Daily Derivatives

28-May-13

Market Reviews
Nifty Synopsis
Particulars

Market Outlook:

27-May-13 24-May-13

Chg

Nifty Spot Close

6,083.15

5,983.55

1.66%

Nifty May Close

6,083.45

5,985.40

1.64%

Nifty Jun Close

6,102.75

5,999.20

1.73%

Nifty May OI (in Lacs)

220.76

242.03

-8.79%

Nifty Jun OI (in Lacs)

51.52

26.81

92.17%

Nifty CoC - Spot to May (%)

0.60%

1.88%

-1.28

Nifty CoC- Spot to Jun (%)

3.79%

2.80%

0.99

Nifty Spread- May to Jun (%)

38.54%

14.01%

24.53

Roll Over (%)

20.01%

11.04%

8.97

Nifty Volume (Qty- in Lacs)

2.38

2.43

-2.06%

PCR OI

1.18

1.12

5.37%

PCR Vol (Contract)

1.06

1.12

-5.27%

244.26

239.64

1.93%

17.03

17.70

-3.79%

Market OI (in Cr)

Nifty VIX

6,300

Nifty Spot & Nifty Future - Premium / Discount

Last 21 Trading Days

6,200

20

10

6,000
5

5,900
5,800

5,700

-5
NIFTY (Spot)

Pivot Point
NIFTY (F)
Mv. Avg. (E)
NIFTY (S)

S2
5,924.82
14 Days
6,050.38

NIFTY (Future)

S1
6,004.14
30 Days
5,980.08

Nifty May Future Price saw a increase of around 1.64% and Open Interest saw a
decrease of around 8.79%: Indicating Short Covering in Nifty.
Nifty May Future is trading at a premium of 0.3 point as compared to a premium of 1.85
point as of the previous trading day: Indicating negativeness for the Market.
Nifty Jun Future is trading at a premium of 19.6 point as compared to a premium of
15.65 point as of the previous trading day: Indicating positiveness for the Market.
The PCR for Nifty based on Open Interest saw a increase and stand at 1.18 as compared
to 1.12 : Indicating positiveness for the market.
High PUT option open interest buildup of around 79.42 lacs contracts is seen at 6000
strike: Indicating that traders are betting on to 6000 as strong support.
High CALL option open interest buildup of around 83.67 lacs contracts is seen at 6100
strike: Indicating that traders are betting on to 6100 as strong resistance.
Nifty Rollover saw a increase and stand at 20.01% as compared to 11.04% as of the
previous trading day: Indicating positivesness for the market.
Nifty VIX decreased by 0.67 points from 17.7 points to 17.03 points: Indicating
positiveness for the Market.

Securites in Ban for Trade are:

RENUKA
Global Market Commentary:

15

6,100

J
L
J
J
J
L
J
J

Discount / Premium

In the last trading session of respective global market, Dow (US) & FTSE (UK) was
closed yesterday. In European Market, CAC (France) at 3995.16 and was gain by 38.37
points and DAX (Germany) at 8383.3 and was gain by 78 points.

Today Asian Market :

Today major stock markets in Asia are trading in a positive sentiment. Hang Seng
(China) gain at 22686.05 by 26 points. Nikkei (Japan) at 14142.65 and was gain by 81
points, Straits Times (Singapore) at 3391.3 and was gain by 7 points.

Singapore Nifty future is currently gain by 2 points at 6091.75.

PIVOT
R1
R2
6,052.07 6,131.39 6,179.32 BANKNIFTY (F)
50 Days 100 Days 200 Days
5,928.34 5,865.21 5,744.24 BANKNIFTY (S)

