Derivative Report

Apr 29, 2013

Comments
The Nifty futures open interest increased by 5.41% while

Nifty Vs OI

BankNifty futures open interest is increased by 1.78% as market closed at 5871.45 levels.
The Nifty May future closed at premium of 16.30 point

against a premium of 5.5 points. The Jun series closed at a premium of 26.05 points.
The Implied Volatility of at the money options has

decreased from 13.26% to 13.10%.

Nifty PCR-OI has remained unchanged at 1.05 levels. The total OI of the market is Rs. 1,06,311/- cr. and the

stock futures OI is Rs.24,846/- cr.

Few of the liquid counters where we have seen high cost

of carry are ASHOKLEY, JPASSOCIAT, DENABANK, IGL and IFCI.

View OI Gainers
SCRIP SIEMENS HCLTECH TCS ICICIBANK MARUTI OI 891000 2965000 4264750 5859250 2726000 OI CHANGE (%) 46.07 31.34 27.73 21.91 21.75 PRICE 503.00 684.25 1369.35 1144.50 1673.15 PRICE CHANGE (%) -3.21 -4.21 -2.52 -3.79 5.77 FIIs were net buyers in Fridays trade; they were net

buyers worth of Rs.225/- cr. On derivatives front some long buildup was seen by them in index futures, while not much of activity was seen in index options. Stock futures saw significant amount of short buildup in Fridays trading session.
On options front 6000-6100 call option has seen

good amount of buildup in open interest and in put option 5400 strike saw maximum buildup in open interest in Fridays trade.
ITC has seen very less rollover in this series and is

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

now light in terms of open interest. The counter in Fridays trade has seen good amount of short buildup with marginal fall in cost-of-carry. Hence we recommend to go short with the stop loss of Rs.332 and target of Rs.300.

PTC UNIPHOS SUNTV UNITECH IDEA

2224000 6384000 2011000 50184000 9710000

-11.18 -6.75 -6.42 -5.42 -4.62

60.30 138.75 420.95 26.95 122.40

-0.90 5.18 1.67 -6.24 5.93

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY RELIANCE ICICIBANK PCR-OI 1.05 1.28 0.40 0.47 0.88 PCR-VOL 1.10 0.99 0.49 0.48 0.72

Historical Volatility
SCRIP LICHSGFIN ABIRLANUVO IDEA HCLTECH UNIPHOS HV 48.83 36.94 43.48 41.97 42.37

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Derivative Report
Apr 29, 2013

FII Statistics for 26-April-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9779.00 40553.73 22544.11 Change (%) 10.77 3.09 12.99

Turnover on 26-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1559.07 6652.78 1584.83 1390.88

1268.87 6636.44 2064.24 1437.05

290.20 16.35 (479.41) (46.17) (219.03)

330290 1380476 819550 38663 2568979

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,46,231 16,94,921 5,48,234 2,88,011 27,77,397

7411.81 50295.34 15867.85 8534.86 82109.86

-67.97 -78.88 -61.36 -42.07 -74.10

1065.15 1033.81 73941.99 8.58

11187.57 11406.60

Nifty Spot =5871.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 85.80 46.30 85.80 21.95 46.30 21.95 24.35 75.65 6024.35 63.85 136.15 5963.85 Risk 39.50 Reward 60.50 BEP 5939.50

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 100.10 60.75 100.10 34.85 60.75 34.85 25.90 74.10 5774.10 65.25 134.75 5834.75 Risk 39.35 Reward 60.65 BEP 5860.65

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

Nifty Put-Call Analysis

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Derivative Report
Apr 29, 2013

Strategy Date

Symbol

Strategy

Status

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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