagainst a premium of 31.70 points. The May seriesclosed at a premium of 41.65 points.
 
 The Implied Volatility of at the money options isdecreased from 13.93% to 13.70%.
 
Nifty PCR-OI has decreased from 0.98 to 0.97 levels.
 
 The total OI of the market is Rs. 95,536/- cr. and thestock futures OI are Rs.23,250/- cr.
 
Few of the liquid counters where we have seen high costof carry are ANDHRABANK, IVRCLINFRA, IFCI, IOB andGODREJIND.
Nifty Vs OIOI Gainers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)DABUR
1520000 22.58 141.85 4.09
IVRCLINFRA
27728000 19.52 21.75 14.03
ACC
410000 18.24 1160.90 0.76
IGL
1054000 17.24 279.45 1.71
GODREJIND
625000 15.74 303.20 4.01
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 0.97 0.95BANKNIFTY 1.32 0.99RELIANCE 0.60 0.42SBIN 0.76 0.84DLF 0.74 0.49
View
 
FII’s were net buyers in cash market segment; theywere net buyers worth of 
`
313/- cr. On derivativesfront some short buildup was seen by them in indexfutures, while in index options and stock futures somelong buildup was observed by them in yesterday’strading session.
 
On options front 5800-6100 call option has seensignificant amount of buildup in open interest, whilein put option 5300 and 5600 strike price has seenmaximum buildup in open interest in yesterday’strade. IV’s of both call and put option has comedown indicating majority of this buildup could be onthe shorter side.
 
ITC has seen very less rollover in this series indicatingnot much of the long positions have got carriedforward. The counter has some resistance at around
`
310-312 levels and also in yesterday’s trade someshort buildup was also seen in this stock withdecrease in cost-of-carry. Hence we recommend togo short at around
`
308-310 levels with the stop lossof 
`
318 and target of 
`
294.
Historical Volatility
SCRIP HV
DRREDDY 25.19BIOCON 37.28CAIRN 36.51GODREJIND 31.18DABUR 33.99
OI Losers
SCRIP OIOICHANGE(%)PRICEPRICECHANGE(%)
DLF
13169000 -8.09 253.20 8.05
CAIRN
12017000 -7.60 286.05 5.41
COLPAL
193500 -2.03 1276.80 2.77
RECLTD
3147000 -2.02 212.00 2.21
VOLTAS
6324000 -1.59 78.40 4.84
 
 
Derivative Repor
Apr 02, 2013
www.angelbroking.com2
FII Statistics for 01-April-2013
Detail Buy Sell NetOpen InterestContractsValue Change(
`
in cr.) (%)
 
INDEXFUTURES647.69 1065.25 (417.56) 270965 7761.95 2.64INDEXOPTIONS7034.85 6565.80 469.05 1276510 36409.11 4.62STOCK FUTURES1040.95 956.08 84.87 762917 21878.95 0.86STOCK OPTIONS876.75 854.31 22.44 27020 708.59 2225.30 TOTAL 9600.24 9441.45 158.80 2337412 66758.61 4.27
 Turnover on 01-April-2013
InstrumentNo. of Contracts Turnover(
`
in cr.)Change(%)
INDEXFUTURES2,05,045 5875.83 -66.88INDEXOPTIONS18,73,520 54021.28 -73.42STOCK FUTURES3,44,694 9795.78 -71.02STOCK OPTIONS2,09,793 5916.40 -38.94 TOTAL 26,33,052 75609.29 -71.42
Nifty Spot =5704.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy5700 93.1047.20 52.80 5747.20Buy5700 69.2530.60 69.40 5669.40Sell5800 45.90Sell5600 38.65Buy5700 93.1073.85 126.15 5773.85Buy5700 69.2548.40 151.60 5651.60Sell5900 19.25Sell5500 20.85Buy5800 45.9026.65 73.35 5826.65Buy5600 38.6517.80 82.20 5582.20Sell5900 19.25Sell5500 20.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis

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