Derivative Report

May Jun 21, 10,2013 2013

Comments
The Nifty futures open interest increased by 17.23% while

Nifty Vs OI

BankNifty futures open interest is increased by 17.40% as market closed at 5655.90 levels.
The Nifty Jun future closed at discount of 7.45 point

against a premium of 0.45 points. The July series closed at a premium of 12.20 points.
The Implied Volatility of at the money options has

decreased from 20.12% to 18.68%.

Nifty PCR-OI has decreased from 0.94 to 0.87 levels. The total OI of the market is Rs. 1,58,750/- cr. and the

stock futures OI is Rs.31,686/- cr.

Few of the liquid counters where we have seen high cost

of carry are DISHTV, GMRINFRA, CANBK, IFCI and IOC.

View OI Gainers
SCRIP DLF TATASTEEL MCLEODRUSS GAIL INDUSINDBK OI 23806000 26077000 3986000 5862000 4916500 OI CHANGE (%) 50.00 24.85 21.86 18.14 17.59 PRICE 175.50 272.55 305.60 291.40 449.25 PRICE CHANGE (%) -7.04 -6.46 -2.55 -2.22 -6.19 FIIs have being selling heavily in cash market

segment; they were net sellers worth of Rs2095/- cr. On derivatives front significant amount of short buildup was seen by them in index futures, while in index options also some short buildup was observed by them in yesterdays trade.
On options front positions are getting shifted in call

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

options, from higher strike price to lower strike price. 5600-5800 call option has seen significant amount of buildup in open interest and simultaneously 59006200 strike has seen considerable amount of unwinding. While in put option 5600 strike has seen maximum buildup in open interest, followed by decent amount of unwinding in 5700-5900 put option which was much of short covering in yesterdays trading session.
M&M has seen good amount of short positions

SUNTV SYNDIBANK AUROPHARMA FEDERALBNK TECHM

2265000 2462000 11280000 878500 1382500

-7.55 -7.37 -5.59 -4.92 -4.66

360.20 116.55 172.15 430.30 984.35

-0.08 -4.11 -5.47 -2.81 -2.72

getting buildup since last few trading sessions especially in yesterday trade and also its cost-of-carry has turned negative. Hence we feel the counter could see some downward pressure in near term which could take the stock to around `902. Go short with the stop loss of `962. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR RELIANCE PCR-OI 0.87 0.82 0.48 0.65 0.52 PCR-VOL 0.87 0.72 0.69 0.74 0.57

SCRIP IRB HDFCBANK BANKBARODA SINTEX SAIL

HV 45.44 32.33 47.68 58.74 42.84

www.angelbroking.com

Derivative Report
Jun 21, 2013

FII Statistics for 20-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13970.75 59064.69 28697.57 2129.42 103862.43 Change (%) 13.35 7.88 1.67 2.44 10.52

Turnover on 20-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2241.95

3312.53

(1070.57) (155.33) 321.99 29.63 (874.28)

494210 2087873 1072825 83276 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,99,587 57,93,209 6,46,858 3,55,395 72,95,049

14271.88 167808.48 17355.59 9796.17 209232.12

64.12 63.20 29.38 15.02 56.78

24195.37 24350.70 2893.44 1265.41 2571.45 1235.78

30596.18 31470.46

Nifty Spot =5655.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 35.00 12.05 35.00 4.15 12.05 4.15 7.90 92.10 5807.90 30.85 169.15 5730.85 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 40.20 15.30 40.20 5.10 15.30 5.10 10.20 89.80 5489.80 35.10 164.90 5564.90 Risk Reward BEP

22.95

77.05

5722.95

24.90

75.10

5575.10

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
Jun 21, 2013

Strategy Date 03-June-2013 10-June-2013 17-June-2013

Symbol RELIANCE NIFTY HDFC

Strategy Long call ladder Long Call Ratio Call Spread

Status Open Loss booked on 17-Jun-13 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