Derivative Report

Jan 10, 2013

Comments
The Nifty futures open interest decreased by 0.99% while

Nifty Vs OI

BankNifty futures open interest is increased by 0.22% as market closed at 5971.50 levels.
The Nifty Jan. future closed at premium of 27.25 point

against a premium of 41.60 points. The Feb. series closed at a premium of 65.00 points.
The Implied Volatility of at the money options is

increased from 11.70% to 11.79%.

Nifty PCR-OI has decreased from 1.05 to 1.00 levels. The total OI of the market is Rs.1,39,085/- cr. and the

stock futures OI are Rs.38,289 /- cr.

Few of the liquid counters where we have seen high cost

of carry are IOC, GVKPIL, ASHOKLEY, INDHOTEL and BPCL.

View OI Gainers
SCRIP BHUSANSTL PUNJLLOYD PTC IOC AMBUJACEM OI 492000 43328000 4108000 2166000 8438000 OI CHANGE (%) 86.72 31.49 20.68 16.83 14.80 PRICE 446.60 62.90 79.20 286.35 197.00 PRICE CHANGE (%) -7.26 2.26 2.11 2.15 -2.77 FIIs were net buyers in cash market segment; they

were net buyers worth of `849/-cr. On derivatives front they was muted performance by them in both index futures and in index options in yesterdays trading session.
On options front 6100 and 6300 call option has

seen good amount buildup in open interest, while in put option not much of buildup was observed; however decent unwinding was seen in 5600 and 6000 put option in yesterdays trade.
The recent fall in DLF was mainly due to long

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

TECHM HAVELLS GAIL IFCI PANTALOONR

1227750 516000 2095000 81176000 12918000

-13.22 -11.87 -8.67 -8.63 -7.78

939.40 680.55 370.60 37.90 266.25

0.97 4.31 0.96 -3.44 -0.50

unwinding. The counter has seen good amount of long buildup at lower levels. We feel the stock could take support at around `230 odd levels as 230 put option has highest buildup in open interest and with fall in IV majority of this buildup could be on the shorter side. Hence we recommend to go long with the stop loss of `226 and target of `248.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.00 0.80 1.19 1.13 0.47 PCR-VOL 0.86 0.97 1.08 0.85 0.50

Historical Volatility
SCRIP BHUSANSTL HAVELLS GVKPIL TATAMOTORS RENUKA HV 44.79 32.84 48.34 34.01 43.94

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Derivative Report
Jan 10, 2013

FII Statistics for 09-January -2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7520.10 42998.29 33155.15 2828.24 86501.78 Change (%) 1.85 1.60 0.58 9.44 1.49

Turnover on 09-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

955.15

970.55

(15.41) 94.44 (187.91) (85.06) (193.93)

250490 1436128 1005025 92673 2784316

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,38,430 23,63,379 5,32,814 3,04,557 34,39,180

7059.81 71584.70 18615.47 10443.17 107703.15

-0.29 3.03 12.74 18.18 5.69

12586.33 12491.89 1287.18 1670.19 1475.09 1755.24

16498.85 16692.78

Nifty Spot =5971.50

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 68.45 30.20 68.45 11.15 30.20 11.15 19.05 80.95 6119.05 57.30 142.70 6057.30 Risk 38.25 Reward 61.75 BEP 6038.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 70.00 33.40 70.00 14.10 33.40 14.10 19.30 80.70 5880.70 55.90 144.10 5944.10 Risk 36.60 Reward 63.40 BEP 5963.40

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

Nifty Put-Call Analysis

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Derivative Report
Jan 10, 2013

Strategy Date 31-Dec-2012 07-Jan-2013

Symbol RELINFRA NIFTY

Strategy Long Call Ladder Long Put

Status Open Profit booked on 08-Jan-13

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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