Derivative Report

Jan 25, 2013

Comments
The Nifty futures open interest decreased by 3.17% while

Nifty Vs OI

BankNifty futures open interest is increased by 2.07% as market closed at 6019.35 levels.
The Nifty Jan. future closed at premium of 0.40 point

against a premium of 14.85 points. The Feb. series closed at a premium of 37.85 points.
The Implied Volatility of at the money options is

decreased from 11.43% to 12.96%.

Nifty PCR-OI has decreased from 1.13 to 1.05 levels. The total OI of the market is Rs.1,58,854/- cr. and the

stock futures OI are Rs.37,733/- cr. Few of the liquid counters where we have seen high cost of carry are JUBLFOOD, ADANIPORTS, GAIL, ADANIENT and ANDHRABANK.

View OI Gainers
SCRIP JUBLFOOD ADANIPORTS GAIL ADANIENT ANDHRABANK OI 594000 7534000 2880000 6546000 5492000 OI CHANGE (%) 16.19 13.60 11.84 10.95 10.73 PRICE 1171.65 129.95 349.50 251.95 110.10 PRICE CHANGE (%) -5.78 -3.21 -4.91 -6.70 -7.43 Despite sharp fall witnessed in midcap and small cap

counters in yesterdays trade FIIs continue to be net buyers in cash market; they were net buyers worth of 1,026/- cr. On derivatives front they were net sellers in index futures, while in index options and stock futures they were net buyers in yesterdays trading session.
On options front 6000-6100 call option has seen

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

significant amount of buildup in open interest with rise in IV majority of these buildup could be on the longer side. While in put option 5800 strike price saw maximum buildup in open interest, followed by considerable amount of unwinding seen in 59006100 strike price in yesterdays trade.
HDFCBANK has seen good amount of short buildup

HDIL TATACHEM CESC IBREALEST JSWENERGY

33428000 1812000 1475000 30264000 10744000

-25.12 -20.56 -17.04 -16.48 -14.02

74.45 355.50 325.20 72.85 70.45

-24.88 -3.93 -2.80 -3.90 -4.75

since start of this expiry. However the stock in last few trading session has seen taking support at around `655 levels and has also seen some signs of short covering around that level. With call IVs going up indicating long buildup seen in call option; we feel the counter could see more short covering bounce from current level which could take the stock to around `700. Go long with the stop loss of `640.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY RELIANCE SBIN PCR-OI 1.05 1.05 2.11 0.58 0.72 PCR-VOL 1.03 0.88 1.13 0.56 0.77

Historical Volatility
SCRIP IVRCLINFRA HDIL JUBLFOOD GUJFLUORO HEXAWARE HV 116.31 159.84 36.30 48.88 67.82

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Derivative Report
Jan 25, 2013

FII Statistics for 23-January -2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12914.90 47616.73 35921.53 2245.09 98698.25 Change (%) 1.28 0.16 2.30 3.65 1.16

Turnover on 24-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

724.71

891.18

(166.47) 445.05 47.77 (39.37) 286.98

439343 1603840 1222251 79277 3344711

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,27,853 37,96,362 7,88,006 5,03,483 54,15,704

9759.95 115317.04 25924.55 17269.32 168270.87

20.32 22.10 16.10 17.12 20.51

12355.27 11910.22 3153.68 1508.81 3105.91 1548.18

17742.46 17455.48

Nifty Spot =6019.35

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 52.75 14.80 52.75 3.45 14.80 3.45 11.35 88.65 6111.35 49.30 150.70 6049.30 Risk 37.95 Reward 62.05 BEP 6037.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 35.35 10.05 35.35 2.85 10.05 2.85 7.20 92.80 5892.80 32.50 167.50 5967.50 Risk 25.30 Reward 74.70 BEP 5974.70

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 25, 2013

Strategy Date 31-Dec-2012 07-Jan-2013 14-Jan-2013 21-Jan-2013

Symbol RELINFRA NIFTY BANKNIFTY CAIRN

Strategy Long Call Ladder Long Put Long call Long call

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

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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