Derivative Report

Feb 20, 2013

Comments
The Nifty futures open interest increased by 3.72% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.48% as market closed at 5939.70 levels.
The Nifty Feb. future closed at premium of 13.7 point

against a premium of 6.40 points. The Mar. series closed at a premium of 43.95 points.
The Implied Volatility of at the money options is

increased from 14.06% to 14.36%.

Nifty PCR-OI has increased from 0.93 to 0.95 levels. The total OI of the market is Rs.1,48,622/- cr. and the

stock futures OI are Rs.34,924/- cr.

Few of the liquid counters where we have seen high cost

of carry are SUZLON, WELCORP, ASHOKLEY and HEXAWARE.

SRTRANSFIN,

View OI Gainers
SCRIP TECHM ZEEL SUNPHARMA BHARTIARTL INFY OI 1031750 7750000 3336000 8660000 2987875 OI CHANGE (%) 33.47 17.78 13.20 12.39 10.07 PRICE 1034.50 220.45 792.65 307.55 2820.45 PRICE CHANGE (%) 4.96 -1.69 0.52 -1.75 1.41 After a long time FIIs has seen being net sellers in

cash market segment; they were net sellers worth of `182/- cr. in yesterdays trade. On derivatives front some more short buildup was seen by them in index futures, while in stock futures good amount of short covering was seen and in index options long unwinding was seen by them in yesterdays trading session.
On options front 6200 call option and 5900 put

option has seen maximum buildup in open interest, followed by good amount of unwinding in 59006000 call option in yesterdays trade.
JINDALSTEL has seen significant amount of short

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

UNITECH JPASSOCIAT ORIENTBANK GUJFLUORO NTPC

76170000 82448000 1798000 2171000 35474000

-9.64 -4.36 -4.31 -4.15 -3.93

30.90 75.30 307.70 279.70 153.50

2.31 1.34 2.81 3.43 1.45

positions getting buildup since last few expiries and is now a bit heavy in terms of open interest. Around `370-372 odd levels the stock has decent support and hence we feel the counter could see short covering bounce from current level which could take the stock to around `398. Go long with the stop loss of `367.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.95 1.04 0.55 0.30 0.28 PCR-VOL 0.87 0.73 0.49 0.37 0.41

Historical Volatility
SCRIP TECHM ACC ONGC IFCI GSPL HV 33.56 29.43 39.78 61.43 28.62

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Derivative Report
Feb 20, 2013

FII Statistics for 19-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10699.98 51817.05 30543.52 3220.32 96280.86 Change (%) 3.49 (1.07) 0.54 0.63 (0.02)

Turnover on 19-February-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

629.32 9370.51 1477.16 928.30

1050.23 9516.42 1063.74 938.68

(420.92) (145.92) 413.42 (10.38) (163.80)

357618 1740447 988208 110693 3196966

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,18,443 25,40,077 4,27,467 2,69,247 34,55,234

6543.54 75818.35 13466.91 8493.79 104322.59

46.91 29.73 23.19 17.86 28.74

12405.28 12569.08

Nifty Spot =5939.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 33.85 10.20 33.85 2.35 10.20 2.35 7.85 92.15 6107.85 31.50 168.50 6031.50 Risk 23.65 Reward 76.35 BEP 6023.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 32.80 10.95 32.80 2.90 10.95 2.90 8.05 91.95 5791.95 29.90 170.10 5870.10 Risk 21.85 Reward 78.15 BEP 5878.15

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

Nifty Put-Call Analysis

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Derivative Report
Feb 20, 2013

Strategy Date 04-Feb-2013 11-Feb-2013 18-Feb-2013

Symbol NIFTY BHEL ICICIBANK

Strategy Long Call Bull Call Spread Long Call

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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