Derivative Report

July 26, 2013

Comments The Nifty futures open interest decreased by 24.27% while BankNifty futures open interest is decreased by 42.07% as market closed at 5907.50 levels. The Nifty August future closed at premium of 36.40 point against a premium of 46.25 points. The September series closed at a premium of 68.00 points. The Implied Volatility of at the money options has decreased from 17.36% to 15.88%. Nifty PCR-OI has decreased from 1.29 to 1.00 levels. The total OI of the market is Rs. 99,920/- cr. and the stock futures OI is Rs. 26,588/- cr. Few of the liquid counters where we have seen high cost of carry are GMRINFRA, JPPOWER, ASHOKLEY, JSWENERGY and JISLJALEQS.

Nifty Vs OI

View OI Gainers
SCRIP ZEEL WIPRO VOLTAS LICHSGFIN OI 5363000 2698000 3376000 14825000 OI CHANGE (%) 18.99 3.59 1.93 0.09 PRICE 259.45 376.25 84.50 194.80 PRICE CHANGE (%) 6.18 -3.88 2.20 -4.00 -

FII's continue to sell in cash market segment, they were net seller worth of Rs. 442/- cr. On derivatives front they were net buyer in index futures and in index options while open interest has decrease significantly due to expiry. 5900 & 6000 strike had considerable amount of buildup in open interest. While in put option 5500, 5600 & 5800 strike had reasonable amount of buildup in yesterdays trading session. Roll-over in NIFTY and BANKNIFTY future is on higher side at 75.92% and 57.16% respectively. Market wide roll-over is also on higher side at 75.92% Post results we have seen huge formation of long positions in INFY and post that for next 4 trading session there was continuous unwinding of positions. Stock has been biggest outperformer among all large caps and is starting new series with more of long positions. Counter has strong resistance around Rs. 2950 3000 levels. Also RBI measures have lent support to rupee which can be perceived bit negative for the counter. We suggest to short futures in the range of Rs. 2930 2950 with target of Rs. 2790 and stop loss of Rs. 2988. Historical Volatility

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

RECLTD ACC ULTRACEMCO HDFCBANK GAIL

2683000 413500 510250 8234500 3723000

-45.08 -40.55 -37.52 -36.92 -36.78

175.90 1195.25 1854.15 653.85 329.35

-4.53 -3.01 -3.53 -0.86 -1.93

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT RELIANCE PCRPCR-OI 1.00 0.81 0.66 0.69 0.61 PCRPCR-VOL 1.16 0.70 0.59 0.59 0.48

SCRIP SCRIP AMBUJACEM YESBANK FEDERALBNK BHARATFORG GRASIM INFY

HV 64.48 85.64 52.63 35.85 24.15 74.73

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Derivative Report
July 26, 2013

FII Statistics for 25-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12560.52 37705.62 24647.03 341.01 75254.18 Change (%) (33.88) (31.13) (18.74) (88.31) (29.93)

Turnover on 25-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

7196.81

6863.85

332.96 913.03 (117.76) 141.39 1269.62

428256 1277778 876276 14596 2596906

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

7,67,303 77,99,366 14,81,274 4,42,766 1,04,90,709

22387.49 231559.68 40216.36 13277.73 307441.26

20.02 27.47 20.05 19.08 25.51

21994.98 21081.95 8817.82 850.57 8935.58 709.18

38860.19 37590.56

Nifty Spot =5907.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 137.70 87.00 137.70 49.05 87.00 49.05 37.95 62.05 6037.95 88.65 111.35 5988.65 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 96.75 64.10 96.75 40.50 64.10 40.50 23.60 76.40 5776.40 56.25 143.75 5843.75 Risk Reward BEP

50.70

49.30

5950.70

32.65

67.35

5867.35

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

Nifty Put-Call Analysis

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Derivative Report
July 26, 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 Loss on expiry Maximum profit booked. Profit on expiry. Marginal loss.

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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