Derivative Report

Feb 06, 2013

Comments
The Nifty futures open interest decreased by 0.63% while

Nifty Vs OI

BankNifty futures open interest is decreased by 0.87% as market closed at 5956.90 levels.
The Nifty Feb. future closed at premium of 17.55 point

against a premium of 9.05 points. The Mar. series closed at a premium of 51.00 points.
The Implied Volatility of at the money options is

increased from 12.75% to 12.88%.

Nifty PCR-OI has increased from 0.90 to 0.96 levels. The total OI of the market is Rs.1,17,906/- cr. and the

stock futures OI are Rs.33,081/- cr.

Few of the liquid counters where we have seen high cost

of carry are WELCORP, SUZLON, JSWENERGY, PNB and DENABANK. View OI Gainers
SCRIP JUBLFOOD ADANIPOWER HAVELLS JPASSOCIAT DLF OI 827250 12608000 403500 83016000 14625000 OI CHANGE (%) 29.01 21.98 15.78 14.40 14.12 PRICE 1039.75 56.80 656.60 76.10 272.95 PRICE CHANGE (%) -8.13 0.80 -1.79 -3.89 0.72 FIIs were net buyers in cash market segment worth

of `489/- cr. On derivatives front some more short buildup was seen by them in index futures, while in index options and in stock futures long buildup was observed by them in yesterdays trade.
On options front 6000-6100 call option has seen

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

good amount of buildup in open interest followed by significant amount of unwinding observed in 6300 strike price. While in put option 5600-5900 strike price saw considerable amount of buildup in open interest and 6000-6200 put option has seen some unwinding which was much of a short covering in yesterdays trading session.
The counter of TATASTEEL is bit heavy in terms of

SUNPHARMA LUPIN GAIL ACC SUNTV

2716000 1918000 2395000 711500 2352000

-11.29 -8.12 -7.99 -6.66 -4.82

749.50 594.95 344.90 1323.70 475.00

4.15 -0.38 1.23 2.02 -2.73

open interest indicating good amount of short positions standing in this stock. Around `390 odd levels the stock has decent support and hence can see some short covering bounce in this counter which could take the stock to around `418. Go long with the stop loss of `386

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN MCDOWELL-N INFY PCR-OI 0.96 1.05 0.65 0.40 1.23 PCR-VOL 0.92 0.71 0.54 0.30 0.99

Historical Volatility
SCRIP SUNPHARMA JUBLFOOD LICHSGFIN UCOBANK OPTOCIRCUI HV 29.07 64.99 25.79 50.43 75.04

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Derivative Report
Feb 06, 2013

FII Statistics for 05-February-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 8408.63 39625.93 30989.65 1928.11 80952.32 Change (%) 2.32 6.84 0.68 6.55 3.98

Turnover on 05- February-2013

No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1035.65 11079.39 1486.98 782.84

1698.67 9800.63 1302.85 787.69

(663.02) 1278.76 184.13 (4.86) 795.01

280302 1326367 987923 65755 2660347

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,15,610 21,07,889 4,35,833 2,27,271 29,86,603

6530.84 63788.35 14414.01 7684.18 92417.38

-3.90 11.16 -4.55 -4.06 5.87

14384.85 13589.83

Nifty Spot =5956.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 65.25 29.50 65.25 11.35 29.50 11.35 18.15 81.85 6118.15 53.90 146.10 6053.90 Risk 35.75 Reward 64.25 BEP 6035.75

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 90.00 48.15 90.00 23.25 48.15 23.25 24.90 75.10 5875.10 66.75 133.25 5933.25 Risk 41.85 Reward 58.15 BEP 5958.15

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

Nifty Put-Call Analysis

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Derivative Report
Feb 06, 2013

Strategy Date 04-Feb-2013

Symbol NIFTY

Strategy Long Call

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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