S2
12,565.03
14 Days
12,847.25

S1
12,737.91
30 Days
12,596.16

PIVOT
12,850.88
50 Days
12,404.68

R1
6,131.39
100 Days
12,174.71

R2
13,136.73
200 Days
11,774.83

Turnover & Sector wise Open Interest Reviews

NSE TO , FII TO & Net Inflow (Outflow) FII

Last 21 Trading Days

325000

1,500

275000

1,000

225000

500

175000

125000

-500

75000

-1,000

25000

-1,500
NSE TO

FII TO

In the last trading session, we saw total turnover of Rs. 194676.37 crs in NSE F&O
Segment, compare to 189248.74 crs as of the previous trading day. FIIs were net buyers
of Rs. 480.38 Crs with an open interest of around Rs. 115017.12 crs. In Index Options FIIs
were net sellers of Rs. 546.03 crs with 3.28% decrease in open interest. In Stock Future
FIIs were net sellers of Rs. 125.32 crs with 6.68% increase in open interest. In Index
Future FIIs were net buyers of Rs. 166.65 crs with 1.01% increase in open interest:
Indicating LONG BUILDUP in Index Futures by FII's.
Sector wise Chg in OI
1.79%

Fund Inflow / Outflow

3.51%
2.66%

Change in NSE & FII TO & Nifty

Last 21 Trading Days

100%

0.99%
2.00%
0.86%

6,300
6,200

50%

4.74%
2.72%
1.88%
2.95%
1.38%
0.92%
3.66%
2.64%
5.73%

6,100

0%

6,000
5,900

-50%

5,800
-100%

5,700

NSE TO
% Chg

Open Interest (in lacs)

