Derivative Report

May 10, 21, 2013

Comments
The Nifty futures open interest increased by 0.97% while

Nifty Vs OI

BankNifty futures open interest is decreased by 5.87% as market closed at 6156.90 levels.
The Nifty May future closed at premium of 7.95 point

against a premium of 8.80 points. The June series closed at a premium of 16.75 points.
The Implied Volatility of at the money options has

increased from 15.34% to 15.41%.

Nifty PCR-OI has decreased from 1.26 to 1.22 levels. The total OI of the market is Rs. 1,67,427/- cr. and the

stock futures OI is Rs.33,838/- cr.

Few of the liquid counters where we have seen high cost

of carry are NHPC, IOC, HCLTECH, HDIL and IGL.

View OI Gainers
SCRIP WIPRO JSWENERGY RANBAXY UCOBANK PTC OI 2443500 7984000 3800000 20836000 4732000 OI CHANGE (%) 23.13 14.12 13.13 11.78 10.56 PRICE 337.95 67.40 443.60 81.10 60.30 PRICE CHANGE (%) -1.58 -0.52 -5.92 0.06 -4.34 FIIs continue to buy in cash market segment; they

were net buyers worth of ` 754/- cr. On derivatives front some long buildup was seen by them in index futures, while in index options good amount of short covering was observed by them in yesterdays trade.
On options front significant amount of unwinding

was seen in 5500, 5800 and 6000 put option. While in call option not much of buildup was observed except in 6300 strike price where 9000 contracts were built and decent unwinding was seen in 60006200 call option in yesterdays trading session.
Yesterdays fall in AMBUJACEM was mainly due to

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

ADANIPOWER PFC GODREJIND SRTRANSFIN IBREALEST

12888000 5398000 723000 1613500 15760000

-11.24 -10.57 -7.90 -6.90 -6.86

54.10 204.55 305.40 802.05 82.40

6.78 -0.53 -3.64 1.26 -3.72

long unwinding. The counter has seen significant amount of long buildup since last few trading sessions with continuous increase in CoC indicating positive momentum in the counter. Hence we recommend to go long on dips at around `188-189 levels with the stop loss of `184 and target of `200.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY HINDUNILVR SBIN INFY PCR-OI 1.22 1.54 1.29 0.82 0.63 PCR-VOL 1.19 1.05 0.52 0.60 0.48

Historical Volatility
SCRIP RANBAXY GODREJIND ADANIPOWER DIVISLAB COLPAL HV 43.55 29.80 53.48 30.54 36.04

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Derivative Report
May 21, 2013

FII Statistics for 20-May-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17486.17 63452.58 29720.36 4218.28 114877.39 Change (%) 2.23 (0.83) 0.06 6.74 0.13

Turnover on 20-May-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1573.67

1457.53

116.14 1355.35 (270.59) (132.50) 1068.40

564944 2056356 1012425 142964 3776689

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,70,149 31,61,630 5,13,652 3,26,094 42,71,525

8539.75 98108.42 15468.67 9963.43 132080.27

-2.42 3.09 -6.60 -7.84 0.60

16816.26 15460.91 1733.09 1563.77 2003.68 1696.27

21686.79 20618.39

Nifty Spot =6156.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6200 6300 6200 6400 6300 6400 Price 49.95 18.55 49.95 5.75 18.55 5.75 12.80 87.20 6312.80 44.20 155.80 6244.20 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6200 6100 6200 6000 6100 6000 Price 83.50 42.05 83.50 19.95 42.05 19.95 22.10 77.90 6077.90 63.55 136.45 6136.45 Risk Reward BEP

31.40

68.60

6231.40

41.45

58.55

6158.55

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

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Derivative Report
May 21, 2013

Strategy Date 29-Apr-2013 06-May-2013 13-May-2013 20-May-2013

Symbol TCS DLF RELIANCE NIFTY

Strategy Bull Call Spread Bull Call Spread Ratio Put Spread Ratio Call Spread

Status Profit booked on 02-May-2013 Profit booked on 16-May-2013 Position squared off Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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