Derivative Report

Sept 10, 2013

Comments The Nifty futures open interest increased by 2.89% while BankNifty futures open interest is increased by 2.03% as market closed at 5680.40 levels. The Nifty September future closed at premium of 17.40 point against a premium of 14.20 points. The October series closed at a premium of 43.60 points. The Implied Volatility of at the money options has decreased from 26.22% to 25.93%. Nifty PCR-OI has increased from 1.25 to 1.28 levels. The total OI of the market is Rs. 1,33,913/- cr. and the stock futures OI is Rs. 29,441/- cr. Few of the liquid counters where we have seen high cost of carry are VOLTAS, UNIPHOS, INDIACEM, RPOWER, AUROPHARMA.

Nifty Vs OI

OI Gainers
SCRIP CANBK TATAPOWER ICICIBANK ZEEL RPOWER OI 4679500 11052000 10848000 4999000 26440000 OI CHANGE (%) 42.80 18.53 14.14 12.72 11.37 PRICE PRICE 204.45 70.80 958.40 222.35 68.55 PRICE CHANGE (%) -2.93 -2.46 6.85 -1.17 -1.14

View FII's were net buyer in cash market segment, they were net buyer worth of Rs. 800/- cr. On derivatives front they were net buyer worth of Rs. 1064/- cr in index future with rise in open interest. While in index options good amount of short buildup was seen in Fridays trading session. In options front we have hardly seen any buildup in call options, maximum buildup was seen in 6100 strike. In put option good buildup was seen in 54005700 strike, followed by good amount of unwinding in 4500 strike in Fridays trading session.

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

AXISBANK SESAGOA GODREJIND INDUSINDBK YESBANK

8287750 29326000 386000 8624500 14251000

-17.27 -11.43 -11.26 -10.32 -9.25

952.40 175.50 266.90 413.25 292.95

3.43 1.03 -0.53 3.53 1.67

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.28 1.22 0.87 0.71 1.17 PCRPCR-VOL 0.99 0.86 0.48 0.66 0.53

Historical Volatility
SCRIP CIPLA BPCL ONGC ICICIBANK FRL INFY HV 41.95 81.83 67.88 71.74 101.34 74.73

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Derivative Report
Sept 10, 2013

FII Statistics for 06-Sept-2013

Open Interest Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10058.85 57022.02 27819.04 1364.89 96264.79 Change (%) 3.17 2.39 0.34 17.17 2.03

Turnover on 06-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3222.77

2158.07

1064.70 (575.98) 778.00 (11.16) 1255.56

364441 2014780 1045399 49585 3474205

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,30,925 34,67,701 6,78,249 2,82,456 49,59,331

14484.01 96742.53 17236.23 7440.40 135903.18

-14.41 -4.49 -9.40 -10.03 -6.60

13609.46 14185.44 2851.27 737.79 2073.27 748.96

20421.29 19165.73

Nifty Spot =5680.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 136.65 85.90 136.65 48.80 85.90 48.80 37.10 62.90 5837.10 87.85 112.15 5787.85 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 141.25 104.20 141.25 77.50 104.20 77.50 26.70 73.30 5573.30 63.75 136.25 5636.25 Risk Reward BEP

50.75

49.25

5750.75

37.05

62.95

5662.95

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

Nifty Put-Call Analysis

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Derivative Report
Sept 10, 2013

Strategy Date 0202-SeptSept-13

Symbol NIFTY

Strategy Ratio Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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