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Derivative Report

July 05, 2013

Comments The Nifty futures open interest increased by 2.29% while BankNifty futures open interest is decreased by 1.30% as market closed at 5836.95 levels. The Nifty July future closed at premium of 3.15 point against a discount of 3.05 points. The August series closed at a premium of 26.30 points. The Implied Volatility of at the money options has increased from 17.24% to 17.75%. Nifty PCR-OI has increased from 1.09 to 1.14 levels. The total OI of the market is Rs. 1,21,457/- cr. and the stock futures OI is Rs. 27,441/- cr. Few of the liquid counters where we have seen high cost of carry are SINTEX, JPPOWER, OFSS, JISLJALEQS and ASHOKLEY.

Nifty Vs OI

OI Gainers
SCRIP CESC ASHOKLEY UCOBANK RELCAPITAL HEXAWARE OI 641000 13914000 14868000 8031000 10616000 OI CHANGE (%) 27.94 21.54 16.70 16.09 12.22 PRICE 358.40 18.55 65.15 359.35 91.00 PRICE CHANGE (%) 4.86 -4.83 9.62 5.48 4.03

View Despite markets moving up substantially, FII's marginally bought in cash market segment. Index futures their activity was muted but they aggressively bought index options. 6100 strike call added decent built-up but yesterday it was more of put built-up which was visible. Maximum was seen in 5800. We saw meaningful activity in 5400 strike put too. RAYMOND has seen strong rollovers and most of it was short. The recent correction didn't see much formation of short positions and volumes in falls were also less. Yesterdays small upmove saw good cash volumes and also Rs.235-240 is strong support zone. We suggest to go long in the range of Rs. 241-244 with a target of Rs. 278 and stop loss of Rs. 231.

OI Losers


1899500 3748000 3434000 3109000 15012000

-7.95 -6.86 -6.28 -5.56 -4.94

346.60 82.65 205.95 224.60 44.75

0.96 1.30 0.32 2.04 0.00

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCRPCR-OI 1.14 1.07 0.54 0.77 0.82 PCRPCR-VOL 0.88 0.84 0.62 0.64 0.59

Historical Volatility


Derivative Report
July 05, 2013

FII Statistics for 04-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10438.23 46040.37 26323.84 1067.20 83869.65 Change (%) (0.73) 5.57 1.33 11.16 3.44

Turnover on 04-July-2013
No. of Contracts Turnover (` in cr.) Change (%)




18.06 1159.56 301.60 30.51 1509.73

358408 1578447 934392 38960 2910207


3,88,545 31,07,359 6,09,898 3,18,556 44,24,358

11255.21 91140.03 17152.70 9088.14 128636.09

15.71 16.54 13.72 10.61 15.65

15607.90 14448.34 2127.00 1111.22 1825.40 1080.71

20208.07 18698.34

Nifty Spot =5836.95

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 119.05 69.20 119.05 35.25 69.20 35.25 33.95 66.05 5933.95 83.80 116.20 5883.80 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 82.60 50.60 82.60 30.10 50.60 30.10 20.50 79.50 5679.50 52.50 147.50 5747.50 Risk Reward BEP







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

Nifty Put-Call Analysis


Derivative Report
July 05, 2013

Strategy Date 0101-JulyJuly-13


Strategy Long Put Ladder

Status Open

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