Derivative Report

May Jun 04, 10,2013 2013

Comments
The Nifty futures open interest decreased by 6.40% while

Nifty Vs OI

BankNifty futures open interest is decreased by 1.41% as market closed at 5939.30 levels.
The Nifty Jun future closed at premium of 19.90 point

against a premium of 14.10 points. The July series closed at a premium of 33.40 points.
The Implied Volatility of at the money options has

increased from 15.99% to 16.42%.

Nifty PCR-OI has decreased from 1.03 to 0.98 levels. The total OI of the market is Rs. 1,13,397/- cr. and the

stock futures OI is Rs.28,794/- cr.

Few of the liquid counters where we have seen high cost

of carry are ADANIPOWER, UNITECH, JSWENERGY, GMRINFRA and HINDZINC.

View OI Gainers
SCRIP TATACOMM FEDERALBNK WIPRO INFY HDIL OI 3822000 779000 3295500 2707125 39580000 OI CHANGE (%) 15.82 13.31 13.15 12.32 11.73 PRICE 195.15 458.50 324.95 2514.10 42.20 PRICE CHANGE (%) -5.58 1.96 -0.54 4.63 4.76 FIIs were net sellers in cash market segment,

however the quantum of selling was quite less; they were net sellers worth of `87/- cr. only. On derivatives front again significant amount of long unwinding was observed by them in index futures, while in index options good amount of long buildup was seen by them in yesterdays trade.
On options front 5900-6200 call option has seen

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

considerable amount of buildup in open interest and with call IVs going up majority of this buildup could be on the longer side. While in put option 5800 strike has seen maximum buildup in open interest followed by decent amount of unwinding observed in 6000 strike which was much of short covering in yesterdays trading session.
IDBI has seen good amount of short buildup in last

OPTOCIRCUI GAIL LUPIN BANKBARODA BAJAJ-AUTO

8226000 3563000 2438500 2107500 1089500

-11.24 -9.38 -8.12 -7.91 -7.67

31.65 311.45 753.25 662.25 1759.50

2.26 1.34 1.77 1.33 -3.11

expiry and with rollover also on the higher side majority of the position has carried forward. Around `78-79 the counter has very strong support and hence we feel short covering bounce could be seen in this stock which could take the counter to around `87. Go long with the stop loss of `77.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCR-OI 0.98 2.06 0.59 0.56 0.42 PCR-VOL 0.94 1.57 0.77 0.53 0.57

Historical Volatility
SCRIP UNIPHOS TATACOMM ASIANPAINT BAJAJ-AUTO ONGC HV 41.62 48.33 28.52 30.28 31.62

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Derivative Report
Jun 04, 2013

FII Statistics for 03-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8002.44 43278.90 27812.19 1149.68 80243.21 Change (%) (8.89) 8.22 0.56 120.06 46.74

Turnover on 03-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1377.32

2452.96

(1075.64) 651.73 369.43 (66.68) (121.16)

267421 1453203 990909 44599 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,06,510 25,31,274 4,71,874 2,63,786 35,73,444

9234.33 76568.08 13253.45 7599.56 106655.42

-15.77 -2.66 -5.44 20.17 -3.01

13490.16 12838.43 1848.04 1093.38 1478.61 1160.06

17808.90 17930.06

Nifty Spot =5939.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 80.05 43.30 80.05 21.40 43.30 21.40 21.90 78.10 6121.90 58.65 141.35 6058.65 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 76.70 46.45 76.70 26.70 46.45 26.70 19.75 80.25 5780.25 50.00 150.00 5850.00 Risk Reward BEP

36.75

63.25

6036.75

30.25

69.75

5869.75

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

Nifty Put-Call Analysis

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Derivative Report
Jun 04, 2013

Strategy Date 03-June-2013

Symbol RELIANCE

Strategy Long call ladder

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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