Derivative Report

Jan 14, 2013

Comments The Nifty futures open interest decreased by 2.07% while BankNifty futures open interest is decreased by 5.95% as market closed at 5951.30 levels. The Nifty Jan. future closed at premium of 26.00 point against a premium of 34.95 points. The Feb. series closed at a premium of 66.20 points. The Implied Volatility of at the money options is increased from 11.83% to 11.88%. Nifty PCR-OI is unchanged at 1.04 levels. The total OI of the market is Rs.1,45,294/- cr. and the stock futures OI are Rs.38,151/- cr. Few of the liquid counters where we have seen high cost of carry are WELCORP, BPCL, ABB, GMRINFRA and ASIANPAINT.

Nifty Vs OI

View OI Gainers
SCRIP SCRIP INFY JUBLFOOD ABB AMBUJACEM IDFC OI 5263125 598500 204000 9926000 16860000 OI CHANGE (%) 18.15 12.87 11.78 9.46 7.98 PRICE 2712.10 1242.00 691.85 186.40 174.00 PRICE CHANGE (%) 16.56 -2.95 -2.02 -2.97 -3.40

FIIs continue to be net buyers in cash market segment; they were net buyers worth of `825/- cr. On derivatives front short covering was seen by them in both index futures and in stock futures. While in index option they formed long buildup in Fridays trading session. On options front 5700 and 5900 put option has seen good amount of buildup in open interest followed by some unwinding in 6000 strike price. While in call option 6100 strike price saw maximum buildup in open interest in Fridays trade. The counter of CAIRN is still heavy in terms of open interest indicating good amount of short positions are still standing in it. We feel with international crude oil price heading upwards the stock could see a mix of long buildup and short covering rally from current level which could take the counter to around `360. Go long with the stop loss of `330.

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

ZEEL SYNDIBANK TECHM PTC ANDHRABANK

6026000 5520000 1033000 3648000 3472000

-22.21 -14.97 -14.68 -10.24 -9.01

232.30 137.75 989.35 76.30 123.45

2.44 -2.47 1.73 -3.41 -2.82

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.04 0.81 2.02 1.03 0.47 PCRPCR-VOL 0.98 0.77 0.97 1.11 0.51

Historical Volatility
SCRIP INFY WIPRO KOTAKBANK SIEMENS HINDUNILVR PANTALOONR HV 74.73 35.25 25.11 22.09 26.49 79.19

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Derivative Report
Jan 14, 2013

FII Statistics for 11-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7856.97 45587.87 32755.02 3444.51 89644.37 Change (%) (1.21) 5.16 (0.64) 1.61 2.36

Turnover on 11-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1329.12

1149.15

179.97 494.81 298.94 (214.03) 759.69

262599 1528039 1005636 108592 2904866

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,74,500 26,80,833 6,03,406 7,06,017 42,64,756

8143.54 80904.49 20539.93 23262.90 132850.86

12.73 8.18 16.88 80.13 18.10

17620.65 17125.84 2155.50 4320.67 1856.56 4534.70

25425.94 24666.25

Nifty Spot =5951.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 55.50 21.70 55.50 7.05 21.70 7.05 14.65 85.35 6114.65 48.45 151.55 6048.45 Risk 33.80 Reward 66.20 BEP 6033.80

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 76.45 35.75 76.45 14.35 35.75 14.35 21.40 78.60 5878.60 62.10 137.90 5937.90 Risk 40.70 Reward 59.30 BEP 5959.30

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

Nifty Put-Call Analysis

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Derivative Report
Jan 14, 2013

Strategy Date 31-Dec31-Dec-2012 07-Jan07-Jan-2013

Symbol RELINFRA NIFTY

Strategy Long Call Ladder Long Put

Status Open 08-JanProfit booked on 08-Jan-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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