Derivative Report

Nov 11, 2013

Comments The Nifty futures open interest decreased by 0.93% while BankNifty futures open interest is increased by 8.34% as market closed at 6140.75 levels. The Nifty November future closed at premium of 45.85 point against a premium of 40.05 points. The December series closed at a premium of 96.60 points. The Implied Volatility of at the money options has increased from 17.70% to 17.93%. Nifty PCR-OI has decreased from 1.06 to 1.04 levels. The total OI of the market is Rs. 1,26,310/- cr. and the stock futures OI is Rs. 30,993/- cr. Few of the liquid counters where we have seen high cost of carry are PFC, TATAMOTORS, APOLLOTYRE, NHPC and INDIACEM.

Nifty Vs OI

OI Gainers
SCRIP IBREALEST ARVIND TATAMOTORS DABUR SRTRANSFIN OI 15424000 4912000 23093000 2986000 1355500 OI CHANGE (%) 25.77 25.31 25.27 17.56 16.70 PRICE 66.60 114.15 384.15 163.35 562.20 PRICE CHANGE (%) 9.10 7.89 1.41 -3.07 -0.87

View FII's continue buying in cash market segment, they were net buyer worth of Rs. 412/- cr. On derivatives front they were net seller worth of Rs. 1087/- cr with marginal change in open interest, while in index options some long buildup was seen in Fridays trading session. In options front the overall activity was muted in last trading session, maximum buildup was seen in 6200 call & 5800 put strikes.

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

BIOCON UNIONBANK AUROPHARMA TITAN SUNTV

1443000 6317000 14332000 7666000 1592500

-10.65 -5.97 -4.30 -4.01 -3.57

372.50 128.05 260.40 234.40 413.45

1.21 0.78 8.65 -3.26 -6.27

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCRPCR-OI 1.04 0.68 0.56 0.37 0.36 PCRPCR-VOL 0.93 0.80 0.58 0.33 0.57

Historical Volatility
SCRIP SUNTV TECHM AUROPHARMA ARVIND IBREALEST INFY HV 44.76 42.94 61.53 58.90 78.88 74.73

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Derivative Report
Nov 11, 2013

FII Statistics for 08-Nov-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15204.58 46869.75 28353.08 1231.47 91658.89 Change (%) 0.79 2.08 1.73 6.25 1.81

Turnover on 08- Nov-2013

No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1653.22

2740.49

(1087.26) 668.20 (334.06) 15.41 (737.70)

497837 1529275 1045914 46135 3119161

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

5,29,970 30,87,741 6,95,694 2,89,311 46,02,716

16157.75 96995.16 19268.82 8367.45 140789.18

52.89 65.42 25.33 37.48 55.29

13636.39 12968.19 2013.71 1107.74 2347.77 1092.33

18411.06 19148.77

Nifty Spot =6140.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 150.25 92.05 150.25 50.85 92.05 50.85 41.20 58.80 6241.20 99.40 100.60 6199.40 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 66.00 39.20 66.00 22.25 39.20 22.25 16.95 83.05 5983.05 43.75 156.25 6056.25 Risk Reward BEP

58.20

41.80

6158.20

26.80

73.20

6073.20

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

Nifty Put-Call Analysis

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Derivative Report
Nov 11, 2013

Strategy Date 0505-NovNov-2013

Symbol NIFTY

Strategy Long Put

Status Not triggered.

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