Derivative Report

Apr 05, 2013

Comments
The Nifty futures open interest increased by 7.81% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.39% as market closed at 5574.75 levels.
The Nifty Apr. future closed at premium of 18.45 point

against a premium of 15.20 points. The May series closed at a premium of 38.9 points.
The Implied Volatility of at the money options has

increased from 13.80% to 14.73%.

Nifty PCR-OI has decreased from 0.98 to 0.88 levels. The total OI of the market is Rs. 1,15,664/- cr. and the

stock futures OI is Rs.24,174/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, INDIACEM, AUROPHARMA, IFCI and JPASSOCIAT.

View OI Gainers
SCRIP COALINDIA HDIL ACC SESAGOA DRREDDY OI 4025000 30604000 480500 6580000 531875 OI CHANGE (%) 20.51 11.99 11.23 9.52 9.16 PRICE 310.75 48.30 1139.35 147.00 1889.75 PRICE CHANGE (%) 2.89 -6.03 -1.95 -3.62 2.70 FIIs have seen being net sellers in cash market

segment since last few trading sessions; in yesterdays trade also they were net sellers worth of `326/- cr. On derivatives front good amount of short buildup was seen in index futures, while in index options some long buildup was observed by them in yesterdays trading session.
On options front significant amount of buildup was

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

seen in 5500-5800 call option, while in put option 5300 and 5500 strike price has seen considerable amount of buildup in open interest and 5600-5800 put option has seen decent amount of unwinding which was mix of short covering and long unwinding in yesterdays trade.
NMDC has seen less rollover compared to its three

BIOCON GODREJIND GSPL IDBI WIPRO

1441000 505000 2260000 9952000 2594000

-15.53 -13.23 -9.31 -8.70 -8.37

274.00 292.65 68.10 83.15 445.10

-2.95 -2.96 -2.91 0.85 -0.65

months average and has reduced its open interest substantially indicating good amount of short positions has not carried forward. The counter of late has seen some fresh shorts building in it but in yesterdays trade some signs of short covering around its support of `128-130 levels was seen in this stock. We feel the counter could see more short covering bounce which could take the stock to around `142. Go long with the stop loss of `125. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY RELIANCE SBIN DLF PCR-OI 0.88 1.00 0.52 0.71 0.48 PCR-VOL 0.90 1.05 0.56 0.87 0.52

SCRIP ULTRACEMCO HCLTECH ITC JISLJALEQS TATACHEM

HV 34.76 36.29 20.40 60.28 26.70

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Derivative Report
Apr 05, 2013

FII Statistics for 04-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9724.52 42376.78 21951.36 1437.06 75489.73 Change (%) 9.06 10.38 (0.14) 2.56 6.81

Turnover on 04-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1328.28

2313.40

(985.12) 922.02 221.52 8.59 167.01

347695 1520348 778088 55401 2701532

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,68,546 40,62,920 4,56,578 3,02,430 51,90,474

10378.68 116055.66 13167.13 8787.15 148388.62

24.61 49.29 -13.55 1.50 34.95

18710.25 17788.23 1579.60 1353.07 1358.08 1344.48

22971.19 22804.18

Nifty Spot =5574.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 74.85 36.30 74.85 15.45 36.30 15.45 20.85 79.15 5720.85 59.40 140.60 5659.40 Risk 38.55 Reward 61.45 BEP 5638.55

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 83.80 46.00 83.80 23.40 46.00 23.40 22.60 77.40 5477.40 60.40 139.60 5539.60 Risk 37.80 Reward 62.20 BEP 5562.20

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 05, 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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