Derivative Report

Feb 18, 2013

 The Nifty futures open interest increased by 5.06% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.17% as market closed at 5887.40 levels.
 The Nifty Feb. future closed at premium of 5.25 point

against a premium of 3.25 points. The Mar. series closed at a premium of 36.45 points.
 The Implied Volatility of at the money options is

decreased from 13.50% to 12.89%.
 Nifty PCR-OI has decreased from 0.98 to 0.96 levels.  The total OI of the market is Rs.1,43,642/- cr. and the

stock futures OI are Rs.33,252/- cr.
 Few of the liquid counters where we have seen high cost


View OI Gainers
SCRIP TATAMTRDVR HAVELLS CAIRN RELIANCE HDFCBANK OI 6442000 380000 14983000 10309250 9339500 OI CHANGE (%) 22.99 11.76 10.33 6.81 6.78 PRICE 167.55 697.45 304.30 845.80 676.75 PRICE CHANGE (%) 0.93 0.76 -2.27 -1.23 0.24  FII’s continue to buy in cash market segment,

however the quantum has now decreased a bit; they were net buyers worth of `247/- cr. in Friday’s trade. On derivatives front good amount of short buildup was seen by them in index futures, while in index options and stock futures some long buildup was observed by them in Friday’s trading session.
 On options front 5900-6000 call option has seen

OI Losers

good amount of buildup in open interest with increase in IV of call option majority of this buildup could be on the longer side. While in put option 5400-5500 strike price has seen decent amount of buildup in open interest followed by some unwinding in 5900-6000 strikes in yesterday’s trade.
 RANBAXY has seen significant amount of short


778000 17560000 1706000 7660000 1419000

-6.99 -6.99 -6.39 -5.71 -5.15

998.65 31.00 587.25 85.95 257.30

-0.06 5.08 -0.64 1.47 0.14

positions getting buildup since last expiry and is now bit heavy in terms of open interest. However around `405 odd levels the counter has decent support and hence we feel the stock could see some short covering bounce from current level which could take the counter to around `434. Go long with the stop loss of `398.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.96 1.02 0.51 0.34 0.30 PCR-VOL 0.81 0.60 0.48 0.44 0.51

Historical Volatility


Derivative Report
Feb 18, 2013

FII Statistics for 15-February-2013
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9840.61 51146.92 30005.47 3126.46 94119.46 Change (%) 8.74 5.26 0.83 7.40 4.25

Turnover on 15-February-2013
No. of Contracts Turnover (` in cr.) Change (%)




(743.68) 719.62 124.89 113.37 214.20

332107 1732916 988489 109441 3162953


2,73,553 30,77,377 4,51,023 3,41,115 41,43,068

8145.34 91634.74 14158.22 10576.35 124514.65

6.01 18.66 -23.75 -44.74 1.54

15800.60 15080.97 1513.67 1587.91 1388.78 1474.54

20170.05 19955.85

Nifty Spot =5887.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 54.80 20.65 54.80 6.25 20.65 6.25 14.40 85.60 6014.40 48.55 151.45 5948.55 Risk 34.15 Reward 65.85 BEP 5934.15

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 60.40 24.35 60.40 7.70 24.35 7.70 16.65 83.35 5783.35 52.70 147.30 5847.30 Risk 36.05 Reward 63.95 BEP 5863.95

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


Derivative Report
Feb 18, 2013

Strategy Date 04-Feb-2013 11-Feb-2013


Strategy Long Call Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800



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