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Derivative Report

Mar 13, 2013

The Nifty futures open interest decreased by 2.70% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.28% as market closed at 5914.10 levels.
The Nifty Mar. future closed at premium of 23.15 point

against a premium of 15.05 points. The Apr. series closed at a premium of 56.15 points.
The Implied Volatility of at the money options is

increased from 13.34% to 14.27%.

Nifty PCR-OI has increased from 1.18 to 1.29 levels. The total OI of the market is Rs.1,45,593/- cr. and the

stock futures OI are Rs.29,278/- cr.

Few of the liquid counters where we have seen high cost

SCRIP M&M GAIL JUBLFOOD ASIANPAINT CAIRN OI 4859500 2503000 1082000 277875 11670000 OI CHANGE (%) 15.04 14.61 9.18 8.39 6.82 PRICE 916.85 346.35 1185.80 4752.40 297.80 PRICE CHANGE (%) 0.03 0.04 2.39 0.10 -2.77 Good amount of buying was observed by FIIs in

cash market segment; they were net buyers worth of `733/- cr. On derivatives front some short buildup was observed by them in index futures, while in index options, again, significant amount of long buildup was seen by them in yesterdays trading session and majority of the buildup in options front has being on put side.
On options front 6000 and 6200 call option has

OI Losers

seen good amount of buildup in open interest, while in put option significant amount of buildup was seen in 5400-5800 strikes in yesterdays trade. Since IVs of both call and put options have increased in yesterdays trade we feel majority of this buildup could be on the longer side.
The recent bounce in JPASSOCIAT was mainly due to


78420000 707500 2504000 2264000 1235000

-7.42 -6.60 -6.50 -5.51 -4.71

20.70 552.50 129.75 100.90 280.95

0.73 -1.60 1.28 -0.88 -1.78

short covering. However in yesterdays trade the stock has seen some signs of short buildup and also the counter could take resistance at around `80 odd levels as 80 call option has highest buildup in open interest and with IVs of call option going down most of this buildup could be on the shorter side. Hence we recommend to go short on this stock at around `77-78 levels with the target of `70 and stop loss at `81. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.29 1.52 0.94 0.44 1.55 PCR-VOL 1.34 1.30 0.81 0.56 1.19


HV 29.66 31.31 41.73 35.82 23.81

Derivative Report
Mar 13, 2013

FII Statistics for 12-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10500.93 60537.53 25724.62 3057.02 99820.10 Change (%) 3.42 17.62 0.59 1.19 10.71

Turnover on 12-March-2013
No. of Contracts Turnover (` in cr.) Change (%)




(517.56) 4037.24 125.08 (173.93) 3470.83

352720 2044933 847359 105891 3350903


3,03,300 41,05,177 4,16,105 2,69,848 50,94,430

9,073.99 121,631.52 13,135.19 8,546.39 152,387.09

30.73 43.40 12.23 11.66 37.14

26211.72 22174.48 1375.37 1021.41 1250.29 1195.34

29651.50 26180.67

Nifty Spot =5914.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 41.20 16.00 41.20 5.85 16.00 5.85 10.15 89.85 6110.15 35.35 164.65 6035.35 Risk 25.20 Reward 74.80 BEP 6025.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 53.95 29.15 53.95 17.00 29.15 17.00 12.15 87.85 5787.85 36.95 163.05 5863.05 Risk 24.80 Reward 75.20 BEP 5875.20

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

Nifty Put-Call Analysis

Derivative Report
Mar 13, 2013

Strategy Date 05-Mar-2013 11-Mar-2013


Strategy Ratio Call Spread Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800



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