Derivative Report

Apr 03, 2013

Comments
The Nifty futures open interest increased by 9.21% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.68% as market closed at 5748.10 levels.
The Nifty Apr. future closed at premium of 18.50 point

against a premium of 22.15 points. The May series closed at a premium of 36.45 points.
The Implied Volatility of at the money options is

decreased from 13.70% to 13.24%.

Nifty PCR-OI has increased from 0.97 to 1.03 levels. The total OI of the market is Rs. 1,04,440/- cr. and the

stock futures OI are Rs.24,299/- cr.

Few of the liquid counters where we have seen high cost

of carry are GMRINFRA, ORIENTBANK, JPPOWER, WELCORP and MCDOWELL-N.

View OI Gainers
SCRIP TATACHEM LUPIN TATAPOWER RCOM UNIONBANK OI 1151000 991500 4176000 46104000 2538000 OI CHANGE (%) 44.96 19.89 18.64 18.48 15.78 PRICE 325.70 636.75 95.30 63.45 233.15 PRICE CHANGE (%) 0.64 0.88 -0.47 10.89 5.58 FIIs were net sellers in cash market segment,

however the quantum of selling was quite less; they were net sellers of `45/- cr. only. On derivatives front they were net buyers in index futures, while in index options and stock futures good amount of long buildup was observed by them in yesterdays trading session.
On options front 5300-5800 put option has seen

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

significant amount of buildup in open interest which was mix of long and short both, while in call option 5900 strike price has seen good amount of buildup in open interest in yesterdays trade, with fall in call IVs majority of this buildup could be on the shorter side.
Rollover in HDFC was bit on lower side compared to

WELCORP GSPL PANTALOONR SYNDIBANK IDFC

12448000 2804000 7946000 3136000 10760000

-15.85 -10.47 -7.86 -7.44 -5.30

55.85 71.95 157.15 117.65 147.00

0.99 3.29 2.53 3.14 2.86

its last three months average, indicating longs have not carried forward. The counter in last two trading sessions has seen good amount of short buildup with fall in cost of carry around its resistance of `825-830 levels. Hence we recommend going short on this stock with the target price of `778 and stop loss at `840.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY RELIANCE SBIN DLF PCR-OI 1.03 1.30 0.58 0.84 0.86 PCR-VOL 0.94 0.99 0.34 0.57 0.47

Historical Volatility
SCRIP SUNPHARMA WIPRO DIVISLAB OFSS UNIONBANK HV 28.51 31.13 36.22 42.73 54.21

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Derivative Report
Apr 03, 2013

FII Statistics for 02-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8082.96 38644.28 22597.54 1175.27 70500.05 Change (%) 3.38 5.33 1.53 59.46 4.49

Turnover on 02-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1183.98 8820.20 1428.36 946.14

1046.04 7391.72 1320.02 1034.92

137.93 1428.48 108.34 (88.78) 1585.97

280115 1344561 774574 43086 2442336

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,24,274 21,53,901 4,24,614 2,41,545 30,44,334

6,453.52 62,144.44 12,576.09 7,171.18 88,345.23

9.83 15.04 28.38 21.21 16.84

12378.67 10792.70

Nifty Spot =5748.10

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 57.50 24.10 57.50 8.85 24.10 8.85 15.25 84.75 5915.25 48.65 151.35 5848.65 Risk 33.40 Reward 66.60 BEP 5833.40

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 50.75 27.15 50.75 13.90 27.15 13.90 13.25 86.75 5586.75 36.85 163.15 5663.15 Risk 23.60 Reward 76.40 BEP 5676.40

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

Nifty Put-Call Analysis

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Derivative Report
Apr 03, 2013

Strategy Date 01-Apr-2013

Symbol HDFCBANK

Strategy Bear Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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