Derivative Report

July 24, 2013

Comments The Nifty futures open interest increased by 9.02% while BankNifty futures open interest is increased by 17.67% as market closed at 6077.80 levels. The Nifty July future closed at premium of 9.20 point against a premium of 11.75 points. The August series closed at a premium of 43.75 points. The Implied Volatility of at the money options has decreased from 17.28% to 15.75%. Nifty PCR-OI has increased from 1.32 to 1.38 levels. The total OI of the market is Rs. 1,61,510/- cr. and the stock futures OI is Rs. 33,982/- cr. Few of the large caps where we have seen high roll-over are BHEL, PNB, HCLTECH, TCS and KOTAKBANK.

Nifty Vs OI

OI Gainers
SCRIP HDFCBANK GODREJIND DABUR ICICIBANK ICICIBANK UNIONBANK OI 12414500 824000 2840000 10405000 6576000 OI CHANGE (%) 24.55 16.22 16.01 15.40 12.89 PRICE 683.60 289.55 170.50 989.65 154.30 PRICE CHANGE (%) 0.22 -1.98 -0.29 1.56 -0.93

View FII's activity in cash segment has reduced so much that even now a buy figure of around Rs. 200/crores have to be mention that they have bought in equity. However these guys have accumulated good amount of long positions in index futures in last couple of days. Yesterday we saw more than Rs 1000/- crores worth on long index positions by them and interestingly we are seeing strong built-up in BANKNIFTY. Yesterday as market firmed above 6000 levels, its strike call writer unwound their positions in big way, indicating they giving up on the hope of close below 6000 levels. 5900 put saw meaningful unwinding while 6000 and 6100 put added open interest. SAIL has been correcting since many months without giving any substantial bounce in prices. Though situation hasnt changed much, yesterdays unwinding of positions in stocks are giving some positive signals. Stock is short heavy and may show some short covering. Go long in the range of Rs. 44 - 45 with target of Rs. 52 and stop loss of Rs. 42. Do this trade in August futures.

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

IDEA MRF PTC SAIL RPOWER

8234000 55250 4164000 21016000 34072000

-20.07 -8.87 -7.79 -7.37 -7.25

149.40 14386.50 49.30 44.40 80.05

-1.65 0.20 1.12 0.11 1.39

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.38 0.81 1.64 0.43 0.92 PCRPCR-VOL 1.33 1.07 0.80 0.51 0.68

Historical Volatility
SCRIP ARVIND TITAN FINANTECH BANKBARODA KOTAKBANK INFY HV 48.98 58.34 75.90 57.81 47.18 74.73

www.angelbroking.com

Derivative Report
July 24, 2013

FII Statistics for 23-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 18849.38 56928.70 30614.72 3624.08 110016.87 Change (%) 12.48 0.37 1.44 (0.22) 2.54

Turnover on 23-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

6867.73

5837.11

1030.63 453.76 (83.21) 12.32 1413.50

626010 1879161 1055068 118794 3679033

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,98,682 39,63,190 10,38,817 3,63,363 58,64,052

14924.93 119620.92 30035.61 11019.68 175601.14

46.58 19.88 17.81 1.05 19.98

11887.58 11433.83 8349.93 1076.12 8433.14 1063.80

28181.37 26767.88

Nifty Spot =6077.80

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 23.45 2.25 23.45 0.50 2.25 0.50 1.75 98.25 6201.75 22.95 177.05 6122.95 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 34.65 6.85 34.65 1.70 6.85 1.70 5.15 94.85 5994.85 32.95 167.05 6067.05 Risk Reward BEP

21.20

78.80

6121.20

27.80

72.20

6072.20

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
July 24, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13 1515-JulyJuly-13 2121-JulyJuly-13

Symbol TATAMOTORS NIFTY NIFTY ITC

Strategy Long Put Ladder Short Strangle Long Put Ladder Long Put

Status Open Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer refer to the latest update on respective stocks for for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

www.angelbroking.com 3