Derivative Report

Mar 08, 2013

Comments The Nifty futures open interest increased by 2.35% while BankNifty futures open interest is increased by 2.69% as market closed at 5863.30 levels. The Nifty Mar. future closed at premium of 26.10 point against a premium of 22.75 points. The Apr. series closed at a premium of 54.10 points. The Implied Volatility of at the money options is decreased from 12.35% to 11.80%. Nifty PCR-OI has increased from 1.00 to 1.05 levels. The total OI of the market is Rs.1,28,671/- cr. and the stock futures OI are Rs.28,669/- cr. Few of the liquid counters where we have seen high cost of carry are IVRCLINFRA, BATAINDIA, PANTALOONR, ORIENTBANK and RAYMOND.

Nifty Vs OI

View OI Gainers
SCRIP HAVELLS HAVELLS APOLLOTYRE HINDUNILVR ORIENTBANK TCS OI 846000 5816000 5655500 1705000 4205500 OI CHANGE (%) 22.52 18.31 15.56 10.64 10.46 PRICE 629.40 92.00 433.20 275.35 1589.90 PRICE CHANGE (%) -0.96 3.86 -1.61 -0.84 1.87

FIIs continue their trend of buying in cash market segment; they were net buyers worth of `630/- cr. On derivatives front some short covering was seen by them in index futures, while in index options and stock futures decent amount of long buildup was observed by them in yesterdays trade. On options front not much of buildup was seen in call option however decent amount of unwinding was seen in 5700-5900 strike price, while in put option 5800-5900 put option has seen significant amount of buildup in open interest in yesterdays trading session. GAIL after seeing very loss rollover and have started this series with very low open interest, the stock of late has seen significant amount of buildup in open interest which is mix of long and short both. Since the counter is seen taking support at around `328 we feel the stock could see short covering bounce from current which could take the counter to around `352. Go long at around `332-334 levels with the stop loss of `322.

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

ACC BANKINDIA ANDHRABANK CESC NHPC

598250 3170000 2628000 754000 91680000

-12.22 -8.75 -7.46 -7.26 -4.76

1263.40 314.00 99.15 293.65 20.75

0.59 -0.52 1.63 2.45 -0.71

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCRPCR-OI 1.05 1.11 0.68 0.42 1.22 PCRPCR-VOL 0.93 0.81 0.67 0.44 0.88

Historical Volatility
SCRIP HEROMOTOCO BHARATFORG ASIANPAINT ITC APOLLOTYRE INFY HV 25.98 49.81 26.87 20.31 44.01 74.73

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Derivative Report
Mar 08, 2013

FII Statistics for 07-March-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 9768.92 46231.37 25157.92 2899.56 84057.77 Change (%) (2.64) 2.49 0.60 12.71 1.63

Turnover on 07-March-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1931.11 8995.17 1342.60 993.99

1521.53 8680.29 1138.83 919.63

409.57 314.88 203.77 74.36 1002.58

330783 1575315 834287 101311 2841696

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,53,074 23,99,733 4,04,813 2,45,847 33,03,467

7445.50 70448.79 12575.83 7681.45 98151.57

12.85 1.25 -5.43 -9.54 0.19

13262.87 12260.29

Nifty Spot =5863.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 58.40 23.45 58.40 7.80 23.45 7.80 15.65 84.35 6015.65 50.60 149.40 5950.60 Risk 34.95 Reward 65.05 BEP 5934.95

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 5800 5900 5700 5800 5700 Price 71.60 35.45 71.60 16.25 35.45 16.25 19.20 80.80 5780.80 55.35 144.65 5844.65 Risk 36.15 Reward 63.85 BEP 5863.85

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

Nifty Put-Call Analysis

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Derivative Report
Mar 08, 2013

Strategy Date 05-Mar05-Mar-2013

Symbol TATASTEEL

Strategy Ratio Call Spread

Status Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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