Derivative Report

Jan 28, 2013

Comments
The Nifty futures open interest increased by 3.10% while

Nifty Vs OI

BankNifty futures open interest is increased by 8.35% as market closed at 6074.65 levels.
The Nifty Jan. future closed at discount of 0.95 point

against a premium of 14.85 points. The Feb. series closed at a premium of 36.65 points.
The Implied Volatility of at the money options is

decreased from 12.96% to 12.85%.

Nifty PCR-OI has increased from 1.05 to 1.12 levels. The total OI of the market is Rs.1,60,105- cr. and the

stock futures OI are Rs.38,554/- cr.

Few of the liquid counters where we have seen high

rollovers are MCLEODRUSS, MCDOWELL-N, BHARATFORG, JPASSOCIAT and ADANIPORTS.

View OI Gainers
SCRIP BANKINDIA CANBK ORIENTBANK SUZLON ADANIPORTS OI 3088000 2676000 2449000 144222000 8886000 OI CHANGE (%) 41.26 40.25 28.69 19.37 17.95 PRICE 363.75 489.10 329.85 21.10 130.30 PRICE CHANGE (%) 5.03 0.01 4.99 16.80 0.73 FIIs continue to buy in cash market segment; they

were net buyers worth of `587/- cr. On derivatives front they were net sellers in index futures with significant amount of buildup in open interest, while in index options and in stock futures they were net buyers in Fridays trading session.
On options front decent amount of unwinding was

observed in 6000-6100 call option. While in put option significant amount of buildup was seen in the same strike price, with decrease in IVs majority of these buildup could be on the shorter side.
The counter of RANBAXY has seen significant

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

IVRCLINFRA RECLTD HDIL ANDHRABANK DABUR

32296000 4227000 29244000 4828000 3210000

-18.25 -14.09 -12.52 -12.09 -11.91

34.80 240.80 82.90 116.55 129.15

5.47 5.75 12.47 5.71 1.22

amount of short positions getting buildup since last few trading session and is now heavy in terms of open interest. However in Fridays trade the stock has seen considerable amount of buildup in open interest with increase in CoC, we feel majority of these buildup is on the longer side. Hence on back of these we expect short covering bounce in this counter which could take the stock to around `490. Go long with the stop loss of `442.

Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCR-OI 1.12 1.13 2.17 0.83 0.60 PCR-VOL 1.05 0.74 1.05 0.58 0.43

Historical Volatility
SCRIP SUZLON JUBLFOOD BANKBARODA BATAINDIA RECLTD HV 90.69 52.11 34.63 37.59 46.88

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Derivative Report
Jan 28, 2013

FII Statistics for 25-January -2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 7915.44 54515.23 33932.96 4878.66 101242.29 Change (%) 10.18 0.02 (0.18) (2.15) 0.59

Turnover on 25-January-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

2342.76

2655.74

(312.98) 312.71 333.87 14.77 348.37

262154 1789073 1056534 155591 3263352

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,18,472 32,42,839 6,96,190 4,28,320 46,85,821

9553.43 98492.02 22914.67 14416.63 145376.74

-2.12 -14.59 -11.61 -16.52 -13.61

14924.84 14612.13 3351.71 2369.74 3017.84 2354.97

22989.06 22640.69

Nifty Spot =6074.65

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6200 6100 6300 6200 6300 Price 28.50 6.05 28.50 1.55 6.05 1.55 4.50 95.50 6204.50 26.95 173.05 6126.95 Risk 22.45 Reward 77.55 BEP 6122.45

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6100 6000 6100 5900 6000 5900 Price 54.20 16.65 54.20 4.55 16.65 4.55 12.10 87.90 5987.90 49.65 150.35 6050.35 Risk 37.55 Reward 62.45 BEP 6062.45

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 28, 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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