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Derivative Report Mar 12, 2013

Comments

   The Nifty futures open interest increased by 1.13% whileBankNifty futures open interest is increased by 2.18% asmarket closed at 5942.35 levels.

   The Nifty Mar. future closed at premium of 15.05 pointagainst a premium of 22.60 points. The Apr. seriesclosed at a premium of 46.25 points.

   The Implied Volatility of at the money options is

increased from 12.28% to 13.34%.

  Nifty PCR-OI has increased from 1.15 to 1.18 levels.

   The total OI of the market is Rs.1,39,324/- cr. and the

stock futures OI are Rs.29,293/- cr.

  Few of the liquid counters where we have seen high costof carry are JPPOWER, AMBUJACEM, IVRCLINFRA,RENUKA and NHPC.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

ORIENTBANK  1942000 13.90 281.25 2.03

PFC 5374000 10.53 202.80 -0.54

VOLTAS 9312000 9.40 81.65 -1.38

GSPL 4696000 9.21 67.05 -2.24

MCLEODRUSS 3248000 9.03 352.90 -3.71

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.18 1.09

BANKNIFTY 1.54 1.39

SBIN 0.79 0.62

RELIANCE 0.44 0.38

ICICIBANK 1.42 0.91

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  Good amount of buying was observed by FII’s incash market segment; they were net buyers worth of `988/- cr. On derivatives front not much of activitywas observed by them in index futures, while in indexoptions significant amount of long buildup was seenby them in yesterday’s trading session.

  On options front 6100 call option has seen goodamount of buildup in open interest followed by someunwinding in 5700-5800 strike price. While in put

option 5700-5900 strikes has seen significantamount of buildup in open interest in yesterday’strade.

   The recent bounce in CIPLA was mainly due to shortcovering and is now very much light in terms of openinterest indicating most of the short covering cushionhas gone from this stock. However the counter inyesterday’s trade has seen negative cost of carryindicating some selling pressure observed in thisstock at higher levels. Hence we feel the stock couldsee some short buildup at higher levels which couldtake the counter to `375. Go short at around `392-394 levels with the stop loss of `404.

Historical Volatility

SCRIP HV

IGL 34.91

SIEMENS 43.01

HEROMO TOCO 28.48

OFSS 41.07

SUNPHARMA 23.95

OI Losers

SCRIP OIOI

CHANGE

(%)

PRICEPRICE

CHANGE

(%)

 TECHM 1259250 -12.14 1110.40 0.84

SIEMENS 793000 -10.80 533.10 3.06

SESAGOA 6178000 -9.33 167.15 1.21

CESC 686000 -9.02 305.05 3.88

COALINDIA 4096000 -6.29 321.35 2.23

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FII Statistics for 11-March-2013

Detail Buy Sell Net

Open Interest

Contracts Value Change(̀ in cr.) (%)

INDEXFUTURES

2180.14 1611.18 568.96 330503 9901.33 (0.08)

INDEXOPTIONS

15411.95 15249.30 162.65 1592582 47410.42 1.10

STOCK FUTURES

1563.46 1068.29 495.16 838915 25595.34 0.55

STOCK OPTIONS

1066.78 1234.95 (168.17) 106945 3105.23 5.56

 TOTAL 20222.32 19163.72 1058.60 2868945 86012.32 0.96

 Turnover on 11-March-2013

InstrumentNo. of 

Contracts Turnover

(̀ in cr.)Change

(%)

INDEX

FUTURES2,31,117 6,940.94 -31.78

INDEXOPTIONS

28,32,869 84,822.01 -26.40

STOCK FUTURES

3,65,691 11,703.52 -17.59

STOCK OPTIONS

2,38,228 7,654.23 -15.42

 TOTAL 36,67,905 111,120.71 -25.26

Nifty Spot =5942.35 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 6000 46.8528.00 72.00 6028.00

Buy 5900 44.6022.05 77.95 5877.95

Sell 6100 18.85 Sell 5800 22.55

Buy 6000 46.8539.65 160.35 6039.65

Buy 5900 44.6032.45 167.55 5867.55

Sell 6200 7.20 Sell 5700 12.15

Buy 6100 18.8511.65 88.35 6111.65

Buy 5800 22.5510.40 89.60 5789.60

Sell 6200 7.20 Sell 5700 12.15

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

Nifty Put-Call Analysis

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Strategy Date Symbol Strategy Status

05-Mar-2013 TATASTEEL Ratio Call Spread Open

11-Mar-2013 HINDUNILVR Bull Call Spread Open

Derivative Research Team

Email Id : - derivatives.desk@angelbroking.com

For Private Circulation Only

SEBI Registration No: INB 010996539

Research Team Tel: 022 - 39357800 E-mail: research@angelbroking.com Website: www.angelbroking.co

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