Derivative Report

Aug 29, 2013

Comments The Nifty futures open interest increased by 3.02% while BankNifty futures open interest is increased by 2.29% as market closed at 5285.00 levels. The Nifty August future closed at premium of 3.95 point against a discount of 2.65 points. The September series closed at a premium of 19.00 points. The Implied Volatility of at the money options has increased from 29.65% to 32.02%. Nifty PCR-OI has increased from 0.88 to 0.90 levels. The total OI of the market is Rs. 1,76,690/- cr. and the stock futures OI is Rs. 32,945/- cr. Few of the liquid counters where we have seen high cost of carry are ADANIPORTS, RENUKA, IRB, IDFC, ADANIPOWER.

Nifty Vs OI

OI Gainers
SCRIP HAVELLS ONGC JINDALSTEL INDUSINDBK MARUTI OI 1028000 14430000 11582000 12014500 2401000 OI CHANGE (%) 21.30 17.25 15.70 15.54 14.80 PRICE 592.40 243.70 238.45 344.55 1236.35 PRICE CHANGE (%) -3.41 -6.09 3.78 -0.52 -1.53

View FII's continue to sell in cash market segment in a big way, they were net seller worth of Rs. 1120/- cr. On derivatives short buildup was seen in index future and in index options they were marginal buyer with rise in open interest in yesterdays trading session. In options front significant amount of buildup was seen in 5100 & 5200 call options with good amount of unwinding 5400 - 5600 strikes. In put options good amount of buildup was seen in 5000 & 5100 strikes, some buildup was also seen in 4900 & 5200 strikes followed by significant unwinding in 5300 5500 strikes in yesterdays trading session. Roll-over in Nifty is 44.13% and in BankNifty is on higher side at 57.47%.

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

SYNDIBANK UCOBANK ARVIND JSWSTEEL TITAN

3742000 13212000 3292000 8763000 11379000

-15.15 -14.74 -13.91 -12.49 -10.81

65.00 50.75 75.05 534.35 212.35

2.68 1.50 2.25 3.26 -3.96

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN ICICIBANK RELIANCE PCRPCR-OI 0.90 0.58 0.41 0.50 0.54 PCRPCR-VOL 1.18 0.84 0.69 0.77 0.74

Historical Volatility
SCRIP ULTRACEMCO HINDPETRO BPCL CAIRN PETRONET INFY HV 45.72 77.94 78.34 50.55 53.51 74.73

www.angelbroking.com

Derivative Report
Aug 29, 2013

FII Statistics for 28-Aug-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 18807.61 64935.43 29667.21 3405.27 116815.52 Change (%) 5.04 4.20 4.23 1.60 4.26

Turnover on 28-Aug-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

6160.69

6530.99

(370.31) 89.35 986.48 78.46 783.99

734717 2480357 1213808 137486 4566368

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

11,54,261 1,08,60,793 16,85,486 3,94,923 1,40,95,463

28865.88 284415.95 38979.69 9515.66 361777.18

21.39 24.13 23.58 7.04 23.33

46196.24 46106.88 10905.31 662.05 9918.83 583.59

63924.29 63140.30

Nifty Spot =5285.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5400 5300 5500 5400 5500 Price 32.50 5.80 32.50 1.00 5.80 1.00 4.80 95.20 5404.80 31.50 168.50 5331.50 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5300 5200 5300 5100 5200 5100 Price 42.40 13.45 42.40 3.20 13.45 3.20 10.25 89.75 5189.75 39.20 160.80 5260.80 Risk Reward BEP

26.70

73.30

5326.70

28.95

71.05

5271.05

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

www.angelbroking.com

Derivative Report
Aug 29, 2013

Strategy Date 2929-JulyJuly-2013 0505-AugAug-2013 1212-AugAug-2013 1919-AugAug-2013 2626-AugAug-2013

Symbol INFY SBIN LT NIFTY ICICIBANK

Strategy Long Put Long Call Ladder Long Call Ladder Short Strangle Long Call Ladder

Status Open Close Close Loss Booked Booked Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment. Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this document are those of the analyst, and the company may or may not subscribe to all the views expressed within. Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals. The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or passed on, directly or indirectly. Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or in the past. Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in connection with the use of this information. Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research (Research Section). Also, please refer to the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates may have investment positions in the stocks recommended in this report.

Derivative Research Team

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

SEBI Registration No: INB 010996539