Derivative Report

July 04, 2013

Comments The Nifty futures open interest decreased by 1.76% while BankNifty futures open interest is increased by 8.57% as market closed at 5770.90 levels. The Nifty July future closed at discount of 3.05 point against a premium of 1.50 points. The August series closed at a premium of 20.60 points. The Implied Volatility of at the money options has increased from 17.24% to 17.41%. Nifty PCR-OI has decreased from 1.12 to 1.09 levels. The total OI of the market is Rs. 1,16,038/- cr. and the stock futures OI is Rs. 26,658/- cr. Few of the liquid counters where we have seen high cost of carry are PUNJLLOYD, JISLJALEQS, HEXAWARE, CHAMBLFERT and PFC.

Nifty Vs OI

OI Gainers
SCRIP TECHM BANKBARODA SBIN HINDUNILVR JPASSOCIAT OI 4058250 2366000 5963500 12535000 60520000 OI CHANGE (%) 48.80 22.08 16.32 12.99 12.68 PRICE 999.10 543.95 1898.75 587.85 51.85 PRICE CHANGE (%) 0.17 -7.51 -4.64 0.82 -8.73

View FIIs were net seller in cash market segment; they were net seller worth of Rs.705/- cr. On derivatives front they were net seller in index futures while in index options we have seen some unwinding. On options front 5800 & 5900 call option has seen decent amount of buildup. While in put option 5300 strike has seen maximum open interest buildup followed by some unwinding in 5800 put, in yesterdays trading session. Recent correction in RPOWER was without any formation of short positions and cash base volume were relatively less compared to upside move which started from Rs.61 levels. Stock is light in terms of open interest. We expect formation of long positions to take this stock to Rs.72 levels. Fix stop loss of Rs.62 and go long.

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

RANBAXY SYNDIBANK COLPAL RELCAPITAL APOLLOTYRE

3683000 2022000 121250 6918000 14224000

-9.02 -8.75 -5.64 -5.28 -5.25

337.85 107.20 1320.80 341.15 60.10

-2.24 -2.89 -2.15 -4.43 0.34

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCRPCR-OI 1.12 1.24 0.68 0.89 0.77 PCRPCR-VOL 0.96 0.87 0.43 0.68 0.78

Historical Volatility
SCRIP BANKBARODA ABIRLANUVO PFC IDFC UNITECH INFY HV 57.38 39.81 68.56 50.62 90.30 74.73

www.angelbroking.com

Derivative Report
July 04, 2013

FII Statistics for 03-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10395.09 43124.02 25671.38 939.19 80129.68 Change (%) 1.62 (0.46) 2.16 8.87 0.76

Turnover on 03-July-2013
No. of Contracts Turnover (` in cr.) Change (%)

Instrument

1557.70

2263.35

(705.65) (231.29) 80.80 16.42 (839.72)

361056 1495134 922091 35049 2813330

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

3,37,368 26,75,601 5,46,701 2,90,055 38,49,725

9727.42 78205.70 15083.54 8216.73 111233.39

31.99 37.08 3.86 11.85 28.91

10773.44 11004.73 2023.03 933.95 1942.23 917.53

15288.12 16127.84

Nifty Spot =5770.90

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5900 5800 6000 5900 6000 Price 83.10 45.15 83.10 21.75 45.15 21.75 23.40 76.60 5923.40 61.35 138.65 5861.35 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 116.70 75.00 116.70 46.40 75.00 46.40 28.60 71.40 5671.40 70.30 129.70 5729.70 Risk Reward BEP

37.95

62.05

5837.95

41.70

58.30

5758.30

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

Nifty Put-Call Analysis

www.angelbroking.com

Derivative Report
July 04, 2013

Strategy Date 0101-JulyJuly-13

Symbol TATAMOTORS

Strategy Long Put Ladder

Status 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 Section). Also, please refer refer to respect pect of those stocks. Angel Broking Pvt. Limited and its affiliates the latest update on respective stocks for the disclosure status in res may have investment positions in the stocks recommended in this report.

Derivative Research Team

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

SEBI Registration No: INB 010996539

www.angelbroking.com