Derivative Report

May Jun 26, 10,2013 2013

Comments
The Nifty futures open interest increased by 3.20% while

Nifty Vs OI

BankNifty futures open interest is increased by 2.86% as market closed at 5609.10 levels.
The Nifty Jun future closed at discount of 0.80 point

against a discount of 1.95 points. The July series closed at a premium of 10.05 points.
The Implied Volatility of at the money options has

decreased from 21.02% to 20.10%.

Nifty PCR-OI has increased from 0.88 to 0.89 levels. The total OI of the market is Rs. 1,69,607/- cr. and the

stock futures OI is Rs.32,653/- cr.

Few of the liquid counters where we have seen high

rollover are SIEMENS, HEXAWARE, BIOCON, HINDZINC and JSWENERGY.

View OI Gainers
SCRIP DISHTV IBREALEST HINDPETRO UNIONBANK RCOM OI 16592000 15092000 9151000 4800000 56056000 OI CHANGE (%) 20.83 20.74 19.57 17.65 13.31 PRICE 58.90 60.25 242.85 177.40 117.35 PRICE CHANGE (%) -2.72 -1.55 0.52 -3.42 4.13 FIIs continue to sell in cash market segment; they

were net sellers worth of Rs.1286/- cr. On derivatives front some short buildup was seen by the in index futures, while in index options not much of activity was observed by them in yesterdays trading session.
On options front not much of activity was seen on

buildup side in yesterdays trade. However decent amount of unwinding was seen in 5700 and 5900 call option. While in put option 5700-5900 strike has also seen some unwinding in open interest.
Rollover in NIFTY and in BANKNIFTY future is bit on

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

lower side at 30% and 22% respectively.

GAIL has seen significant amount of short buildup in

BANKBARODA IVRCLINFRA TATAGLOBAL ASHOKLEY HAVELLS

2969500 14712000 17318000 10260000 890500

-11.92 -11.76 -9.82 -9.24 -7.48

566.50 12.80 133.90 20.65 674.70

2.72 -7.27 0.34 0.49 -3.49

this series and is now quite heavy in terms of open interest. However in yesterdays trade the counter has seen some signs of short covering, hence we feel more short covering could be seen in this stock which could take the counter to around `305. Go long at around `284-286 with the stop loss of `276.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE HINDUNILVR PCR-OI 0.89 0.71 0.37 0.61 0.47 PCR-VOL 0.94 0.81 0.58 0.51 1.13

Historical Volatility
SCRIP IRB CROMPGREAV ONGC CAIRN POWERGRID HV 71.60 76.19 39.50 29.51 29.10

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Derivative Report
Jun 26, 2013

FII Statistics for 25-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16471.04 62238.22 30133.24 2113.84 110956.34 Change (%) 9.30 (2.06) 2.39 (3.54) (3.06)

Turnover on 25-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

5375.89

5952.41

(576.52) (13.61) 414.18 26.60 (149.35)

587096 2219638 1134519 84361 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

6,48,804 63,15,255 11,97,545 3,75,990 85,37,594

18248.63 179124.30 31328.22 10034.45 238735.60

33.40 15.96 46.91 5.75 19.99

26057.05 26070.66 10048.86 1078.28 9634.68 1051.68

42560.08 42709.43

Nifty Spot =5609.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 38.85 8.85 38.85 1.55 8.85 1.55 7.30 92.70 5707.30 37.30 162.70 5637.30 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 33.95 6.80 33.95 1.80 6.80 1.80 5.00 95.00 5495.00 32.15 167.85 5567.85 Risk Reward BEP

30.00

70.00

5630.00

27.15

72.85

5572.85

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

Nifty Put-Call Analysis

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Derivative Report
Jun 26, 2013

Strategy Date 03-June-2013 10-June-2013 17-June-2013 24-June-2013

Symbol RELIANCE NIFTY HDFC SBIN

Strategy Long call ladder Long Call Ratio Call Spread Long Straddle

Status Open Loss booked on 17-Jun-13 Open Profit booked on 24-Jun-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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