Alternative Research| | INDIA | 02 July 2013 Institution Derivatives Desk institutionderivativesdesk@phillipcapital.

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DAILY

PhillipCapital On Derivatives (PCODE)

Daily Report
PhillipCapital On Derivatives (PCODE)
Resistance around 5930-5970.... -The Nifty opened on a flattish note and steadily rose to 5904. - The index finally ended the day @ 5898.85 up by 0.97%. - The July futures were at discount at 7 point, while August was at a premium of 16 points toward close. - Major contributors to the gains within the index were RELIANCE, LT, HDFC, SBIN, TATAMOTORS while TCS, ONGC, HCLTECH, ICICIBANK, SUNPHARMA contributed negatively. - Among the sectoral indices major gainers were (Chg %) REALTY( 5.3) ;POWER( 2.77) ;CG( 2.77) and major losers were:CD( 1.2) ;BANKNIFTY( 0.84) ;CNXIT( -1.6). - Below average volumes of Rs1035bn were observed in the derivatives segment. - The market-wide open interest is at 1098bn up by 4% and futures Open Interest is at Rs373bn up by 0.9%. NIFTY Options Open Interest Distribution: JULY 2013 : - Highest Put option open interest buildup is at 5600 5700 & 5800 strike with 133k+ 97k+ & 95k+ contracts respectively. - Maximum high Call option open interest buildup is at 6000-5900 & 5800 strike with 102k+ 83k+ & 73k+ contracts respectively. - Fresh put options added position by 27k+ 13k+ and 13k+ contract at 5800 5600 & 5400 strike respectively, while 11k+ contract reduce position at 5100-5200 strike respectively . - Fresh Call option added position by 21k+ and 17k+at 6100-6000 strike respectively. -Technically, resistance is seen around 5930-5970 levels and support around 5820.
6400

Mkt % Change Mkt OI(Rs) Volume(Rs) in OI Dervative Total Stock Future Stock Option Index Future Index Option Cash Market Derivative to Cash % 1034 146 79 83 727 103 1008.8 261 56 112 677 3.7 20.2 7.3 6.9

A/D Ratio 3.2

4.0 3.5

6200

3.0 2.5

6000

2.0 1.5

Index Movers (NIFTY)

Scrip Weight (%) Price Price Chng Contribut (Rs) ion to Index 23.10 11.80 43.75 10.60 61.80 8.50 (6.55) (2.85) (17.60) (3.10) (25.80) 7.37 5.12 4.96 4.70 (0.76) (1.01) (1.45) (1.70) (4.08)

5800

1.0 0.5

5600

0.0 -0.5

RELIANCE LT HDFC SBIN TATAMOTORS SUNPHARMA ICICIBANK HCLTECH ONGC TCS

7.66% 4.14% 7.26% 2.74% 2.71% 1.99% 6.49% 1.06% 3.06% 4.01%

885.70 1451.65 889.65 2015.60 289.80 1005.00 1067.90 758.40 328.00 1492.35

5400 13-May-13 24-May-13 05-Mar-13 18-Mar-13 02-Apr-13 15-Apr-13 01-Jan-13 14-Jan-13 25-Jan-13 30-Apr-13 06-Jun-13 07-Feb-13 20-Feb-13 19-Jun-13

-1.0

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PCODE

Cost Of Carry
Symbol VOLTAS VIJAYABANK TATAMTRDVR SIEMENS RPOWER Top COC 11.92 13.20 11.69 12.41 12.14 Symbol JPPOWER JISLJALEQS IRB IDEA FINANTECH Top COC Symbol 11.73 11.52 12.30 12.13 11.75 TATASTEEL MCLEODRUSS JSWENERGY HINDUNILVR HEROMOTOCO Bottom COC -36.30 -32.11 -57.67 -41.04 -41.86 Symbol CANBK BIOCON BAJAJ-AUTO ASHOKLEY ANDHRABANK Bottom COC -46.07 -29.94 -35.12 -33.14 -81.04

Sentiment Indicators
Nifty PCI 0.74

6400 6200 6000

3.0 2.5 2.0 1.5

5800 1.0 5600 5400 05-Feb-13 12-Feb-13 19-Feb-13 26-Feb-13 07-May-13 13-May-13 20-May-13 27-May-13 01-Jan-13 08-Jan-13 15-Jan-13 22-Jan-13 29-Jan-13 03-Jun-13 10-Jun-13 17-Jun-13 05-Mar-13 12-Mar-13 19-Mar-13 26-Mar-13 24-Jun-13 04-Apr-13 11-Apr-13 18-Apr-13 29-Apr-13 01-Jul-13 0.5 0.0

Eqity PCI 0.36

6400 2.50 6200 6000 5800 5600 5400 07-May-13 13-May-13 20-May-13 27-May-13 04-Apr-13 11-Apr-13 18-Apr-13 29-Apr-13 03-Jun-13 10-Jun-13 17-Jun-13 24-Jun-13 01-Jan-13 08-Jan-13 15-Jan-13 22-Jan-13 29-Jan-13 05-Feb-13 12-Feb-13 19-Feb-13 26-Feb-13 05-Mar-13 12-Mar-13 19-Mar-13 26-Mar-13 01-Jul-13 2.00 1.50 1.00 0.50 0.00 -0.50

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5400

5600

5800

6000

6200

6400

PCODE

5400
5400 5600 5800 6000 6200 6400
01-Jan-13

5600

5800

6000

6200

6400

06-Feb-13
01-Jan-13 08-Jan-13 15-Jan-13 22-Jan-13 29-Jan-13 05-Feb-13 12-Feb-13 19-Feb-13 26-Feb-13 05-Mar-13 12-Mar-13 19-Mar-13 26-Mar-13 04-Apr-13 `` 11-Apr-13 18-Apr-13 29-Apr-13 07-May-13 13-May-13 20-May-13 27-May-13
31-May-13 06-Jun-13 12-Jun-13 18-Jun-13 24-Jun-13 07-Jan-13 11-Jan-13 17-Jan-13 23-Jan-13 29-Jan-13 04-Feb-13 08-Feb-13 14-Feb-13 20-Feb-13 26-Feb-13 04-Mar-13 08-Mar-13 14-Mar-13 20-Mar-13 26-Mar-13 03-Apr-13 09-Apr-13 15-Apr-13 22-Apr-13 29-Apr-13 06-May-13 10-May-13 15-May-13 21-May-13 27-May-13

13-Feb-13

20-Feb-13

27-Feb-13

06-Mar-13

13-Mar-13

20-Mar-13

28-Mar-13

05-Apr-13

12-Apr-13

22-Apr-13

IV 16

Nifty PCR 1.07

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Nifty PVIX 67
28-Jun-13 0 20 40 60 80 100 120 140

30-Apr-13

08-May-13

14-May-13

21-May-13

28-May-13

04-Jun-13

11-Jun-13

03-Jun-13 10-Jun-13 17-Jun-13 24-Jun-13 01-Jul-13

18-Jun-13

25-Jun-13

0.5

0.7

0.9

1.1

1.3

1.5

15

25

35

PCODE

Percentile 25 50 75 Current

3-mth IV 15 16 17 65

6 - mth IV 13 15 17 76

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PCODE

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