Cur OI

FII TO
% Chg
Prv OI

NIFTY

Roll Over

13.20%

1.06%
Sectoral Open Interest Rollover

4,000
3,500
3,000
2,500
2,000
1,500
1,000
500
-

50%
40%
30%

20%
10%
0%

Sector

Price and Open Interest Analysis

Price Loser

Price Gainer
Symbol
OPTOCIRCUI
HEXAWARE
INDUSINDBK
RCOM
RELIANCE

Price
48.70
84.80
529.60
114.35
830.50

% Chg

% Chg
Exp

7.39% -21.96%
6.00% 0.00%
5.81% 13.20%
5.29% 19.61%
5.26% 1.32%

OI
(in Lacs)
64.20
66.14
40.43
312.84
96.12

% Chg

% Chg
Exp

%
Dlvry

COC

Roll
Over

-16.19%
-22.48%
-13.88%
-15.06%
-11.19%

18.31%
11.68%
52.68%
25.96%
70.74%

27.33%
42.28%
53.55%
10.52%
48.84%

0.00%
-7.17%
5.74%
26.63%
32.27%

30.61%
20.70%
25.75%
33.89%
29.50%

Symbol
MCDOWELL-N
CROMPGREAV
INDIACEM
M&M
VOLTAS

Price
2,521.55
94.35
70.70
954.10
84.50

% Chg

-2.26% 22.95%
-2.23% -0.42%
-1.87% -14.20%
-1.73% 4.95%
-1.69% -1.34%

Open Interest Gainer

Symbol
INDIACEM
VIJAYABANK
HAVELLS
DENABANK
RECLTD

Price

% Chg

% Chg
Exp

70.70 -1.87% -14.20%

51.90 0.00% 0.10%
696.95 3.41% 7.17%
88.65 1.37% -7.22%
233.80 2.30% 4.14%

11.98% 128.57%
1.08% 37.06%
0.56% 19.93%
0.38% 62.62%
0.29% 40.20%

%
Dlvry
48.98%
24.30%
42.15%
24.18%
29.65%

COC
69.03%
0.00%
-10.47%
34.36%
49.54%

Roll
Over

Symbol

29.71%
38.21%
7.49%
36.90%
12.70%

BHARATFORG
RAYMOND
MCLEODRUSS
NMDC
MCDOWELL-N

% Chg
Exp

Price

% Chg

231.55
286.80
301.55
118.30
2,521.55

2.46% 0.37%
0.68% 2.65%
1.36% -3.36%
1.02% -8.01%
-2.26% 22.95%

Long Buildup
Symbol
HAVELLS
RECLTD
DENABANK
ABIRLANUVO
#N/A

Price

% Chg

% Chg
Exp

696.95 3.41% 7.17%

233.80 2.30% 4.14%
88.65 1.37% -7.22%
1,081.95 -0.08% 10.11%
#N/A
#N/A
#N/A

0.56%
0.29%
0.38%
-9.94%
#N/A

19.93%
40.20%
62.62%
-16.48%
#N/A

%
Dlvry
42.15%
29.65%
24.18%
90.16%
#N/A

COC

Roll
Over

-10.47% 7.49%
49.54% 12.70%
34.36% 36.90%
31.53% 16.66%
#N/A
#N/A

Symbol
MCDOWELL-N
CROMPGREAV
BPCL
VOLTAS
ZEEL

Price
2,521.55
94.35
378.65
84.50
239.65

% Chg

% Chg
Exp

-2.26% 22.95%
-2.23% -0.42%
-1.34% -9.14%
-1.69% -1.34%
-0.87% 6.44%

Short Covering
Symbol
HEXAWARE
OPTOCIRCUI
BHARATFORG
INDUSINDBK
RCOM

Price
84.80
48.70
231.55
529.60
114.35

% Chg

% Chg
Exp

6.00% 0.00%
7.39% -21.96%
2.46% 0.37%
5.81% 13.20%
5.29% 19.61%

-22.48%
-16.19%
-48.11%
-13.88%
-15.06%

% Chg
Exp

43.49 -27.22% 9.16%

73.40 -11.42% 64.68%
53.08 11.98% 128.57%
30.97 -2.96% 39.26%
42.42 -10.58% -10.62%

%
Dlvry

COC

Roll
Over

25.47%
35.43%
48.98%
51.92%
56.20%

41.81%
51.69%
69.03%
28.09%
36.05%

51.35%
33.91%
29.71%
12.75%
25.19%

OI
% Chg
% Chg
(in Lacs)
Exp

%
Dlvry

COC

Roll
Over

14.69
27.83
13.82
150.70
43.49

-48.11%
-29.95%
-28.32%
-28.19%
-27.22%

7.05%
1.99%
-2.31%
37.39%
9.16%

44.51%
46.69%
44.67%
68.41%
25.47%

-39.34%
36.11%
-38.27%
25.74%
41.81%

62.80%
36.04%
60.63%
40.79%
51.35%

OI
% Chg
% Chg
(in Lacs)
Exp
43.49
73.40
39.90
42.42
35.72

-27.22%
9.16%
-11.42% 64.68%
-13.86% 59.86%
-10.58% -10.62%
-15.93% 17.46%

%
Dlvry

COC

Roll
Over

25.47%
35.43%
52.49%
56.20%
57.04%

41.81%
51.69%
38.62%
36.05%
15.24%

51.35%
33.91%
34.78%
25.19%
28.04%

%
Dlvry

COC

Roll
Over

Short Buildup

OI
% Chg
% Chg
(in Lacs)
Exp
66.14
64.20
14.69
40.43
312.84

% Chg

Long Unwind

OI
% Chg
% Chg
(in Lacs)
Exp
13.47
31.27
106.96
6.70
#N/A

OI
(in Lacs)

Open Interest Loser

OI
% Chg
% Chg
(in Lacs)
Exp
53.08
59.96
13.47
106.96
31.27

% Chg
Exp

11.68%
18.31%
7.05%
52.68%
25.96%

%
Dlvry

COC

Roll
Over

Symbol

42.28%
27.33%
44.51%
53.55%
10.52%

-7.17%
0.00%
-39.34%
5.74%
26.63%

20.70%
30.61%
62.80%
25.75%
33.89%

INDIACEM
ABIRLANUVO
#N/A
#N/A
#N/A

Price

% Chg

% Chg
Exp

70.70 -1.87% -14.20%

1,081.95 -0.08% 10.11%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A

OI
% Chg
% Chg
(in Lacs)
Exp
53.08
6.70
#N/A
#N/A
#N/A

11.98% 128.57% 48.98%

-9.94% -16.48% 90.16%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A

69.03% 29.71%
31.53% 16.66%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A

An increase in open interest along with an increase in price is said to confirm an upward trend. Similarly, an increase in open interest along with a decrease in price
confirms a downward trend. An increase or decrease in prices while open interest remains flat or declining may indicate a possible trend reversal.

