Derivative Report

Mar 21, 2013

Comments
The Nifty futures open interest decreased by 2.83% while

Nifty Vs OI

BankNifty futures open interest is increased by 2.91% as market closed at 5694.40 levels.
The Nifty Mar. future closed at premium of 21.10 point

against a premium of 5.95 points. The Apr. series closed at a premium of 58.50 points.
The Implied Volatility of at the money options is

decreased from 17.29% to 16.81%.

Nifty PCR-OI has decreased from 0.96 to 0.89 levels. The total OI of the market is Rs.1,54,436/- cr. and the

stock futures OI are Rs.28,874/- cr.

Few of the liquid counters where we have seen high cost

of carry are PUNJLLOYD, JPASSOCIAT and EXIDEIND.

OFSS,

BHARTIARTL,

View OI Gainers
SCRIP HDIL ACC HAVELLS RELINFRA ZEEL OI 43192000 782750 1334500 6954000 5458000 OI CHANGE (%) 51.64 17.49 15.59 13.32 11.66 PRICE 48.65 1148.00 611.30 359.15 202.70 PRICE CHANGE (%) -23.10 -3.76 -4.15 -9.07 -4.95 After a long time FIIs have turned net sellers in cash

market segment; they were net sellers worth of ` 237 cr. On derivatives front good amount of long unwinding was observed by them in both index futures and in index options. While in stock futures not much of activity was observed by them in yesterdays trade.
On options front 5700-5800 call option has seen

signifincat amount of buildup in open interest. While in put option 5600 strike price saw maximum buildup in open interest, followed by decent unwinding in 5800 put option in yesterdays trading session.
HINDALCO has seen significnat amount of short

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

IBREALEST TATAPOWER PANTALOONR INDIACEM CIPLA

21160000 5112000 10676000 3624000 6192000

-7.68 -6.44 -5.95 -5.92 -5.57

55.30 98.40 157.45 82.65 389.75

-5.55 0.71 -5.38 -2.01 1.53

buildup since start of this expiry and is now vey much heavy in terms of open interest. However the stock in last few trading sessions has being coming down mainly due to long unwinding and has not seen fresh short getting buildup. Hence we feel the counter could see some short covering bounce from current level which could take the stock to around `96. Go long with the stop loss of `87.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK RELIANCE PCR-OI 0.89 0.68 0.59 0.70 0.40 PCR-VOL 0.95 0.71 0.87 0.77 0.56

Historical Volatility
SCRIP HDIL OPTOCIRCUI NTPC RELINFRA CESC HV 150.06 100.44 24.69 67.31 50.51

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Derivative Report
Mar 21, 2013

FII Statistics for 20-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10535.44 58516.76 25339.34 3048.32 97439.86 Change (%) (1.93) 0.89 1.02 2.08 0.65

Turnover on 20-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1867.07

2229.51

(362.45) (1613.01) (34.32) 12.41 (1997.37)

369056 2056868 888934 111833 3426691

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,97,048 52,57,699 6,34,368 4,40,182 67,29,297

11374.18 152420.33 18100.40 12823.21 194718.12

-33.80 -31.91 0.36 -12.08 -28.84

25900.35 27513.36 2638.36 1820.51 2672.68 1808.10

32226.28 34223.65

Nifty Spot =5694.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 63.35 23.25 63.35 6.85 23.25 6.85 16.40 83.60 5816.40 56.50 143.50 5756.50 Risk 40.10 Reward 59.90 BEP 5740.10

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 49.60 19.70 49.60 6.85 19.70 6.85 12.85 87.15 5587.15 42.75 157.25 5657.25 Risk 29.90 Reward 70.10 BEP 5670.10

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 21, 2013

Strategy Date 05-Mar-2013 11-Mar-2013 18-March-2013

Symbol TATASTEEL HINDUNILVR RELIANCE

Strategy Ratio Call Spread Bull Call Spread Long Put Ladder

Status Open Profit booked on 18-March-2013 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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