Derivative Report

Feb 08, 2013

Comments
The Nifty futures open interest increased by 0.04% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.27% as market closed at 5938.80 levels.
The Nifty Feb. future closed at premium of 22.30 point

against a premium of 13.77 points. The Mar. series closed at a premium of 52.95 points.
The Implied Volatility of at the money options is

increased from 12.65% to 13.12%.

Nifty PCR-OI has decreased from 0.96 to 0.95 levels. The total OI of the market is Rs.1,27,974/- cr. and the

stock futures OI are Rs.33,768/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, JPPOWER, JSWENERGY, CIPLA and PANTALOONR. View OI Gainers
SCRIP NTPC JUBLFOOD TITAN BANKBARODA UNIONBANK OI 37750000 1405500 4597000 2199500 4348000 OI CHANGE (%) 77.43 27.89 15.88 13.11 10.86 PRICE 148.05 1175.50 263.00 773.10 232.70 PRICE CHANGE (%) -0.87 3.27 -4.94 -2.50 -2.80 FIIs continue to be net buyers in cash market

segment; they were net buyers worth of `827/- cr. On derivatives front some long unwinding was observed by them in index futures, while in index options they were net buyers in yesterdays trade.
On options front 5600, 5800 and 5900 put option

has seen considerable amount of buildup in open interest, while in call option 6000-6100 strike price saw maximum buildup in open interest in yesterdays trading session.
BHEL has seen significant amount of short positions

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

GODREJIND CIPLA TATACHEM HAVELLS ADANIPORTS

1121000 9129000 1328000 358500 3746000

-10.18 -10.15 -9.91 -9.01 -8.68

307.95 394.10 363.40 667.15 155.85

1.88 -2.16 3.54 2.29 0.55

getting buildup since last few trading sessions and is now very much heavy in terms of open interest. Around `198-200 the counter has very strong support and hence can see short covering bounce in this stock which could take the counter to around `220. Go long on dips at around `203-205 levels with the stop loss of `196.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.97 1.06 0.63 0.35 0.33 PCR-VOL 0.88 0.78 0.50 0.33 0.49

Historical Volatility
SCRIP TITAN RELCAPITAL TATACHEM POWERGRID RELINFRA HV 38.97 37.36 33.16 19.58 40.58

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Derivative Report
Feb 08, 2013

FII Statistics for 07-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7975.43 44070.68 31273.14 2366.53 85685.78 Change (%) (0.97) 7.81 1.11 8.57 4.50

Turnover on 07-February-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1342.83

1448.05

(105.22) 728.59 17.40 (121.27) 519.49

266405 1480552 1004841 80632 2832430

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,62,520 24,65,358 4,37,955 2,43,935 34,09,768

7,920.49 46,083.82 14,397.25 8,143.84 71,890.79

21.28 -27.76 -0.12 5.98 -22.21

10898.49 10169.90 1399.03 907.84 1381.64 1029.11

14548.18 14028.69

Nifty Spot =5938.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 54.90 22.30 54.90 7.80 22.30 7.80 14.50 85.50 6114.50 47.10 152.90 6047.10 Risk 32.60 Reward 67.40 BEP 6032.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 93.80 49.30 93.80 23.05 49.30 23.05 26.25 73.75 5873.75 70.75 129.25 5929.25 Risk 44.50 Reward 55.50 BEP 5955.50

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 08, 2013

Strategy Date 04-Feb-2013

Symbol NIFTY

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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