Derivative Report

Mar 07, 2013

Comments
The Nifty futures open interest increased by 3.74% while

Nifty Vs OI

BankNifty futures open interest is increased by 12.49% as market closed at 5818.60 levels.
The Nifty Mar. future closed at premium of 22.75 point

against a premium of 18.55 points. The Apr. series closed at a premium of 50.65 points.
The Implied Volatility of at the money options is

increased from 12.18% to 12.35%.

Nifty PCR-OI has increased from 0.94 to 1.00 levels. The total OI of the market is Rs.1,24,675/- cr. and the

stock futures OI are Rs.28,181/- cr.

Few of the liquid counters where we have seen high cost

of carry are CORMPGREAV, UNITECH, ADANIENT, IVRCLINFRA and PANTALOONR.

View OI Gainers
SCRIP HDFCBANK RECLTD ICICIBANK SUNTV HDIL OI 8644000 3145000 7554750 1551000 26996000 OI CHANGE (%) 16.31 15.71 13.60 12.15 11.19 PRICE 630.50 236.25 1108.35 421.45 67.90 PRICE CHANGE (%) -0.42 4.86 1.36 -2.27 12.53 FIIs were net buyers in cash market segment; they

were net buyers worth of `524/- cr. On derivatives front decent amount of long buildup was seen in all three main segments of index futures, index options and stock futures in yesterdays trade. On options front 5700-5800 put option has seen good amount of buildup in open interest, while in call option 6100 strike price saw maximum buildup in open interest followed by some unwinding in 5500-6000 strike price in yesterdays trading session. short covering. However the stock in yesterdays trade has seen some short buildup with fall in cost of carry, hence we feel the counter could see some downward pressure in near term. Go short at around `14101420 levels with the stop loss of `1445 and target of `1340.

The recent bounce in AXISBANK was mainly due to

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

NHPC IDFC PTC SIEMENS GODREJIND

96264000 11526000 2480000 862500 744000

-14.52 -11.60 -11.17 -8.00 -7.69

20.90 154.10 64.95 515.10 287.15

4.22 4.14 2.20 2.56 2.64

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.00 1.08 0.67 0.44 0.93 PCR-VOL 1.03 0.89 0.60 0.50 0.85

Historical Volatility
SCRIP PUNJLLOYD HDIL HINDZINC ITC IDFC HV 91.08 104.17 40.50 19.00 46.76

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Derivative Report
Mar 07, 2013

FII Statistics for 06-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9949.88 44761.35 24819.05 2568.37 82098.66 Change (%) 3.96 2.36 0.54 20.85 2.50

Turnover on 06-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1379.43 9453.48 1714.96 1068.67

1188.25 8541.36 1107.28 1131.67

191.18 912.12 607.68 (63.00) 1647.98

339743 1537056 829350 89890 2796039

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,24,789 23,78,968 4,33,008 2,80,081 33,16,846

6597.84 69580.37 13298.18 8491.41 97967.78

-15.99 -12.93 0.51 11.90 -9.78

13616.54 11968.56

Nifty Spot =5818.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 89.90 41.80 89.90 16.20 41.80 16.20 25.60 74.40 5925.60 73.70 126.30 5873.70 Risk 48.10 Reward 51.90 BEP 5848.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 54.15 26.35 54.15 12.20 26.35 12.20 14.15 85.85 5685.85 41.95 158.05 5758.05 Risk 27.80 Reward 72.20 BEP 5772.20

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

Nifty Put-Call Analysis

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Derivative Report
Mar 07, 2013

Strategy Date 05-Mar-2013

Symbol TATASTEEL

Strategy Ratio Call Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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