Derivative Report

Jan 09, 2013

Comments The Nifty futures open interest decreased by 1.93% while BankNifty futures open interest is decreased by 1.71% as market closed at 6001.70 levels. The Nifty Jan. future closed at premium of 41.60 point against a premium of 35.30 points. The Feb. series closed at a premium of 76.70 points. The Implied Volatility of at the money options is decreased from 12.40% to 11.70%. Nifty PCR-OI has increased from 1.03 to 1.05 levels. The total OI of the market is Rs.1,36,733/- cr. and the stock futures OI are Rs.38,322 /- cr. Few of the liquid counters where we have seen high cost of carry are GMRINFRA, GVKPIL, FINANTECH, NHPC and PUNJLLOYD.

Nifty Vs OI

View OI Gainers
SCRIP LT COLPAL TITAN OFSS ZEEL OI 6099750 213250 6156000 491250 7122000 OI CHANGE (%) 16.77 16.69 16.00 15.76 10.80 PRICE 1566.90 1545.10 272.15 3373.80 224.00 PRICE CHANGE (%) -1.27 0.81 -3.31 3.58 0.31

FIIs were net buyers in cash market segment worth of `887/- cr. On derivatives front some short covering was observed by them in index futures, while in index options they continue to form good amount of long buildup since start of this expiry including yesterday. On option front not much of buildup was seen in call option, however some unwinding was seen in 62006300 strike price, while in put option 5800 strike price saw good amount of buildup in open interest followed by decent unwinding in 5600 strike price in yesterdays trade. The recent fall in HDFCBANK was due to mix of long unwinding and some short buildup at higher levels. The counter has seen good amount of long buildup in November series, majorly in the range of `660680 levels and seeing the rollovers and current open interest majority of these positions are still intact. We feel the stock could see taking support at around `670 and hence can see bounce back from current level on back of short covering and long buildup. Go long with the stop loss of `660 and target of `700.

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

TATACHEM BHUSANSTL BHUSANSTL HDFC SAIL KTKBANK

2845000 263500 7003000 24944000 22892000

-12.16 -11.43 -7.55 -6.80 -6.70

375.90 484.15 840.30 97.25 180.80

0.21 -2.47 1.74 -2.44 1.22

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCRPCR-OI 1.05 0.77 1.02 1.13 0.44 PCRPCR-VOL 1.01 0.79 0.83 1.02 0.46

Historical Volatility
SCRIP OFSS TITAN UNITECH POWERGRID ITC PANTALOONR HV 33.06 32.75 63.62 18.46 22.71 79.19

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Derivative Report
Jan 09, 2013

FII Statistics for 08-January -2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7447.26 42523.18 33154.65 2589.97 85715.06 Change (%) (2.16) 3.24 0.51 11.77 1.97

Turnover on 08-January-2013
No. of Contracts Contracts Turnover (` in cr.) Change (%)

Instrument

764.50

711.19

53.31 294.92 (239.86) (134.05) (25.69)

245939 1413555 999189 84681 2743364

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,39,065 23,02,006 4,73,746 2,55,512 32,70,329

7080.01 69478.20 16505.57 8827.57 101891.35

53.89 54.18 -4.91 -2.33 33.96

10899.83 10604.90 1403.16 1324.57 1643.03 1458.62

14392.06 14417.74

Nifty Spot =6001.70

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 94.80 46.20 94.80 18.60 46.20 18.60 27.60 72.40 6127.60 76.20 123.80 6076.20 Risk 48.60 Reward 51.40 BEP 6048.60

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 52.20 24.25 52.20 10.25 24.25 10.25 14.00 86.00 5886.00 41.95 158.05 5958.05 Risk 27.95 Reward 72.05 BEP 5972.05

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

Nifty Put-Call Analysis

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Derivative Report
Jan 09, 2013

Strategy Date 31-Dec31-Dec-2012 07-Jan07-Jan-2013

Symbol RELINFRA NIFTY

Strategy Long Call Ladder Long Put

Status Open 08-JanProfit booked on 08-Jan-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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