Derivative Report

Aug 14, 2012

Comments
The Nifty futures open interest increased by 3.96% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.32% as market closed at 5347.90 levels.
The Nifty Aug. future closed at premium of 24.00 point

against premium of 24.70 points. The Sept. series closed at a premium of 50.35 points.
The Implied Volatility of at the money options is

decreased from 14.81% to 13.48%.

Nifty PCR-OI increased from 1.17 to 1.20 levels. The total OI of the market is `1,41,644/- cr. and the

stock futures OI are `31,404/- cr.

Few of the

liquid counters where we have seen high Cost-of-Carry are VIDEOIND, MTNL, RUCHISOYA, JSWISPAT and FORTIS.

OI Gainers
SCRIP MCDOWELL-N EDUCOMP JETAIRWAYS OPTOCIRCUI DABUR OI 8297500 3278000 1902000 3000000 2236000 OI CHANGE (%) 29.38 16.65 14.79 13.77 13.39 PRICE 921.00 157.20 389.10 149.95 123.40 PRICE CHANGE (%) 11.66 -4.26 5.54 -2.95 2.65

View
FIIs were net buyers in cash market segment; they

were net buyers worth of `340/- cr. On derivatives front they were net sellers in both index futures and in index options in yesterdays trade.
On options front not much of activity was observed in

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

call option, maximum buildup was observed in 5600 call option and 5400 and 5700 call option has seen decent amount of unwinding. While in put option 5200-5300 strike price has seen good amount of buildup in open interest followed by considerable amount of unwinding in 4800 put option in yesterdays trading session.
The recent fall in RANBAXY was mainly due to long

SIEMENS IGL TATACOFFEE VIDEOIND SRTRANSFIN

758000 1426000 695250 6830000 326000

-12.47 -11.54 -8.40 -8.00 -7.52

670.10 257.55 989.95 169.25 567.90

1.92 1.58 -0.72 0.62 0.00

unwinding. However the stock in yesterdays trading session has seen significant rise in open interest with sharp increase in CoC. We feel majority of the buildup is on the longer side and also the counter has seen taking very strong support around `475478 levels. Hence we recommend to go long on this stock at around `484-488 with the target price of `520 and stop loss at `472.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK BHARTIARTL PCR-OI 1.20 0.83 0.43 0.72 0.20 PCR-VOL 1.20 0.73 0.56 0.55 0.25

Historical Volatility
SCRIP MCDOWELL-N SREINFRA HDFC DABUR ULTRACEMCO HV 76.31 67.85 29.63 25.40 19.26

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Derivative Report
Aug 14, 2012

FII Statistics for 13-August-2012

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16414.11 45076.08 25086.36 2169.72 88746.26 Change (%) 3.59 1.03 0.57 4.78 1.47

Turnover on 13-August-2012
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

747.90 8177.01 1019.19 1224.95

775.60 8586.93 1460.78 1254.44

(27.69) (409.92) (441.59) (29.49) (908.69)

636918 1687163 928134 80177 3332392

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,48,261 21,75,070 4,25,878 2,64,366 31,13,575

6278.68 57762.15 11935.81 7475.24 83451.87

-18.14 -2.26 -16.92 -40.64 -10.96

11169.06 12077.76

Nifty Spot =5347.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 47.95 16.85 47.95 4.95 16.85 4.95 11.90 88.10 5511.90 43.00 157.00 5443.00 Risk 31.10 Reward 68.90 BEP 5431.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 34.20 14.65 34.20 6.50 14.65 6.50 8.15 91.85 5191.85 27.70 172.30 5272.30 Risk 19.55 Reward 80.45 BEP 5280.45

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

Nifty Put-Call Analysis

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Derivative Report
Aug 14, 2012

Strategy Date 30-07-2012 06-08-2012 13-08-2012

Symbol AXISBANK NIFTY DLF

Strategy Long Call ladder Bull Call Spread Ratio Call Spread

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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