Options Reviews
Nifty Option Open Interest Distribution
CALL
Strike
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500

Price
677.35
576.50
478.95
379.65
276.25
184.15
92.75
30.30
5.70
1.30
0.65
0.25

PUT

CE OI OI (T-1)
(in lkh) (in lkh)

% Chg
16.65%
19.80%
24.81%
32.98%
43.73%
76.14%
128.17%
160.09%
86.89%
8.33%
0.00%
25.00%

3.65
7.18
8.97
9.56
11.88
22.00
53.70
83.67
57.28
45.50
38.30
12.17

3.95
7.50
9.31
10.46
12.40
30.73
67.78
79.20
55.31
45.20
39.66
12.76

CE OI
% Chg
-7.53%
-4.28%
-3.72%
-8.60%
-4.15%
-28.39%
-20.77%
5.64%
3.56%
0.66%
-3.44%
-4.65%

PE OI OI (T-1)
(in lkh) (in lkh)

Price

% Chg

0.40
0.55
0.80
1.20
2.05
4.55
14.00
46.65
119.70
215.15
305.10
411.60

-33.33%
-26.67%
-42.86%
-60.66%
-76.30%
-80.39%
-75.35%
-62.72%
-44.72%
-32.01%
-25.53%
-19.54%

25.15
34.12
37.54
67.98
65.58
72.72
79.42
43.78
14.84
2.98
0.97
1.94

Call Put Open Interest Concentration

100%

90
80

80%

70
60

60%

50
40%

40
30

20%

20
10

0%

-20%

CE OI
(in lkh)

PE OI
(in lkh)

Poly. (CE OI
(in lkh))

Poly. (PE OI
(in lkh))

PCR (OI)

-40%

25.57
35.11
39.79
73.21
71.23
81.02
59.59
23.47
14.43
4.39
1.04
2.11

PE OI
% Chg
-1.62%
-2.81%
-5.68%
-7.15%
-7.93%
-10.24%
33.28%
86.52%
2.82%
-32.26%
-7.07%
-8.05%

OI
6.88
4.75
4.19
7.11
5.52
3.31
1.48
0.52
0.26
0.07
0.03
0.16

OI (T-1)
6.47
4.68
4.27
7.00
5.75
2.64
0.88
0.30
0.26
0.10
0.03
0.17

Call Put Open Interest Concentration

CE OI
PE OI
% Chg
% Chg

PCR
% Chg
6.39%
1.54%
-2.03%
1.58%
-3.95%
25.33%
68.21%
76.56%
-0.72%
-32.70%
-3.77%
-3.57%

Most Active Option Contract and Sentiment Reviews

Most Active Nifty - CALL
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

6,100
6,000
6,200
5,900
6,300

Setl
Price

Con
(in lkh)

30.30
92.75
5.70
184.15
1.30

Most Active Nifty

Trd
Val (Cr)

7.69
6.80
3.01
1.27
0.81

OI
(in lkh)

23,548.10
20,603.67
9,349.01
3,833.36
2,553.30

83.67
53.70
57.28
22.00
45.50

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Opt

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

CE
PE
CE
PE
PE

Most Active Nifty - PUT

Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY

Expiry
Date

Strike
Price

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

Setl
Price

6,000
5,900
6,100
5,800
5,700

Trd
Val (Cr)

7.77
5.17
3.18
2.72
1.17

OI
(in lkh)

23,409.78
15,287.24
9,808.39
7,899.44
3,329.57

79.42
72.72
43.78
65.58
67.98

Symbol
SBIN
RELIANCE
SBIN
SBIN
RELIANCE

Expiry
Date

Opt

30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

CE
CE
PE
CE
CE

Basis

CESC
SESAGOA
GRASIM
NTPC
ONGC

Symbol
HEXAWARE
RELIANCE
INDUSINDBK
SUNPHARMA
APOLLOTYRE

1.85
1.05
25.50
1.20
2.55

Price
84.80
830.50
529.60
1,016.70
90.50

% Chg
6.00%
5.26%
5.81%
4.36%
4.87%

30-May-13
330.15
164.30
2,994.45
152.60
327.55

27-Jun-13
332.00
165.35
3,019.95
153.80
330.10

Volatility Gainer
% Chg
OI
% Chg
Exp (in Lacs)
0.00%
66.14 -22.48%
1.32%
96.12 -11.19%
13.20%
40.43 -13.88%
3.79%
33.19 -3.92%
-1.79%
49.84 -11.94%

