Derivative Report

Mar 28, 2013

Comments
The Nifty futures open interest increased by 6.54% while

Nifty Vs OI

BankNifty futures open interest is increased by 17.05% as market closed at 5641.60 levels.
The Nifty Mar. future closed at discount of 1.25 point

against a premium of 11.20 points. The Apr. series closed at a premium of 34.25 points.
The Implied Volatility of at the money options is

decreased from 16.57% to 14.77%.

Nifty PCR-OI has increased from 0.78 to 0.81 levels. The total OI of the market is Rs.1,59,559/- cr. and the

stock futures OI are Rs.28,659/- cr.

Few of the large cap names where we have seen low

rollovers are AMBUJACEM, ITC, HDFC, TATAPOWER and HCLTECH. View OI Gainers
SCRIP TATAMTRDVR JSWSTEEL HDFCBANK KOTAKBANK AXISBANK OI 4836000 10649500 10465500 2710000 5461000 OI CHANGE (%) 25.48 12.47 12.36 11.61 10.12 PRICE 153.80 599.70 614.50 639.70 1294.20 PRICE CHANGE (%) -0.87 -1.91 0.69 1.07 -1.07 FIIs were net buyers in cash market segment; they

were net buyers worth of ` 538/- cr. On derivatives front decent amount of short buildup was observed by them in index futures and in index options. While in stock futures good amount of long buildup was seen by them in Tuesdays trade.
On options front 5600 call option has seen good

amount of buildup in open interest, followed by significant amount on unwinding seen in 5700-6000 call option. While in put option 5500-5600 strike price has seen decent amount of buildup in open interest and 5700-5800 put option has seen some unwinding in Tuesdays trading session.
Rollover in NIFTY future is in line at 45%, while that

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

of BANKNIFTY future the rollover is bit on the higher side at 42% indicating shorts getting carried forward in next series.
The bounce back in TATAMOTORS in Tuesdays

NHPC HDIL GMRINFRA GVKPIL ADANIPORTS

58308000 30772000 52480000 26288000 2362000

-20.57 -14.84 -13.77 -13.71 -12.39

20.00 45.40 20.85 9.15 131.40

2.82 -1.53 -4.56 -3.66 2.50

trade was mainly due to short covering. The stock has seen good amount of short positions getting buildup at higher levels and also the cost of carry in this counter for current series has become negative indicating selling pressure seen in this counter. Hence we recommend going short on this stock in April series at around `278-280 levels with the target price of `260 and stop loss at `292. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 0.81 0.72 0.55 0.31 0.78 PCR-VOL 0.79 0.68 0.87 0.56 1.00

SCRIP RELIANCE SYNDIBANK COLPAL SIEMENS GAIL INFY

HV 29.21 45.36 29.66 51.03 35.47 74.73

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Derivative Report
Mar 28, 2013

FII Statistics for 26-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 15638.97 60863.62 25655.82 2953.57 105111.98 Change (%) 13.72 2.54 1.64 (2.55) 3.67

Turnover on 26-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

5004.05

5389.14

(385.09) (1301.99) 236.40 52.17 (1398.52)

553671 2159184 915741 109493 3738089

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,48,903 51,54,864 9,51,510 3,15,781 68,71,058

12664.16 147125.02 26400.76 8800.12 194990.06

-3.28 7.94 4.41 -2.85 6.12

20059.59 21361.58 8065.60 1432.32 7829.20 1380.15

34561.56 35960.07

Nifty Spot =5641.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 48.95 7.00 48.95 0.85 7.00 0.85 6.15 93.85 5706.15 48.10 151.90 5648.10 Risk 41.95 Reward 58.05 BEP 5641.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 13.10 1.65 13.10 0.50 1.65 0.50 1.15 98.85 5498.85 12.60 187.40 5587.40 Risk 11.45 Reward 88.55 BEP 5588.55

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

Nifty Put-Call Analysis

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Derivative Report
Mar 28, 2013

Strategy Date 05-Mar-2013 11-Mar-2013 18-Mar-2013 25-Mar-2013

Symbol TATASTEEL HINDUNILVR RELIANCE NIFTY

Strategy Ratio Call Spread Bull Call Spread Long Put Ladder Long Put

Status Exited with minor loss on 22-Mar-13 Profit booked on 18-Mar-13 Profit booked on 25-Mar-13 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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