Derivative Report

Jan 21, 2013

Comments
The Nifty futures open interest increased by 1.00% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.01% as market closed at 6064.40 levels.
The Nifty Jan. future closed at premium of 10.45 point

against a premium of 15.25 points. The Feb. series closed at a premium of 57.50 points.
The Implied Volatility of at the money options is

decreased from 12.45% to 11.56%.

Nifty PCR-OI has increased from 1.11 to 1.12 levels. The total OI of the market is Rs.1,57,033/- cr. and the

stock futures OI are Rs.39,165/- cr.

Few of the liquid counters where we have seen high cost

of carry are NHPC, GVKPIL, COLPAL, RENUKA and GUJFLUORO.

View OI Gainers
SCRIP IOC HINDZINC PETRONET ONGC UNIONBANK OI 3021000 4344000 5270000 12028000 3762000 OI CHANGE (%) 34.45 24.90 21.99 18.22 16.76 PRICE 349.30 129.85 159.95 337.70 267.60 PRICE CHANGE (%) 10.94 -1.58 -0.12 7.55 1.07 The trend continues of FIIs buying and DIIs selling in

our market; In Fridays trade also FIIs were net buyers in cash market segment worth of `1,166/- cr. and DIIs net sellers worth of `968/- cr. On derivatives front long buildup was seen by FIIs in index futures, while in index options some short buildup was observed by them.
On options front 6000 put option and 6300 call

option has seen maximum buildup in open interest followed by some unwinding in 5700 put option in Fridays trading session.
The counter of RPOWER is very much heavy in terms

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

MARUTI CESC PTC HDIL TCS

1763750 2313000 3252000 25960000 3453500

-9.89 -8.79 -5.79 -5.41 -4.74

1547.45 324.90 79.50 121.35 1351.00

2.89 2.62 0.44 1.00 -0.82

of open interest indicating good amount of short positions standing in this stock. Around `91-92 levels the stock has decent support and has also seen some signs of short covering around that level. We feel the counter could see more short covering bounce from current level which could take the stock to around `102. Go long with the stop loss of `90.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.12 1.14 2.16 0.87 0.52 PCR-VOL 1.05 0.80 1.41 0.70 0.37

Historical Volatility
SCRIP EXIDEIND IOC NTPC IGL BPCL HV 57.23 61.37 27.69 35.28 56.38

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Derivative Report
Jan 18, 2013

FII Statistics for 17-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7515.44 53307.01 33751.20 4481.48 99055.13 Change (%) 3.72 2.63 0.83 3.39 2.16

Turnover on 17-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

995.56

779.60

215.96 (107.66) 12.80 (94.00) 27.11

248570 1751487 1027321 141821 3169199

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,22,441 23,30,658 6,05,131 4,26,408 35,84,638

6,700.11 70,935.19 20,213.09 13,625.05 111,473.43

-26.85 -20.86 0.96 -2.08 -16.01

11936.19 12043.85 2110.52 1997.06 2097.72 2091.06

17039.33 17012.23

Nifty Spot =6039.20

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 41.05 12.75 41.05 3.05 12.75 3.05 9.70 90.30 6209.70 38.00 162.00 6138.00 Risk 28.30 Reward 71.70 BEP 6128.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 28.20 10.50 28.20 4.40 10.50 4.40 6.10 93.90 5893.90 23.80 176.20 5976.20 Risk 17.70 Reward 82.30 BEP 5982.30

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

Nifty Put-Call Analysis

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Derivative Report
Jan 18, 2013

Strategy Date 31-Dec-2012 07-Jan-2013 14-Jan-2013

Symbol RELINFRA NIFTY BANKNIFTY

Strategy Long Call Ladder Long Put Long Call

Status Open Profit booked on 08-Jan-13 Profit booked on 15-Jan-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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