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Derivative Report

Sept 16, 2013

Comments The Nifty futures open interest decreased by 6.22% while BankNifty futures open interest is increased by 3.69% as market closed at 5850.60 levels. The Nifty September future closed at premium of 25.30 point against a premium of 9.75 points. The October series closed at a premium of 68.90 points. The Implied Volatility of at the money options has decreased from 29.20% to 27.04%. Nifty PCR-OI has increased from 1.32 to 1.33 levels. The total OI of the market is Rs. 1,49,492/- cr. and the stock futures OI is Rs. 30,265/- cr. Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, VIJAYABANK, JISLJALEQS, CHAMBLFERT, ADANIPOWER.

Nifty Vs OI

OI Gainers
SCRIP GODREJIND DIVISLAB ORIENTBANK INDIACEM COLPAL OI 518000 459750 2335000 5444000 174750 OI CHANGE (%) 20.19 17.21 17.04 15.24 15.16 PRICE 291.45 1002.60 172.65 49.70 1209.05 PRICE CHANGE (%) 2.37 1.00 6.06 1.72 -0.64

View FII's activity in cash market segment was subdued. On derivatives front they were marginal buyer in index future with significant fall in open interest. In index options long buildup was seen in Fridays trading session. In options front we have hardly seen any buildup in call options, highest buildup was seen in 6300 strike. In put option 5600 strike added good amount of buildup in Fridays trading session.

OI Losers


4949000 2072000 11548000 795500 2559500

-10.56 -6.85 -5.87 -5.30 -5.06

227.15 3028.05 78.40 300.70 2051.70

1.35 -1.39 2.14 1.27 2.35

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.33 1.20 0.84 0.77 1.32 PCRPCR-VOL 1.09 0.88 0.60 0.75 0.73

Historical Volatility


Derivative Report
Sept 16, 2013

FII Statistics for 13-Sept-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12673.66 70031.16 28742.41 1776.92 113224.14 Change (%) (8.09) 1.35 0.50 2.19 (0.01)

Turnover on 13-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)




6.51 675.09 (184.44) 6.67 503.83

442952 2402284 1047144 64335 3956715


4,36,841 31,46,295 5,72,858 2,43,685 43,99,679

12391.38 91313.48 14949.04 6548.52 125202.42

-4.06 -2.80 -14.76 -13.20 -5.11

18627.97 17952.89 1933.27 714.82 2117.71 708.15

23542.21 23038.39

Nifty Spot =5850.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 106.25 62.40 106.25 32.35 62.40 32.35 30.05 69.95 6030.05 73.90 126.10 5973.90 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 88.65 59.65 88.65 39.40 59.65 39.40 20.25 79.75 5679.75 49.25 150.75 5750.75 Risk Reward BEP







Note: Above 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


Derivative Report
Sept 16, 2013

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


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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Derivative Research Team

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