Derivative Report

Sept 13, 2013

Comments The Nifty futures open interest decreased by 0.21% while BankNifty futures open interest is decreased by 0.17% as market closed at 5850.70 levels. The Nifty September future closed at premium of 9.75 point against a premium of 26.50 points. The October series closed at a premium of 50.20 points. The Implied Volatility of at the money options has increased from 28.75% to 29.20%. Nifty PCR-OI has decreased from 1.33 to 1.32 levels. The total OI of the market is Rs. 1,47,790/- cr. and the stock futures OI is Rs. 29,889/- cr. Few of the liquid counters where we have seen high cost of carry are DISHTV, PETRONET, MRF, SRTRANSFIN, RPOWER.

Nifty Vs OI

OI Gainers
SCRIP RPOWER TECHM DISHTV ULTRACEMCO BHEL OI 37108000 2889750 24284000 1051750 31608000 OI CHANGE (%) 14.62 13.38 12.82 12.44 9.13 PRICE 67.75 1311.35 45.30 1758.85 134.90 PRICE CHANGE (%) -1.65 -1.58 4.10 0.63 -4.77

View FII's were net buyer in cash market segment, they were net buyer worth of Rs. 930/- cr. On derivatives front some short buildup was seen in index future. In index options they continue adding short positions in yesterdays trading session. In options front good amount of buildup was seen in 6200 call option. In put option we have hardly seen any buildup, maximum buildup was seen in 5900 strike in yesterdays trading session.

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

IDFC CANBK RAYMOND PFC ALBK

21720000 5533500 3246000 6952000 4174000

-19.02 -15.51 -12.25 -10.62 -10.12

94.85 224.65 218.45 124.55 77.45

2.20 0.42 -4.85 -1.80 1.24

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.32 1.18 0.82 0.76 1.12 PCRPCR-VOL 1.05 0.85 0.65 0.66 0.72

Historical Volatility
SCRIP TATACOMM SIEMENS JPASSOCIAT DISHTV MARUTI INFY HV 49.60 73.08 119.99 46.82 43.46 74.73

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Derivative Report
Sept 13, 2013

FII Statistics for 12-Sept-2013

Open Interest Detail Buy Sell Net Contracts Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 13780.89 69097.48 28462.11 1744.07 113084.55 Change (%) 5.09 3.97 0.52 5.76 3.20

Turnover on 12-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1895.45

2239.02

(343.58) (781.62) (310.26) 23.11 (1412.34)

481928 2370272 1041939 62958 3957097

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,55,591 32,12,025 6,98,192 2,95,599 46,61,407

12915.94 93945.78 17537.10 7544.01 131942.83

-15.19 -13.82 -1.55 -7.12 -12.14

17669.46 18451.07 2158.04 807.37 2468.30 784.26

22530.31 23942.65

Nifty Spot =5850.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 112.05 69.15 112.05 37.95 69.15 37.95 31.20 68.80 6031.20 74.10 125.90 5974.10 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 110.30 79.20 110.30 54.90 79.20 54.90 24.30 75.70 5675.70 55.40 144.60 5744.60 Risk Reward BEP

42.90

57.10

5942.90

31.10

68.90

5768.90

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

Nifty Put-Call Analysis

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Derivative Report
Sept 13, 2013

Strategy Date 0202-SeptSept-13 1010-SeptSept-2013

Symbol NIFTY INFY

Strategy Ratio Put Spread Ratio Put Spread

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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