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Derivative Report

Apr 22, 2013

Comments
The Nifty futures open interest decreased by 0.72% while

Nifty Vs OI

BankNifty futures open interest is increased by 11.71% as market closed at 5783.10 levels.
The Nifty Apr. future closed at discount of 0.10 point

against a premium of 5.50 points. The May series closed at a premium of 18.30 points.
The Implied Volatility of at the money options has

decreased from 14.12% to 12.35%.


Nifty PCR-OI has increased from 1.04 to 1.15 levels. The total OI of the market is Rs. 1,55,845/- cr. and the

stock futures OI is Rs.30,182/- cr.


Few of the liquid counters where we have seen high

rollovers are BHARATFORG, MCDOWELL-N, MCLEODRUSS, SRTRANSFIN and GRASIM. View OI Gainers
SCRIP GRASIM RCOM INDUSINDBK MCLEODRUSS BPCL OI 828250 56360000 7033000 4174000 4519000 OI CHANGE (%) 42.96 31.92 28.32 20.60 11.72 PRICE 2818.75 86.10 450.35 296.00 405.35 PRICE CHANGE (%) 0.09 3.76 7.25 -7.82 1.15 The sharp bounce observed in Thursdays trade was

backed by good amount of buying seen by FIIs in cash market segment; they were net buyers worth of `940/- cr. On derivatives front some more short covering was observed by them in index futures followed by some long buildup in index options in Thursdays trading session. On options front significnat amount of buildup was seen in 5500-5800 put option and with IVs going down majority of this buildup could be on the shorter side. However in call option considerable amount of unwinding was seen in 5500-5700 strike price followed by some buildup in 5800 call option in Thursdays trade. the lower side at 19% and 12% respectiovely.
BHEL has seen good amount of short buildup at

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

Rollover in NIFTY and in BANKNIFTY future was on

WELCORP ZEEL ACC TCS IDEA

7654000 6418000 623000 3815000 11564000

-24.86 -10.36 -9.25 -8.57 -8.02

52.05 211.05 1211.70 1452.75 112.45

1.55 3.25 1.66 -0.74 0.18

higher levels and is now heavy in terms of open interest. The stock of late has seen some long buildup and also the counter is seen taking support at around `178-180 levels. Hence we feel the stock could see some short covering bounce from current level which could take the counter to around `200. Go long at around `184-186 levels with the stop loss of `178. Historical Volatility

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.15 1.94 0.44 1.38 0.62 PCR-VOL 1.15 1.20 0.47 0.79 0.63

SCRIP INDUSINDBK MCLEODRUSS APOLLOTYRE MRF TITAN

HV 48.77 63.11 37.85 40.97 47.31

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Derivative Report
Apr 22, 2013

FII Statistics for 18-April-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 12141.76 54994.87 24919.33 3238.98 95294.94 Change (%) (1.19) 1.48 (0.49) 0.25 0.58

Turnover on 18-April-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3014.01

2229.57

784.45 723.78 (79.60) (153.98) 1274.65

417005 1898658 833383 115927 3264973

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

4,08,852 54,00,094 7,44,010 4,94,974 70,47,930

11957.48 155169.97 23361.83 15577.79 206067.06

6.95 3.54 6.42 -13.13 2.56

21107.14 20383.36 4055.46 1970.80 4135.05 2124.78

30147.41 28872.76

Nifty Spot =5774.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 32.05 6.25 32.05 1.70 6.25 1.70 4.55 95.45 5904.55 30.35 169.65 5830.35 Risk 25.80 Reward 74.20 BEP 5825.80

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 47.30 15.05 47.30 5.70 15.05 5.70 9.35 90.65 5590.65 41.60 158.40 5658.40 Risk 32.25 Reward 67.75 BEP 5667.75

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

Nifty Put-Call Analysis

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Derivative Report
Apr 22, 2013

Strategy Date 01-Apr-2013 08-Apr-2013 15-Apr-2013

Symbol HDFCBANK RELIANCE ITC

Strategy Bear Put Spread Long Put Ladder Long Put

Status Open Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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Derivative Research Team


Email Id : - derivatives.desk@angelbroking.com For Private Circulation Only

SEBI Registration No: INB 010996539

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