Derivative Report

Aug 28, 2013

Comments The Nifty futures open interest increased by 3.44% while BankNifty futures open interest is increased by 1.41% as market closed at 5287.45 levels. The Nifty August future closed at discount of 2.65 point against a discount of 9.40 points. The September series closed at a premium of 14.90 points. The Implied Volatility of at the money options has increased from 24.38% to 29.65%. Nifty PCR-OI has decreased from 0.95 to 0.88 levels. The total OI of the market is Rs. 1,72,943/- cr. and the stock futures OI is Rs. 32,093/- cr. Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, JPPOWER, INDIACEM, RAYMOND, GMRINFRA.

Nifty Vs OI

OI Gainers
SCRIP IDFC TITAN UCOBANK DRREDDY NTPC OI 26146000 12758000 15496000 1069875 15472000 OI CHANGE (%) 43.61 27.55 18.25 16.83 15.39 PRICE 79.10 221.70 50.20 2167.45 124.45 PRICE CHANGE (%) -16.39 -3.22 -6.45 0.55 -5.93

View FII's continue to sell in cash market segment in a big way, they were net seller worth of Rs. 1373/- cr. On derivatives front good amount of short buildup was seen in index future and index options in yesterdays trading session. In options front significant amount of buildup was seen in 5300 & 5400 call options. Some buildup was also seen in 5200 call with decent unwinding 5600 5800 strikes. In put options good amount of buildup was seen in 5100 & 5200 strikes, followed by significant unwinding in 5400 & 5500 strikes in yesterdays trading session. Roll-over in Nifty is 35.35% and in BankNifty is on higher side at 46.09%.

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

EXIDEIND ADANIPORTS SINTEX MARUTI SYNDIBANK

1302000 3162000 10488000 2091500 4410000

-12.62 -11.68 -11.39 -10.42 -10.07

123.85 123.50 19.95 1260.25 63.30

-3.38 -0.28 -8.28 -3.61 -6.01

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCRPCR-OI 0.88 0.57 0.44 0.51 0.48 PCRPCR-VOL 1.10 0.78 0.68 0.83 0.71

Historical Volatility
SCRIP IDFC HDFCBANK HDFC NTPC RECLTD INFY HV 108.94 56.04 58.15 49.77 71.22 74.73

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Derivative Report
Aug 28, 2013

FII Statistics for 27-Aug-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17921.15 62362.29 28430.44 3331.33 112045.21 Change (%) 4.54 2.75 3.08 0.79 3.06

Turnover on 27-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

6445.35

6987.49

(542.15) (139.99) 400.26 (3.38) (285.26)

699473 2380392 1164533 135323 4379721

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

9,26,852 85,35,841 13,16,403 3,67,509 1,11,46,605

23779.46 229133.92 31542.82 8889.76 293345.97

32.57 35.92 26.82 1.87 33.27

32693.00 32833.00 9512.71 872.40 9112.45 875.78

49523.46 49808.72

Nifty Spot =5287.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 39.90 11.20 39.90 3.15 11.20 3.15 8.05 91.95 5408.05 36.75 163.25 5336.75 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 60.60 19.40 60.60 5.25 19.40 5.25 14.15 85.85 5185.85 55.35 144.65 5244.65 Risk Reward BEP

28.70

71.30

5328.70

41.20

58.80

5258.80

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

Nifty Put-Call Analysis

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Derivative Report
Aug 28, 2013

Strategy Date 2929-JulyJuly-2013 0505-AugAug-2013 1212-AugAug-2013 1919-AugAug-2013 2626-AugAug-2013

Symbol INFY SBIN LT NIFTY ICICIBANK

Strategy Long Put Long Call Ladder Long Call Ladder Short Strangle Long Call Ladder

Status Open Close Close Loss Booked Booked Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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