Derivative Report

May Jun 11, 10,2013 2013

Comments
The Nifty futures open interest decreased by 1.07% while

Nifty Vs OI

BankNifty futures open interest is increased by 6.84% as market closed at 5878.00 levels.
The Nifty Jun future closed at premium of 15.35 point

against a premium of 14.20 points. The July series closed at a premium of 38.55 points.
The Implied Volatility of at the money options has

increased from 16.53% to 18.07%.

Nifty PCR-OI has decreased from 0.99 to 0.98 levels. The total OI of the market is Rs. 1,31,816/- cr. and the

stock futures OI is Rs.29,593/- cr.

Few of the liquid counters where we have seen high cost

of carry are JPPOWER, ADANIPOWER, STER, PTC and GMRINFRA.

View OI Gainers
SCRIP OPTOCIRCUI ICICIBANK EXIDEIND DABUR UNIONBANK OI 11064000 6638000 1422000 2534000 4041000 OI CHANGE (%) 31.81 16.74 15.24 13.63 10.02 PRICE 21.70 1117.80 130.40 151.55 207.85 PRICE CHANGE (%) -23.86 -1.87 -5.47 -3.53 -2.93 FIIs were net sellers in yesterdays trade; they were

net sellers worth of Rs.114/- cr. On derivatives front not much of activity was observed by them in index futures, while in index options good amount of long buildup was seen by them in yesterdays trading session.
On options front 5900-6000 call option has seen

good amount of buildup in open interest, while in put option 5500 strike saw maximum buildup in open interest in yesterdays trade.
NTPC has seen good amount of short buildup since

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

DRREDDY IDEA IOC RCOM HEXAWARE

656125 6142000 1824000 36288000 8142000

-10.07 -8.44 -8.30 -6.96 -6.02

2181.50 129.60 266.45 111.05 84.85

-0.39 0.74 -1.64 -4.47 0.41

start of this expiry. Around Rs.146-148 the stock has decent support and also has seen some short covering in yesterdays trade around that level with increase in cost-of-carry. Hence we feel mix of long buildup and short covering rally could be seen in this stock which could take the counter to Rs.160. Go long at around Rs.150-151 levels with the stop loss of Rs.145.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN HINDUNILVR INFY PCR-OI 0.98 1.24 0.51 0.95 0.50 PCR-VOL 0.99 0.70 0.52 0.72 0.51

Historical Volatility
SCRIP RENUKA INDHOTEL EXIDEIND JISLJALEQS DABUR HV 97.21 36.37 38.73 72.17 29.89

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Derivative Report
Jun 11, 2013

FII Statistics for 10-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 6770.25 51905.19 28543.01 1679.74 88898.19 Change (%) (1.29) 2.13 0.92 4.72 27.55

Turnover on 10-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1206.07

1208.39

(2.32) 1147.91 74.87 21.24 1241.70

228903 1763334 1027699 65618 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,17,139 29,85,579 4,10,129 2,24,740 39,37,587

9457.40 89382.91 11285.04 6249.58 116374.92

-30.43 -22.21 -19.24 -13.14 -22.24

16491.62 15343.71 1579.98 1017.35 1505.11 996.11

20295.02 19053.32

Nifty Spot =5878.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 88.20 48.60 88.20 23.45 48.60 23.45 25.15 74.85 6025.15 64.75 135.25 5964.75 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 96.40 55.55 96.40 31.25 55.55 31.25 24.30 75.70 5775.70 65.15 134.85 5834.85 Risk Reward BEP

39.60

60.40

5939.60

40.85

59.15

5859.15

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 11, 2013

Strategy Date 03-June-2013 10-June-2013

Symbol RELIANCE NIFTY

Strategy Long call ladder Long Call

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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