Derivative Report

Aug 01, 2013

Comments The Nifty futures open interest decreased by 3.16% while BankNifty futures open interest is increased by 2.58% as market closed at 5742.00 levels. The Nifty August future closed at premium of 39.05 point against a premium of 42.50 points. The September series closed at a premium of 70.50 points. The Implied Volatility of at the money options has increased from 17.33% to 18.07%. Nifty PCR-OI has increased from 0.98 to 0.01 levels. The total OI of the market is Rs. 1,18,362/- cr. and the stock futures OI is Rs. 27,696/- cr. Few of the liquid counters where we have seen high cost of carry are CESC, PUNJLLOYD, JPPOWER, JPASSOCIAT and KTKBANK.

Nifty Vs OI

OI Gainers
SCRIP IDEA FEDERALBNK AXISBANK BHARTIARTL UNIPHOS OI 9124000 611500 4905500 10016000 6544000 OI CHANGE (%) 43.10 29.83 27.18 22.47 19.59 PRICE 168.95 349.65 1034.55 344.50 127.35 PRICE CHANGE (%) 7.91 4.26 -5.68 7.29 -7.20

View July series we had seen FII's forming significant amount of long positions and rolling them too. Last two trading sessions these guys have unwind substantial part of those long index futures positions. They continue to remain buyers in index options as implied volatility continues to remain at lower levels looking at the price volatility we are observing. Though option activity was not very high, it seems some of the call writers of 5900 strike are shifting their base down and we saw some built-up in 5700 call which we believe is blend of long and short. 5800 and 5900 puts showed some unwinding while out-of-money puts are showing rising interest. LNT has seen sharp fall from Rs. 1000 to 840 levels especially after its quarterly numbers. There are lot of short positions which are standing in the counter. In last few sessions we saw some unwinding and volumes were also less. Around Rs. 835 - 840 levels we see some support. Buy in the range of Rs. 838842 with stop loss of Rs. 821 and target of Rs. 882.

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

SAIL LUPIN ORIENTBANK BANKINDIA JINDALSTEL

13512000 2213500 2421000 3884000 10230000

-11.82 -11.39 -11.38 -10.45 -8.14

41.70 871.15 155.15 184.70 199.80

-0.24 3.43 7.02 6.04 -1.51

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT ICICIBANK PCRPCR-OI 1.01 0.94 0.54 0.52 0.59 PCRPCR-VOL 0.88 0.57 0.57 0.26 0.56

Historical Volatility
SCRIP ADANIPORTS UNIPHOS SUNTV BHARTIARTL NTPC INFY HV 49.06 55.60 66.61 53.38 39.78 74.73

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Derivative Report
Aug 01, 2013

FII Statistics for 31-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11328.86 45099.24 25657.08 1261.74 83346.92 Change (%) (1.30) 3.42 4.56 9.54 3.21

Turnover on 31-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1657.54

2789.63

(1132.09) 831.81 (6.44) 2.31 (304.41)

400569 1580821 959993 46877 2988260

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,19,293 31,56,630 7,29,257 3,13,469 46,18,649

11570.36 91725.49 18866.47 8700.91 130863.24

-5.99 -3.17 27.88 31.01 1.89

17543.88 16712.06 2651.08 822.33 2657.52 820.02

22674.83 22979.24

Nifty Spot =5742.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price Price 104.55 62.20 104.55 33.45 62.20 33.45 28.75 71.25 5928.75 71.10 128.90 5871.10 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 82.30 51.70 82.30 31.10 51.70 31.10 20.60 79.40 5579.40 51.20 148.80 5648.80 Risk Reward BEP

42.35

57.65

5842.35

30.60

69.40

5669.40

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

Nifty Put-Call Analysis

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Derivative Report
Aug 01, 2013

Strategy Date 2929-JulyJuly-2013

Symbol INFY

Strategy Long Put

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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