Derivative Report

July 31, 2013

Comments The Nifty futures open interest decreased by 3.67% while BankNifty futures open interest is increased by 2.54% as market closed at 5755.05 levels. The Nifty August future closed at premium of 42.50 point against a premium of 38.40 points. The September series closed at a premium of 73.70 points. The Implied Volatility of at the money options has decreased from 17.59% to 17.33%. Nifty PCR-OI has decreased from 1.00 to 0.98 levels. The total OI of the market is Rs. 1,15,679/- cr. and the stock futures OI is Rs. 27,346/- cr. Few of the liquid counters where we have seen high cost of carry are GMRINFRA, STER, DABUR, FRL and BHARTIARTL.

Nifty Vs OI

OI Gainers
SCRIP RECLTD HAVELLS DLF ADANIPOWER RELINFRA OI 6322000 796500 23195000 21592000 5621000 OI CHANGE (%) 46.21 38.40 24.26 14.70 12.31 PRICE 162.85 659.40 160.10 36.80 337.20 PRICE CHANGE (%) -1.11 -12.85 -4.97 -10.51 -6.88

View FII's were net buyer in cash market segment, they were net buyer worth of Rs. 256/- cr. On derivatives front we saw some unwinding in index futures while in index options good amount of long buildup was seen in yesterdays trading session. In option front 5800-6100 call option has decent amount of buildup in open interest. While in put option significant buildup was seen in 5700 strike, 5400 and 5600 also added some buildup in yesterdays trading session. Since beginning of this expiry ICICIBANK has more or less consolidated near current level. Stock has not seen any fresh formation of short position unlike other counterparts in the sector. 900-920 is very strong support zone for the stock. We expect some contra buying to emerge near support zone. Hence we suggest to go long on dips, buy in the range of Rs. 925-930. Fix a stop loss of Rs. 897 and target of Rs. 985.

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

SYNDIBANK BIOCON SUNTV TATAGLOBAL WIPRO

2614000 1652000 1164500 8162000 2937000

-9.86 -8.37 -8.31 -8.11 -7.97

86.25 319.05 373.60 158.85 418.80

-1.69 -3.57 -1.79 -0.47 2.16

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN JPASSOCIAT RELIANCE PCRPCR-OI 0.98 1.03 0.58 0.60 0.51 PCRPCR-VOL 0.97 0.86 0.53 0.23 0.68

Historical Volatility
SCRIP HAVELLS HINDPETRO BPCL JPPOWER IOC INFY HV 74.32 72.00 55.89 110.18 57.76 74.73

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Derivative Report
July 31, 2013

FII Statistics for 30-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 11559.14 43757.20 24686.95 1165.79 81169.08 Change (%) (5.10) 5.88 2.31 16.89 3.21

Turnover on 30-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1732.93

2591.69

(858.75) 984.12 (154.29) 14.09 (14.83)

405830 1528616 918166 42793 2895405

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,38,132 32,23,190 5,71,008 2,43,908 44,76,238

12307.58 94728.33 14752.99 6641.56 128430.46

90.47 82.58 21.50 20.60 69.00

17243.60 16259.48 1755.91 684.00 1910.20 669.91

21416.44 21431.27

Nifty Spot =5755.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 112.35 67.85 112.35 37.25 67.85 37.25 30.60 69.40 5930.60 75.10 124.90 5875.10 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5600 5700 5500 5600 5500 Price 75.30 46.55 75.30 26.95 46.55 26.95 19.60 80.40 5580.40 48.35 151.65 5651.65 Risk Reward BEP

44.50

55.50

5844.50

28.75

71.25

5671.25

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 31, 2013

Strategy Date 2929-JulyJuly-2013

Symbol INFY

Strategy Long Put

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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