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Derivative Report

Aug 23, 2013

Comments The Nifty futures open interest decreased by 1.64% while BankNifty futures open interest is increased by 15.21% as market closed at 5408.45 levels. The Nifty August future closed at premium of 5.85 point against a discount of 10.95 points. The September series closed at a premium of 32.50 points. The Implied Volatility of at the money options has decreased from 27.08% to 25.78%. Nifty PCR-OI has increased from 0.88 to 0.96 levels. The total OI of the market is Rs. 1,67,584/- cr. and the stock futures OI is Rs. 30,011/- cr. Few of the liquid counters where we have seen high cost of carry are INDHOTEL, BHARATFORG, GMRINFRA, IOB, JPPOWER.

Nifty Vs OI

OI Gainers
SCRIP YESBANK DABUR INDUSINDBK SESAGOA ADANIPORTS OI 21038000 3392000 10061000 17974000 3480000 OI CHANGE (%) 34.63 26.38 24.72 24.63 20.17 PRICE 242.50 145.95 366.40 155.80 122.30 PRICE CHANGE (%) -4.48 -2.20 2.58 11.01 -3.30

View FII's continue to sell in cash market segment in a big way from last five trading sessions, yesterday they were net seller worth of Rs. 1277/- cr. On derivatives front good amount of short buildup was seen in index future. While they were marginal buyer in index options with rise in open interest which indicates formation of both long and short in yesterdays trading session. In options front good amount of buildup was seen in 5500 & 5600 call strike, followed by decent unwinding in 5300 strike. In put options significant buildup was seen in 5100-5300 strikes, while 4900 & 5400 strikes also added decent buildup in yesterdays trading session.

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

ONGC FINANTECH EXIDEIND RELCAPITAL STER

11846000 1814000 1430000 5884000 27408000

-8.14 -7.68 -7.62 -7.38 -7.13

269.65 132.30 127.05 316.70 87.30

7.37 2.01 3.75 6.44 10.21

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE JPASSOCIAT PCRPCR-OI 0.96 0.63 0.46 0.48 0.48 PCRPCR-VOL 0.97 0.77 0.56 0.56 0.18

Historical Volatility
SCRIP HINDALCO JSWSTEEL TATASTEEL ONGC STER INFY HV 82.17 80.84 83.51 63.82 87.02 74.73

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Derivative Report
Aug 23, 2013

FII Statistics for 22-Aug-2013


Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 17185.34 62521.20 27753.59 3249.03 110709.17 Change (%) 3.90 3.44 1.35 4.24 2.98

Turnover on 22-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

3335.22

4107.20

(771.98) 17.61 485.31 (57.74) (326.80)

653356 2331661 1112159 129487 4226663

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

7,36,111 65,41,562 8,82,266 4,09,788 85,69,727

18940.60 175459.22 21279.43 10104.88 225784.14

-14.92 -8.17 -4.12 -6.05 -8.32

31420.16 31402.55 3626.35 1282.69 3141.05 1340.43

39664.42 39991.23

Nifty Spot =5408.45

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5500 5400 5600 5500 5600 Price 82.65 36.65 82.65 12.40 36.65 12.40 24.25 75.75 5524.25 70.25 129.75 5470.25 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 71.55 40.45 71.55 21.90 40.45 21.90 18.55 81.45 5281.45 49.65 150.35 5350.35 Risk Reward BEP

46.00

54.00

5446.00

31.10

68.90

5368.90

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
Aug 23, 2013

Strategy Date 2929-JulyJuly-2013 0505-AugAug-2013 1212-AugAug-2013 1919-AugAug-2013

Symbol INFY SBIN LT NIFTY

Strategy Long Put Long Call Ladder Long Call Ladder Short Strangle

Status Open Close Close Loss Booked Booked

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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