Derivative Report

Sept 04, 2013

Comments The Nifty futures open interest increased by 3.27% while BankNifty futures open interest is increased by 3.41% as market closed at 5341.45 levels. The Nifty September future closed at premium of 3.10 point against a premium of 3.85 points. The October series closed at a premium of 30.60 points. The Implied Volatility of at the money options has increased from 26.93% to 32.16%. Nifty PCR-OI has decreased from 1.24 to 1.20 levels. The total OI of the market is Rs. 1,18,297/- cr. and the stock futures OI is Rs. 27,699/- cr. Few of the liquid counters where we have seen high cost of carry are TATACOMM, RENUKA, PUNJLLOYD, DIVISLAB, INDHOTEL.

Nifty Vs OI

OI Gainers
SCRIP GODREJIND ITC COALINDIA NTPC POWERGRID OI 699000 26737000 5650000 11886000 7198000 OI CHANGE (%) 23.50 15.98 15.68 12.92 12.40 PRICE 242.50 300.70 261.10 128.05 95.65 PRICE CHANGE (%) 0.14 -5.67 1.18 -2.81 -3.87

View FII's continue to sell in cash market segment, they were net seller worth of Rs. 716/- cr. On derivatives front significant amount of short buildup was seen in index future, wherein they were net seller worth of Rs. 1850/- cr. In index options huge amount of long buildup was seen, they were net buyer of more than Rs. 1000/- cr in yesterdays trading session. In options front decent amount of buildup was seen in 5600 & 5700 call options. In put we have hardly seen any buildup, maximum buildup was seen in 4600 strike. We have also observed some unwinding in 5500 put strike in yesterdays trading session.

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

SYNDIBANK OPTOCIRCUI MRF LUPIN IDFC

2758000 3924000 29125 2309000 29646000

-11.66 -9.25 -8.98 -8.55 -8.30

64.40 23.65 13033.25 840.40 79.30

-2.63 -7.78 -4.33 1.77 -5.05

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.20 0.93 0.66 0.80 0.50 PCRPCR-VOL 1.09 0.77 0.55 0.83 0.59

Historical Volatility
SCRIP GRASIM VOLTAS AXISBANK RELIANCE ITC INFY HV 46.53 60.31 82.01 53.92 51.00 74.73

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Derivative Report
Seot 04, 2013

FII Statistics for 03-Sept-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10734.22 48628.51 25831.66 917.60 86111.99 Change (%) 8.64 5.08 3.07 20.32 5.01

Turnover on 03-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2529.51

4380.38

(1850.87) 1005.50 224.16 18.97 (602.23)

419986 1826177 1043390 34600 3324153

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

7,05,006 40,86,714 7,30,710 2,71,760 57,94,190

18376.30 111419.55 18274.65 7107.65 155178.15

61.95 45.56 36.27 32.99 45.50

20951.09 19945.59 2855.38 741.48 2631.22 722.51

27077.47 27679.70

Nifty Spot =5341.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 134.85 89.85 134.85 55.90 89.85 55.90 33.95 66.05 5533.95 78.95 121.05 5478.95 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 152.10 118.45 152.10 90.50 118.45 90.50 27.95 72.05 5172.05 61.60 138.40 5238.40 Risk Reward BEP

45.00

55.00

5445.00

33.65

66.35

5266.35

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

Nifty Put-Call Analysis

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Derivative Report
Seot 04, 2013

Strategy Date 0202-SeptSept-13

Symbol NIFTY

Strategy Ratio Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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