Daily Derivative Report

NIFTY FUTURE : 5,901.00

18 March 2013

-38.75 -0.65%
F & O HIGHLIGHTS
1.09 0.68
Nifty March 2013 futures closed at 5,897.10 on Friday at a premium of 24.50 points over spot closing of 5,872.60, while Nifty April 2013 futures ended at 5,931.65, at a premium of 59.05 points over spot closing. Nifty March futures saw contraction of 0.06 million (mn) units taking the total outstanding open interest (OI) to 14.97 mn units. The near month March 2013 derivatives contract will expire on March 28, 2013. From the most active contracts, Hindalco Industries March 2013 futures were trading at a premium of 0.85 points at 96.15 compared with spot closing of 95.30. The number of contracts traded was 10,403.Tata Motors March 2013 futures were trading at a premium of 1.55 points at 292.80 compared with spot closing of 291.25. The number of contracts traded was 14,225. DLF March 2013 futures were trading at a premium of 2.15 points at 274.20 compared with spot closing of 272.05. The number of contracts traded was 20,064. Titan Industries March 2013 futures were at a discount of 1.15 points at 243.25 compared with spot closing of 244.40. The number of contracts traded was 9,956. ICICI Bank March 2013 futures were at a premium of 4.75 points at 1074.10 compared with spot closing of 1069.35. The number of contracts traded was 32,519.

Nifty Sentiment Indicators

Put Call Ratio-Index Options Put Call Ratio-Stock Options

Product
Index Futures Stock Futures Index Options Stock Options Total F&O

14.03.13 557180
580,391 6687704 398469 8223744

Volume 15.03.13 387323

503,496 4283135 324621 5498575

% Chg
-30.49% -13.25% -35.96% -18.53% -33.14%

Index
NIFTY BANK NIFTY CNXIT

Spot
5,872.60 11,816.55 7,224.35
Last price 138.2 613.60 5,015.30 1,301.55 441.1 Chg (%) 2.90% 1.61% 2.13% 3.04% 1.61%

Future
5,901.00

Basis
28 69 13

11,886.00
7,237.00

Increase in Open Interest with Increase in price Symbol DABUR LUPIN ASIANPAINT JUBLFOOD RANBAXY Open Interest 1,846,000 1,352,500 352,000 1,396,000 4,679,000 11.07% 10.18% 9.61% 9.13% 4.07%
ALBK YESBANK ICICIBANK SYNDIBANK RELIANCE

Increase in Open Interest with Decrease in price Symbol Last price Chg (%) Open Interest 139.25 476.4 1,074.10 121.15 846.75 -2.38% -2.34% -3.88% -2.61% -2.16% 4,230,000 6,276,000 8,794,500 3,680,000 8,748,250 12.68% 8.21% 8.20% 7.85% 7.19% Increase (%)

Increase (%)

t 12,000,000 s 10,000,000 e r e t 8,000,000 n i 6,000,000 n e 4,000,000 p o 2,000,000 0

CP
call put

Nifty Option Open Interest Distribution Nifty March 5900 call added 2.16 lakh shares in OI and 6000 call added 4.22 lakh shares in OI. On the put side nifty March 5800 put shed 7.75 lakh shares in OI and 5700 put added 0.47 lakh in OI. The put-call ratio of stock option decreased from 0.77 to 0.68 while put-call ratio of index option decreased from 1.39 to 1.09. On the whole the put call ratio was at 1.05.

strike price

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Daily Derivative Report

NIFTY OUTLOOK :
The nifty future is likely to trade in the range of 5510 - 6148 level in short term as the OI is added. The trading strategy would be create long positions if the nifty takes support around 5850 levels for the target of 5950 and 6000 .On the other hand, one can also create short positions if the nifty future resist support around 6050 levels.

MOST ACTIVE CALLS Symbol NIFTY NIFTY NIFTY NIFTY NIFTY NIFTY BANKNIFTY NIFTY BANKNIFTY
UNDERLYING ASSET CMP STRATEGY MAX LOSS MAX PROFIT BEP TIME HORIZON LOT SIZE NIFTY 5901 SELL NIFTY MARCH 6000 CALL@ 23 SELL NIFTY MARCH 5800 PUT @ 29 UNLIMITED 52 6052 & 5748 TILL EXPIRY 50

Expiry Date 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 25-Apr-13 28-Mar-13

Strike Price 6,000 5,900 6,100 6,200 5,800 6,300 12,200 6,000 12,500

Contracts Traded 6,69,842 4,73,817 3,20,637 1,52,163 86278 44,446 30,063 26,332 23,436

Open Interest 76,87,750 59,01,200 67,14,950 44,66,000 31,58,800 20,54,200 2,34,850 13,37,550 3,90,850

MOST ACTIVE PUTS Symbol NIFTY NIFTY NIFTY NIFTY NIFTY NIFTY NIFTY NIFTY Expiry Date 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 28-Mar-13 25-Apr-13 Strike Price 5,900 5,800 5,700 6,000 5,600 5,500 5,400 5,900 Contracts Traded 5,83,244 5,68,187 2,72,161 1,70,070 1,64,162 88460 65118 36,263 Open Interest 54,65,800 85,90,250 1,08,97,700 28,65,900 71,28,500 63,61,750 33,11,300 13,69,300

STOCK STRATEGY AS ON 18 TH MARCH 2013

PAY OFF MATRIX 100 50 0 -50 0 -100 -150 -200 -250 -300 -350 -400

10

12 Series1

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Daily Derivative Report

STRATEGY TRACKER DATE OF STRATEGY UNDERLYING ASSET STRATEGY IN/OUT FLOW NET PROFIT/ LOSS AS ON 13/03/2013 REMARK

11/3/2013

NIFTY

SELL NIFTY JAN 6000 CALL@ 49 BUY TWO NIFTY JAN 6100 CALL@ 18 SELL NIFTY MARCH 5900 CALL@22 SELL NIFTY MARCH 5600 PUT@ 37 SELL NIFTY JAN 5900 CALL@50 SELL NIFTY JAN 5900 PUT@ 66 SELL NIFTY JAN 6000 CALL@ 40 BUY TWO NIFTY JAN 6100 CALL@ 15 SELL NIFTY JAN 6200 CALL@23 SELL NIFTY JAN 5900 PUT@ 35

13

7.00

BOOK PARTIAL PROFIT AS ON 14.03.2013 BOOK PARTIAL PROFIT AS ON 05.03.2013 BOOK PARTIAL PROFIT AS ON 19.02.2013 BOOK FULL PROFIT AS ON 22.02.2013 BOOK PARTIAL PROFIT AS ON 14.02.2013

4/3/2013

NIFTY

59

11.45

18/2/2013

NIFTY

116

7.00

11/2/2013

NIFTY

10

7.00

4/2/2013

NIFTY

58

5.00

NAME
Varun Gupta Pashupati Nath Jha Vikram Singh

DESIGNATION
Head - Research Research Analyst Research Analyst

E-MAIL
varungupta@moneysukh.com pashupatinathjha@moneysukh.com vikram_research@moneysukh.com

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Mansukh Securities and Finance Ltd

SEBI Regn No. BSE: INB010985834 / NSE: INB230781431 NSE: INB 230781431, F&O: INF 230781431,

PMS Regn No. INP000002387 DP: IN-DP-CDSL-73-2000, IN-DP-NSDL-140-2000 MCX/TCM/CORP/0740 NCDEX/TCM/CORP/0293