Derivative Report

Jan 31, 2013

Comments
The Nifty futures open interest increased by 5.56% while

Nifty Vs OI

BankNifty futures open interest is increased by 14.00% as market closed at 6055.75 levels.
The Nifty Jan. future closed at premium of 4.55 point

against a discount of 0.50 points. The Feb. series closed at a premium of 39.15 points.
The Implied Volatility of at the money options is

increased from 14.68% to 15.02%.

Nifty PCR-OI has increased from 1.03 to 1.04 levels. The total OI of the market is Rs.1,69,005/- cr. and the

stock futures OI are Rs.40,653/- cr.

Few of the large cap names where we have seen low

rollovers are DRREDDY, INFY, TCS, BANKBARODA and HINDUNILVR. View OI Gainers
SCRIP GAIL ICICIBANK AXISBANK KOTAKBANK UNIONBANK OI 3607000 11452000 5697500 2718000 5048000 OI CHANGE (%) 17.84 17.29 15.84 15.68 14.94 PRICE 339.15 1212.70 1501.25 678.80 240.85 PRICE CHANGE (%) -3.26 0.93 1.70 0.82 -3.13 FIIs continue to buy in cash market segment; they

were net buyers worth of `906/- cr. On derivatives front good amount of long buildup was observed by them in both index futures and in index options, however some short buildup was formed in stock futures in yesterdays trading session.
On options front most of the strike has seen

unwinding in this series especially in 6200 call option. However in next series same strike price call option has seen maximum buildup in open interest in yesterdays trade.
Rollover in NIFTY and in BANKNIFTY future is in line

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

at 53% and 52% respectively.

The counter of SBIN has seen good amount of short

ADANIPORTS JPASSOCIAT RCOM CROMPGREAV HAVELLS

7378000 70964000 71040000 15924000 525000

-14.88 -14.09 -10.79 -9.81 -9.48

142.65 87.05 82.05 106.85 654.50

-2.39 0.58 1.30 -1.06 1.32

buildup in last few trading sessions. At around `2400-2450 levels the counter has seen good amount of long buildup in start of this expiry and also with 2400 put option having highest buildup in open interest we feel the counter could take support at around 2400 levels which was acting as the resistance in last 2-3 expiry and can now see acting as the support for this stock. Hence we recommend going long in February series on dips at around `2430-2450 with the target price of `2550 and stop loss at `2380. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.04 0.95 2.06 0.61 0.55 PCR-VOL 0.94 0.90 1.04 0.53 0.51

SCRIP TATAPOWER PNB PUNJLLOYD NHPC TATAGLOBAL

HV 28.19 31.40 79.12 30.43 30.61

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Derivative Report
Jan 31, 2013

FII Statistics for 30-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10598.63 56068.77 36441.89 4711.00 107820.29 Change (%) 14.65 0.50 2.29 (5.50) 2.07

Turnover on 30-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3260.21

2926.50

333.71 957.65 (161.78) 208.46 1338.04

349950 1845504 1140434 152038 3487926

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,30,591 36,68,228 10,10,585 4,09,525 54,18,929

10,067.39 111,903.57 32,736.01 13,347.10 168,054.06

-44.56 -39.43 -16.37 -27.29 -35.47

15038.29 14080.64 8518.12 2260.75 8679.90 2052.29

29077.37 27739.33

Nifty Spot =6055.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 6.35 0.50 6.35 0.25 0.50 0.25 0.25 99.75 6200.25 6.10 193.90 6106.10 Risk 5.85 Reward 94.15 BEP 6105.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 3.70 0.30 3.70 0.30 0.30 0.30 0.00 100.00 5900.00 3.40 196.60 5996.60 Risk 3.40 Reward 96.60 BEP 5996.60

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

Nifty Put-Call Analysis

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Derivative Report
Jan 31, 2013

Strategy Date 31-Dec-2012 07-Jan-2013 14-Jan-2013 21-Jan-2013 28-Jan-2013

Symbol RELINFRA NIFTY BANKNIFTY CAIRN NIFTY

Strategy Long Call Ladder Long Put Long call Long call Long call
E-mail: research@angelbroking.com

Status Open Profit booked on 08-Jan-13 Profit booked on 15-Jan-13 Open Open
Website: www.angelbroking.com

Research Team Tel: 022 - 39357800

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Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

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