Derivative Report

Jan 24, 2013

Comments
The Nifty futures open interest decreased by 2.22% while

Nifty Vs OI

BankNifty futures open interest is decreased by 3.61% as market closed at 6054.30 levels.
The Nifty Jan. future closed at premium of 14.85 point

against a premium of 13.05 points. The Feb. series closed at a premium of 51.70 points.
The Implied Volatility of at the money options is

decreased from 11.83% to 11.43%.

Nifty PCR-OI has increased from 1.12 to 1.13 levels. The total OI of the market is Rs.1,59,606/- cr. and the

stock futures OI are Rs.39,407/- cr.

Few of the liquid counters where we have seen high cost

of carry are NHPC, WELCORP, CANBK, POWERGRID and IOC.

View OI Gainers
SCRIP HDIL HAVELLS MARUTI RECLTD UNIONBANK OI 44644000 662500 2676750 4934000 4266000 OI CHANGE (%) 85.55 28.77 28.50 14.24 12.56 PRICE 96.25 657.20 1573.70 234.15 254.60 PRICE CHANGE (%) -14.54 -1.04 0.33 -3.17 -2.56 Significant amount of buying is observed by FIIs in

cash market segment since last few trading sessions, in yesterdays trade also they were net buyers worth of `803/- cr. On derivatives front long unwinding was observed by them in index futures, while in index options good amount of buying was seen by them.
Not much activity was seen in options front in

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

yesterdays trading session. Maximum buildup in open interest was seen in 6200 call option and 5900 put option however in absolute terms the buildup was comparatively very less. While some unwinding was also seen in 6000 call and put both in yesterdays trade.
COALINDIA has seen significant amount of short

BANKINDIA TATAMTRDVR TATACHEM CESC DABUR

2454000 5332000 2281000 1778000 3666000

-23.12 -17.26 -12.97 -10.25 -9.44

359.20 182.60 368.95 332.40 128.80

-3.47 -0.22 -0.46 -0.32 -0.85

buildup in last few trading sessions. The stock has very strong support at around `348-350 levels and hence we feel the counter could see some short covering bounce from current level which could take the stock to around `368. Go long with the stop loss of `342.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY RELIANCE SBIN PCR-OI 1.13 1.10 2.11 0.61 0.77 PCR-VOL 1.12 0.81 1.36 0.59 0.68

Historical Volatility
SCRIP HDIL HINDUNILVR ZEEL COLPAL SYNDIBANK HV 90.02 35.06 44.36 30.96 47.39

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Derivative Report
Jan 24, 2013

FII Statistics for 23-January-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7534.62 54518.37 34254.91 4977.65 101285.56 Change (%) (0.83) 1.07 1.12 0.39 0.90

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

Instrument

827.86

1124.88

(297.02) 1226.64 (310.67) 2.33 621.27

249301 1794664 1057010 160212 3261187

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,71,326 30,99,907 6,51,677 4,24,810 44,47,720

8,111.41 94,442.09 22,331.18 14,768.27 139,652.94

8.62 15.94 13.13 19.87 15.43

15264.99 14038.35 2388.45 1790.13 2699.12 1787.80

20271.43 19650.16

Nifty Spot =6054.30

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 27.40 6.10 27.40 2.00 6.10 2.00 4.10 95.90 6204.10 25.40 174.60 6125.40 Risk 21.30 Reward 78.70 BEP 6121.30

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 59.15 18.95 59.15 4.70 18.95 4.70 14.25 85.75 5985.75 54.45 145.55 6045.55 Risk 40.20 Reward 59.80 BEP 6059.80

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 24, 2013

Strategy Date 31-Dec-2012 07-Jan-2013 14-Jan-2013 21-Jan-2013

Symbol RELINFRA NIFTY BANKNIFTY CAIRN

Strategy Long Call Ladder Long Put Long Call Long Call

Status Open Profit booked on 08-Jan-13 Profit booked on 15-Jan-13 Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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