Derivative Report

Apr 30, 2013

 The Nifty futures open interest increased by 2.27% while

Nifty Vs OI

BankNifty futures open interest is increased by 6.52% as market closed at 5904.10 levels.
 The Nifty May. future closed at premium of 14.10 point

against a premium of 16.30 points. The Jun series closed at a premium of 25.05 points.
 The Implied Volatility of at the money options has

increased from 13.10% to 13.21%.
 Nifty PCR-OI has remained unchanged at 1.05 levels.  The total OI of the market is Rs. 1,11,564/- cr. and the

stock futures OI is Rs.25,763/- cr.
 Few of the liquid counters where we have seen high cost


View OI Gainers
SCRIP UNIONBANK JINDALSTEL IOB HINDUNILVR APOLLOTYRE OI 2967000 8641000 7272000 7092500 4192000 OI CHANGE (%) 21.50 19.37 18.59 17.02 16.83 PRICE 245.60 301.30 63.60 497.35 95.15 PRICE CHANGE (%) 4.43 -4.59 -5.21 6.96 4.25  FII’s have being buying continuously in cash market

segment; in yesterday’s trade also they were net buyers worth of Rs.620/- cr. On derivatives front not much of activity was observed by them in index futures, however good amount of short buildup was seen by them in index options and stock futures in yesterday’s trade.
 On options front the activity in call option has being

seen in 6100 strike price where some buildup was observed, while in put option 5700 and 5900 strikes saw maximum buildup in open interest in yesterday’s trading session.
 HINDUNILVR has seen significant amount of long

OI Losers


1839000 2136000 10625000 1441000 3380000

-8.55 -8.40 -7.38 -7.27 -4.41

422.95 134.95 252.10 1648.80 83.05

0.46 -3.79 1.57 3.36 1.83

buildup in yesterday’s trade post its positive result. The counter has good amount of short positions there in this stock which is still intact. Hence we feel the stock could see some short covering bounce from current level which could take the counter to around Rs.532. Go long with the stop loss of Rs.484.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY RELIANCE SBIN PCR-OI 1.05 1.34 0.44 0.48 0.61 PCR-VOL 1.11 1.14 0.39 0.45 0.68

Historical Volatility


Derivative Report
Apr 30, 2013

FII Statistics for 29-April-2013
Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10137.71 41906.83 23255.08 1356.99 76656.62 Change (%) 3.13 2.73 2.07 26.66 2.93

Turnover on 29-April-2013
No. of Contracts Turnover (` in cr.) Change (%)


870.31 5537.17 1345.32 733.95 8486.76

862.88 5852.54 1733.24 754.29 9202.95

7.44 (315.37) (387.91) (20.34) (716.19)

340618 1418161 836515 48971 2644265


1,79,278 14,96,477 4,50,958 2,29,715 23,56,428

5394.48 50295.34 12781.38 6601.80 82109.86

-27.22 0.00 -19.45 -22.65 0.00

Nifty Spot =5904.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 98.90 54.25 98.90 25.85 54.25 25.85 28.40 71.60 6028.40 73.05 126.95 5973.05 Risk 44.65 Reward 55.35 BEP 5944.65

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 82.25 47.90 82.25 26.75 47.90 26.75 21.15 78.85 5778.85 55.50 144.50 5844.50 Risk 34.35 Reward 65.65 BEP 5865.65

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

Nifty Put-Call Analysis


Derivative Report
Apr 30, 2013

Strategy Date 29-April-2013

Symbol TCS

Strategy Bull call spread

Status Open

Research Team Tel: 022 - 39357800



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