Derivative Report

June 27, 2013

Comments
The Nifty futures open interest decreased by 1.28% while

Nifty Vs OI

BankNifty futures open interest is increased by 3.62% as market closed at 5588.70 levels.
The Nifty Jun future closed at discount of 7.60 point

against a discount of 0.80 points. The July series closed at a discount of 0.50 points.
The Implied Volatility of at the money options has

increased from 20.10% to 21.26%.

Nifty PCR-OI has decreased from 0.88 to 0.85 levels. The total OI of the market is Rs. 1,71,891/- cr. and the

stock futures OI is Rs.32,562/- cr.

Few of the large cap names where we have seen low

rollover are HDFCBANK, POWERGRID, AMBUJACEM, ONGC and ITC.

OI Gainers
SCRIP SRTRANSFIN BHARTIARTL INDHOTEL LT TATAPOWER OI 1431500 11550000 8960000 6983750 10708000 OI CHANGE (%) 24.86 15.69 13.36 12.27 10.26 PRICE 688.20 277.70 48.60 1352.55 80.45 PRICE CHANGE (%) 1.19 -5.86 1.46 -0.97 0.12

View
FIIs were net sellers in cash market segment; they

were net sellers worth of `548/- cr. On derivatives front not much of activity was observed by them in both index futures and in index options in yesterdays trading session.
On options front 5600-5700 call option has seen

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

good amount of buildup in open interest and with IVs going up majority of the buildup could be on the longer side. While in put option 5500 strike has seen maximum buildup in open interest, followed by decent amount of unwinding in 5600-5700 put option in yesterdays trade.
Rollover in NIFTY and in BANKNIFTY future is bit on

lower side at 38% and 39% respectively.

The counter of HDFC has seen good amount of short

COLPAL HDIL PUNJLLOYD IOB BANKBARODA

160250 31464000 29336000 5240000 2672500

-18.65 -17.21 -15.43 -13.76 -10.00

1302.00 32.95 32.50 47.65 565.80

3.19 2.98 -6.36 -0.83 -0.05

buildup in this series and is now heavy in terms of open interest. The stock has seen taking support at around `790 levels and also the rollover in this stock is quite less indicating shorts are not getting carried forward. Hence we feel the counter could see some short covering bounce from current level which could take the stock to around `850. Go long in July future with the stop loss of `788. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY HEROMOTOCO SBIN ICICIBANK PCR-OI 0.85 0.68 0.57 0.38 0.38 PCR-VOL 0.89 0.83 0.66 0.64 0.56

SCRIP INDIACEM BHARTIARTL M&M GAIL TCS

HV 57.28 52.65 47.45 33.39 29.08

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Derivative Report
June 27, 2013

FII Statistics for 26-June-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 16083.64 63927.07 31126.23 1987.61 113124.55 Change (%) (1.82) 3.13 3.06 (5.52) (3.70)

Turnover on 26-June-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

5861.92

5804.64

57.28 (61.25) 467.95 50.47 514.45

576422 2289048 1169188 79705 3876715

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,82,222 54,05,644 10,77,513 2,98,787 73,64,166

16,332.73 153,164.89 28,062.83 8,370.40 205,930.84

-10.50 -14.49 -10.42 -16.58 -13.74

22997.57 23058.82 9131.69 780.50 8663.74 730.03

38771.68 38257.23

Nifty Spot =5588.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 16.45 1.90 16.45 0.50 1.90 0.50 1.40 98.60 5701.40 15.95 184.05 5615.95 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 38.15 6.95 38.15 1.45 6.95 1.45 5.50 94.50 5494.50 36.70 163.30 5563.30 Risk Reward BEP

14.55

85.45

5614.55

31.20

68.80

5568.80

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

Nifty Put-Call Analysis

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Derivative Report
June 27, 2013

Strategy Date 03-June-13 10-June-13 17-June-13 24-June-13

Symbol RELIANCE NIFTY HDFC SBIN

Strategy Long call ladder Long Call Ratio Call Spread Long Straddle

Status Open Loss booked on 17-Jun-13 Open Profit booked on 24-Jun-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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