Derivative Report

Feb 13, 2013

Comments
The Nifty futures open interest increased by 2.27% while

Nifty Vs OI

BankNifty futures open interest is decreased by 2.67% as market closed at 5922.50 levels.
The Nifty Feb. future closed at premium of 18.90 point

against a premium of 23.50points. The Mar. series closed at a premium of 48.00 points.
The Implied Volatility of at the money options is

decreased from 14.11% to 13.96%.

Nifty PCR-OI has increased from 0.97 to 0.99 levels. The total OI of the market is Rs.1,36,747/- cr. and the

stock futures OI are Rs.33,993/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, SUZLON, NHPC, ASHOKLEY and TATAGLOBAL.

View OI Gainers
SCRIP JINDALSTEL ACC TATAMTRDVR TATAMOTORS LUPIN OI 5943000 851250 4432000 18977000 1891000 OI CHANGE (%) 14.46 12.52 8.95 8.42 7.75 PRICE 392.20 1239.20 168.00 298.55 605.00 PRICE CHANGE (%) -3.32 -1.46 1.63 2.66 1.81 FIIs continue to buy in cash market segment; in

yesterdays trade also they were net buyers worth of `605/- cr. On derivatives front some short buildup was seen by them in index futures followed by some short covering in stock 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 observed in

call option, while in put option 5700 and 5900 strikes saw good amount of buildup in open interest, followed by some unwinding in 5600 put option in yesterdays trade.
The recent fall in MARUTI was mainly due to long

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

CESC UNITECH EXIDEIND HAVELLS ORIENTBANK

1026000 85400000 4360000 340500 1844000

-15.56 -10.61 -9.73 -8.71 -7.75

317.90 28.75 130.70 685.05 302.95

-2.00 -17.66 0.96 -0.40 0.91

unwinding. The counter in last week of January series has seen significant amount of long buildup at around `1540-1550 levels and majority of these positions are still intact. Hence we feel the counter could resume its uptrend and can see some fresh formation of long positions which could take the stock to around `1620. Go long on dips at around `1555-1565 levels with the stop loss of `1530.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.99 1.10 0.61 0.34 0.26 PCR-VOL 0.96 0.69 0.46 0.31 0.36

Historical Volatility
SCRIP UNITECH KTKBANK SUNPHARMA INDUSINDBK DABUR HV 110.36 73.37 28.60 24.51 20.16

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Derivative Report
Feb 13, 2013

FII Statistics for 12-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8454.91 47314.93 30822.28 2769.76 89361.88 Change (%) 1.11 0.93 (0.39) 4.43 0.61

Turnover on 12- February-2013

No. of Contracts Turnover (` in cr.) Change (%)

Instrument

638.07 7711.56 1462.63 889.68

874.60 7740.01 1291.21 865.10

(236.52) (28.45) 171.42 24.58 (68.97)

283048 1593288 996791 94642 2967769

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

1,96,240 20,02,350 4,28,011 2,56,533 28,83,134

5905.48 59960.26 13841.30 8447.20 88154.24

14.47 9.01 34.54 33.10 14.79

10701.95 10770.92

Nifty Spot =5922.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 90.15 42.20 90.15 16.40 42.20 16.40 25.80 74.20 6025.80 73.75 126.25 5973.75 Risk 47.95 Reward 52.05 BEP 5947.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 52.10 23.20 52.10 9.05 23.20 9.05 14.15 85.85 5785.85 43.05 156.95 5856.95 Risk 28.90 Reward 71.10 BEP 5871.10

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

Nifty Put-Call Analysis

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Derivative Report
Feb 13, 2013

Strategy Date 04-Feb-2013 11-Feb-2013

Symbol NIFTY BHEL

Strategy Long Call Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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