Derivative Report

Apr 02, 2013

Comments
The Nifty futures open interest increased by 9.37% while

Nifty Vs OI

BankNifty futures open interest is increased by 7.60% as market closed at 5704.40 levels.
The Nifty Apr. future closed at premium of 22.15 point

against a premium of 31.70 points. The May series closed at a premium of 41.65 points.
The Implied Volatility of at the money options is

decreased from 13.93% to 13.70%.

Nifty PCR-OI has decreased from 0.98 to 0.97 levels. The total OI of the market is Rs. 95,536/- cr. and the

stock futures OI are Rs.23,250/- cr.

Few of the liquid counters where we have seen high cost

of carry are ANDHRABANK, IVRCLINFRA, IFCI, IOB and GODREJIND.

View OI Gainers
SCRIP DABUR IVRCLINFRA ACC IGL GODREJIND OI 1520000 27728000 410000 1054000 625000 OI CHANGE (%) 22.58 19.52 18.24 17.24 15.74 PRICE 141.85 21.75 1160.90 279.45 303.20 PRICE CHANGE (%) 4.09 14.03 0.76 1.71 4.01 FIIs were net buyers in cash market segment; they

were net buyers worth of ` 313/- cr. On derivatives front some short buildup was seen by them in index futures, while in index options and stock futures some long buildup was observed by them in yesterdays trading session.
On options front 5800-6100 call option has seen

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

significant amount of buildup in open interest, while in put option 5300 and 5600 strike price has seen maximum buildup in open interest in yesterdays trade. IVs of both call and put option has come down indicating majority of this buildup could be on the shorter side.
ITC has seen very less rollover in this series indicating

DLF CAIRN COLPAL RECLTD VOLTAS

13169000 12017000 193500 3147000 6324000

-8.09 -7.60 -2.03 -2.02 -1.59

253.20 286.05 1276.80 212.00 78.40

8.05 5.41 2.77 2.21 4.84

not much of the long positions have got carried forward. The counter has some resistance at around `310-312 levels and also in yesterdays trade some short buildup was also seen in this stock with decrease in cost-of-carry. Hence we recommend to go short at around `308-310 levels with the stop loss of `318 and target of `294.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY RELIANCE SBIN DLF PCR-OI 0.97 1.32 0.60 0.76 0.74 PCR-VOL 0.95 0.99 0.42 0.84 0.49

Historical Volatility
SCRIP DRREDDY BIOCON CAIRN GODREJIND DABUR HV 25.19 37.28 36.51 31.18 33.99

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Derivative Report
Apr 02, 2013

FII Statistics for 01-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7761.95 36409.11 21878.95 Change (%) 2.64 4.62 0.86

Turnover on 01-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

647.69 7034.85 1040.95 876.75 9600.24

1065.25 6565.80 956.08 854.31 9441.45

(417.56) 469.05 84.87 22.44 158.80

270965 1276510 762917 27020 2337412

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,05,045 18,73,520 3,44,694 2,09,793 26,33,052

5875.83 54021.28 9795.78 5916.40 75609.29

-66.88 -73.42 -71.02 -38.94 -71.42

708.59 2225.30 66758.61 4.27

Nifty Spot =5704.40

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 93.10 45.90 93.10 19.25 45.90 19.25 26.65 73.35 5826.65 73.85 126.15 5773.85 Risk 47.20 Reward 52.80 BEP 5747.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 69.25 38.65 69.25 20.85 38.65 20.85 17.80 82.20 5582.20 48.40 151.60 5651.60 Risk 30.60 Reward 69.40 BEP 5669.40

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

Nifty Put-Call Analysis

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Derivative Report
Apr 02, 2013

Strategy Date 01-Apr-2013

Symbol HDFCBANK

Strategy Bear Put Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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