You are on page 1of 3

Derivative Report

Apr 11, 2013

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



FIIs were net buyers in yesterdays trade, however

OI CHANGE (%) 21.46 15.85 10.57 10.03 9.85


PRICE CHANGE (%) 4.23 1.79 3.07 1.78 2.22


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

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


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

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.)


No. of Contracts

Change (%)


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

Derivative Report
Apr 11, 2013

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


Strategy Bear Put Spread Long Put Ladder

Status Open Open

Research Team Tel: 022 - 39357800



This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Limited endeavors to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - For Private Circulation Only

SEBI Registration No: INB 010996539