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Derivative Report

Apr 11, 2013

Comments
The Nifty futures open interest increased by 4.72% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.30% as market closed at 5558.70 levels.
The Nifty Apr. future closed at premium of 5.15 point

against a premium of 5.75 points. The May series closed at a premium of 24.30 points.
The Implied Volatility of at the money options has

decreased from 16.42% to 16.21%.


Nifty PCR-OI has increased from 0.83 to 0.88 levels. The total OI of the market is Rs. 1,33,912/- cr. and the

stock futures OI is Rs.25,648/- cr.


Few of the liquid counters where we have seen high cost

of carry are WELCORP, JISLJALEQS and ASHOKLEY. OI Gainers


SCRIP OI

HINDZINC,

GMRINFRA, View
FIIs were net buyers in yesterdays trade, however

OI CHANGE (%) 21.46 15.85 10.57 10.03 9.85

PRICE

PRICE CHANGE (%) 4.23 1.79 3.07 1.78 2.22

ADANIPORTS HDFCBANK KOTAKBANK SUNTV TCS

2128000 9953500 2908000 1974000 3211000

151.30 632.00 638.20 367.10 1530.45

the quantum of buying was quite less; they were net buyers worth of Rs.20/- cr only. On derivatives front some short buildup was observed by them in both index futures and in index options, followed by some short covering in stock futures in yesterdays trade.
On options front 5300-5500 put option has seen

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

considerable amount of buildup in open interest, since IVs have gone down the buildup could be on the shorter side. While in call option not much of buildup was observed, however decent amount of unwinding was seen 5500, 5700 and 5800 call option in yesterdays trading session.
TATASTEEL has seen good amount of short buildup

WIPRO TATAMTRDVR HDFC LUPIN ALBK

1366500 2480000 6224000 1247000 4082000

-29.71 -6.49 -6.45 -6.21 -4.89

402.25 156.80 783.15 624.20 125.40

2.22 2.11 3.89 1.98 1.41

in last few trading sessions. However in yesterdays trade the stock has seen some long buildup with increase in cost-of-carry. Hence we feel the counter could see some short covering bounce from current levels which could take the stock to around Rs.325. Go long with the stop loss of Rs297.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 0.88 0.90 0.86 0.59 0.58 PCR-VOL 0.86 0.95 0.78 0.73 0.45

Historical Volatility
SCRIP RCOM HDFC KOTAKBANK HEXAWARE AXISBANK HV 99.54 35.36 29.10 44.08 30.82

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Derivative Report
Apr 11, 2013

FII Statistics for 10-April-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 1415.18 16611.24 1916.22 1094.57 21037.20 1633.33 16891.59 1307.85 1109.36 20942.13 (218.16) (280.35) 608.36 (14.79) 95.07 419201 1769097 793749 75122 3057169 11665.99 49169.72 22356.23 1979.23 85171.18 Change (%) 5.81 1.85 0.33 6.27 2.08

Turnover on 10-April-2013
Turnover (` in cr.)

Instrument

No. of Contracts

Change (%)

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,81,775 39,72,030 4,75,055 3,15,177 51,44,037

10562.51 111183.16 13626.07 9284.22 144655.95

-3.15 -10.47 -2.63 -6.82 -9.05

Nifty Spot =5558.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 54.55 22.85 54.55 8.00 22.85 8.00 14.85 85.15 5714.85 46.55 153.45 5646.55 Risk 31.70 Reward 68.30 BEP 5631.70

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 47.95 23.05 47.95 10.25 23.05 10.25 12.80 87.20 5387.20 37.70 162.30 5462.30 Risk 24.90 Reward 75.10 BEP 5475.10

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

Nifty Put-Call Analysis

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Derivative Report
Apr 11, 2013

Strategy Date 01-Apr-2013 08-Apr-2013

Symbol HDFCBANK RELIANCE

Strategy Bear Put Spread Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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