Con
(in lkh)

30.30
14.00
92.75
4.55
46.65

Trd
Val (Cr)

7.69
7.77
6.80
5.17
3.18

OI
(in lkh)

23,548.10
23,409.78
20,603.67
15,287.24
9,808.39

83.67
79.42
53.70
72.72
43.78

Strike
Price
2,200
820
2,100
2,150
840

LTP

Con
(in '000)

Trd
Val (Cr)

12.53
8.85
8.85
7.49
6.47

346.29
183.94
234.60
203.61
136.53

8.15
14.00
22.25
20.25
5.25

OI
(in lkh)
7.04
5.58
4.14
3.76
10.72

CoC Gainer

Spread Gainer
Symbol

6,100
6,000
6,000
5,900
6,100

Setl
Price

Most Active Stock

Con
(in lkh)

14.00
4.55
46.65
2.05
1.20

Strike
Price

Dvnd
0.10
-

% Chg
Exp
11.68%
70.74%
52.68%
95.93%
65.36%

Spread

Chg

67.99%
84.91%
103.17%
95.30%
94.35%

%
Volatility
Dlvry % Chg
42.28% 21.56%
48.84% 21.14%
53.55% 17.91%
50.40% 15.01%
36.63% 14.84%

67.99
65.92
61.39
61.07
59.93

Roll
Over
20.70%
29.50%
25.75%
25.12%
15.81%

Symbol

Basis

GMRINFRA
NHPC
HDIL
MARUTI
HEROMOTOCO

Symbol
HINDUNILVR
MCDOWELL-N
RCOM
LICHSGFIN
UNIPHOS

Price

0.10
0.10
0.25
6.30
10.10

% Chg

593.10 0.80%
2,521.55 -2.26%
114.35 5.29%
274.90 0.15%
156.20 -1.36%

Future

Spot

21.85
19.85
50.25
1,655.05
1,664.45

21.75
19.75
50.00
1,648.75
1,654.35

Expiry to Exipry Gainer

% Chg
OI
% Chg
Exp (in Lacs)
23.91%
66.40 -7.45%
22.95%
43.49 -27.22%
19.61% 312.84 -15.06%
18.31%
80.89 -5.21%
18.11%
62.30 -4.65%

Dvnd
-

% Chg
Exp
103.90%
9.16%
25.96%
-17.75%
3.27%

CoC

Chg

55.81%
61.45%
60.68%
46.40%
74.05%

%
Volatility
Dlvry
% Chg
72.58% -2.65%
25.47% -0.95%
10.52%
2.32%
42.36% -3.01%
72.81% -1.60%

83.84
61.45
54.51
51.85
51.37

Roll
Over
43.76%
51.35%
33.89%
13.32%
11.88%

The CoC is the cost of "carrying" or holding a position. A higher carry cost is indicative of buying pressure and vice versa.
The Future Spread refers to the difference between in the price of two future contracts while hedging against risk. More buyers and sellers competing in the same space bring Bid/Offer spreads lower.
Volatility is the relative rate at which the price of a security moves up and down. If the price of a stock moves up and down rapidly over short time periods, it has high volatility and vice versa.

Disclaimer:
The information and opinions contained herein been compiled or arrived at, based upon information obtained from reliable sources. Such
information has not been independently verified and no guarantee, representation of warranty, express or implied, is made as to its accuracy,
completeness or correctness. All such information and opinions are subject to change without notice. I do not take any responsibility, financial or
otherwise, of the losses or the damages sustained due to the investments made or any action taken on basis of this report. I may or may not have
any positions in any of the stocks dealt in the report. This report is only for PRIVATE CIRCULATION.

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