Derivative Report

Mar 18, 2013

Comments
The Nifty futures open interest increased by 0.05% while

Nifty Vs OI

BankNifty futures open interest is decreased by 9.43% as market closed at 5872.60 levels.
The Nifty Mar. future closed at premium of 24.50 point

against a premium of 30.80 points. The Apr. series closed at a premium of 59.05 points.
The Implied Volatility of at the money options is

increased from 13.44% to 13.71%.

Nifty PCR-OI has decreased from 1.18 to 1.16 levels. The total OI of the market is Rs.1,46,595/- cr. and the

stock futures OI are Rs.29,559/- cr.

Few of the liquid counters where we have seen high cost

of carry are ASHOKLEY, PUNJLLOYD and PNB.

DISHTV,

INDHOTEL,

View OI Gainers
SCRIP ALBK GAIL DABUR JUBLFOOD ASIANPAINT OI 4392000 2948000 1874000 1455000 389500 OI CHANGE (%) 12.85 12.05 11.68 10.88 10.42 PRICE 138.40 323.30 137.25 1301.25 5007.30 PRICE CHANGE (%) -2.38 -2.78 2.90 3.04 2.13 Good amount of buying was observed by FIIs in

cash market segment; they were net buyers worth of `1,019/- cr. On derivatives front some long buildup was seen by them in index futures and in index options. While in stock futures some short buildup was observed by them in Fridays trade.
On options front 5400 put option has seen good

amount of buildup in open interest followed by decent unwinding observed in 5800-6000 strikes. While in call option not much of activity was observed, however 6000 strike price saw highest buildup in open interest in Fridays trading session.
The recent bounce in LT was mainly due to short

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

HDFCBANK ZEEL INDUSINDBK SUNTV TATAMTRDVR

7883000 5152000 2619000 1314000 3858000

-11.49 -11.11 -10.61 -10.43 -9.39

639.40 217.25 421.35 445.90 169.60

-1.42 1.35 -2.58 -0.79 -2.56

covering. However in Fridays trade the counter has seen some signs of short buildup with decrease in cost-of-carry and also good amount of short covering was seen in put option as IVs of put option has also increased a bit. Hence we recommend to go short on this stock with the stop loss of `1542 and target of `1448.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE ICICIBANK PCR-OI 1.16 1.05 1.01 0.44 0.98 PCR-VOL 1.07 0.78 0.83 0.48 0.90

Historical Volatility
SCRIP SIEMENS INDHOTEL TITAN DABUR ICICIBANK HV 50.52 44.40 49.07 28.08 39.06

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Derivative Report
Mar 18, 2013

FII Statistics for 15-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10202.20 59387.07 26389.03 3257.37 99235.66 Change (%) 2.99 2.09 1.44 5.18 2.11

Turnover on 15-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1988.94

1690.56

298.38 1427.05 (535.78) (42.32) 1147.33

345496 2021721 878729 114187 3360133

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,85,607 42,51,797 4,96,267 3,21,257 54,54,928

11514.66 126270.21 15402.15 9865.22 163052.24

-30.10 -35.77 -14.01 -18.50 -32.93

22528.83 21101.78 1623.60 1545.12 2159.38 1587.45

27686.50 26539.17

Nifty Spot =5872.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 58.50 22.60 58.50 7.45 22.60 7.45 15.15 84.85 6015.15 51.05 148.95 5951.05 Risk 35.90 Reward 64.10 BEP 5935.90

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 62.90 29.35 62.90 13.85 29.35 13.85 15.50 84.50 5784.50 49.05 150.95 5850.95 Risk 33.55 Reward 66.45 BEP 5866.45

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 18, 2013

Strategy Date 05-Mar-2013 11-Mar-2013

Symbol TATASTEEL HINDUNILVR

Strategy Ratio Call Spread Bull Call Spread

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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