Derivative Report

July 17, 2013

Comments The Nifty futures open interest decreased by 5.86% while BankNifty futures open interest is increased by 6.33% as market closed at 5955.25 levels. The Nifty July future closed at premium of 14.45 point against a premium of 1.80 points. The August series closed at a premium of 38.80 points. The Implied Volatility of at the money options has increased from 16.93% to 16.96%. Nifty PCR-OI has decreased from 1.33 to 1.28 levels. The total OI of the market is Rs. 1,44,218/- cr. and the stock futures OI is Rs. 30,008/- cr. Few of the liquid counters where we have seen high cost of carry are BHARATFORG, ASHOKLEY, NHPC, SINTEX and NTPC.

Nifty Vs OI

OI Gainers
SCRIP EXIDEIND ORIENTBANK YESBANK ASHOKLEY DLF OI 3080000 2970000 8328000 20538000 23587000 OI CHANGE (%) 55.56 26.01 17.06 16.79 16.05 PRICE 123.65 183.05 450.95 15.75 164.70 PRICE CHANGE (%) 1.14 -8.94 -9.51 -9.43 -7.98

View FII's have been selling in cash market but if we compare the nature of fall and their quantum of selling then it is miniscule. In FNO segment some amount of long unwinding was observed. In index options they were significant buyers with rise in open interest. In option front 5900 and 6000 call added decent open interest. Interestingly 5900 call being in-themoney seeing such addition and FIIs buying index options suggest dont expect big selling pressure in markets. However some of the 5900 and 6000 strike put sellers have resorted to cover their positions. TATAMTRDVR has significantly underperformed TATAMOTORS from 31-May-2013. Also it has added huge amount of short positions. DVR is short heavy, near its support zone of Rs. 130-135, yesterday it has seen addition of positions with bounce from lower levels, with good cash base volume and rising cost of carry. All factors compel us to generate buy on this with target price of Rs. 151 and stop loss Rs. 134. Buy in the range of Rs. 139-141. Pair trade can also be quite attractive.

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

SYNDIBANK UCOBANK FEDERALBNK COLPAL OPTOCIRCUI

1722000 13060000 475000 106750 7000000

-17.05 -12.58 -11.55 -10.11 -8.76

113.35 64.50 385.60 1463.00 28.40

-5.31 -7.79 -3.66 0.33 -7.49

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.28 0.83 1.21 0.40 0.93 PCRPCR-VOL 1.21 0.76 0.90 0.51 0.51

Historical Volatility
SCRIP YESBANK ASHOKLEY INDUSINDBK ICICIBANK CANBK INFY HV 60.63 63.98 57.66 38.99 65.05 74.73

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Derivative Report
July 17, 2013

FII Statistics for 16-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13778.03 52867.30 28716.88 2904.49 98266.70 Change (%) (1.12) 4.08 1.48 2.90 2.50

Turnover on 16-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2055.72

2320.55

(264.82) 1520.19 (438.30) (6.61) 810.46

464355 1778249 1007296 99468 3349368

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,83,226 36,93,426 5,96,203 3,65,628 50,38,483

11247.17 109898.03 16414.45 10378.37 147938.01

33.10 21.56 20.71 -1.35 20.30

16601.54 15081.35 1911.33 1198.65 2349.62 1205.26

21767.23 20956.77

Nifty Spot =5955.25

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 47.35 15.55 47.35 4.50 15.55 4.50 11.05 88.95 6111.05 42.85 157.15 6042.85 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 40.20 19.90 40.20 9.75 19.90 9.75 10.15 89.85 5889.85 30.45 169.55 5969.55 Risk Reward BEP

31.80

68.20

6031.80

20.30

79.70

5979.70

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

Nifty Put-Call Analysis

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Derivative Report
July 17, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13 1515-JulyJuly-13

Symbol TATAMOTORS NIFTY NIFTY

Strategy Long Put Ladder Short Strangle Long Put Ladder

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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