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Derivative Report 

 Aug 29, 2013

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The Nifty futures open interest increased by 3.02% whileBankNifty futures open interest is increased by 2.29% asmarket closed at 5285.00 levels.

  The Nifty August future closed at premium of 3.95 pointagainst a discount of 2.65 points. The September seriesclosed at a premium of 19.00 points.

  The Implied Volatility of at the money options hasincreased 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 thestock futures OI is Rs. 32,945/- cr.

  Few of the liquid counters where we have seen high costof carry are ADANIPORTS, RENUKA, IRB, IDFC, ADANIPOWER.

Nifty Vs OI

OI Gainers

SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOI

CHANGECHANGECHANGECHANGE(%)(%)(%)(%)

PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICE

CHANGECHANGECHANGECHANGE(%)(%)(%)(%)

HAVELLSHAVELLSHAVELLSHAVELLS 1028000 21.30 592.40 -3.41

ONGCONGCONGCONGC 14430000 17.25 243.70 -6.09

JINDALSTELJINDALSTELJINDALSTELJINDALSTEL 11582000 15.70 238.45 3.78

INDUSINDBK INDUSINDBK INDUSINDBK INDUSINDBK 12014500 15.54 344.55 -0.52

MARUTIMARUTIMARUTIMARUTI 2401000 14.80 1236.35 -1.53

Put-Call Ratio

SCRIPSCRIPSCRIPSCRIP PCR PCR PCR PCR----OIOIOIOI PCR PCR PCR PCR----VOL VOL VOL VOL

NIFTY 0.90 1.18

BANKNIFTY 0.58 0.84

SBIN 0.41 0.69

ICICIBANK 0.50 0.77

RELIANCE 0.54 0.74

 View View View View

  FII's continue to sell in cash market segment in a bigway, they were net seller worth of Rs. 1120/- cr. Onderivatives short buildup was seen in index future andin index options they were marginal buyer with rise inopen interest in yesterday’s trading session.

 

In options front significant amount of buildup wasseen in 5100 & 5200 call options with good amountof unwinding 5400 - 5600 strikes. In put optionsgood amount of buildup was seen in 5000 & 5100strikes, some buildup was also seen in 4900 & 5200strikes followed by significant unwinding in 5300 -5500 strikes in yesterday’s trading session.

  Roll-over in Nifty is 44.13% and in BankNifty is onhigher side at 57.47%.

Historical Volatility 

SCRIPSCRIPSCRIPSCRIP HV HV HV HV 

ULTRACEMCO 45.72

HINDPETRO 77.94

BPCL 78.34

CAIRN 50.55

PETRONET 53.51

OI Losers

SCRIPSCRIPSCRIPSCRIP OIOIOIOIOIOIOIOI

CHANGECHANGECHANGECHANGE(%)(%)(%)(%)

PRICEPRICEPRICEPRICEPRICEPRICEPRICEPRICE

CHANGECHANGECHANGECHANGE(%)(%)(%)(%)

SYNDIBANK SYNDIBANK SYNDIBANK SYNDIBANK 3742000 -15.15 65.00 2.68

UCOBANK UCOBANK UCOBANK UCOBANK 13212000 -14.74 50.75 1.50

 ARVIND ARVIND ARVIND ARVIND 3292000 -13.91 75.05 2.25

JSWSTEELJSWSTEELJSWSTEELJSWSTEEL 8763000 -12.49 534.35 3.26

TITANTITANTITANTITAN 11379000 -10.81 212.35 -3.96

 

 

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FII Statistics for 28-Aug-2013

DetailDetailDetailDetail Buy Buy Buy Buy SellSellSellSell NetNetNetNet

Open InterestOpen InterestOpen InterestOpen Interest

ContractsContractsContractsContracts  Value Value Value Value ChangeChangeChangeChange

((((`̀̀̀ in cr.)in cr.)in cr.)in cr.) (%)(%)(%)(%)

INDEX FUTURES

6160.69 6530.99 (370.31) 734717 18807.61 5.04

INDEX OPTIONS

46196.24 46106.88 89.35 2480357 64935.43 4.20

STOCK FUTURES

10905.31 9918.83 986.48 1213808 29667.21 4.23

STOCK OPTIONS

662.05 583.59 78.46 137486 3405.27 1.60

TOTAL 63924.29 63140.30 783.99 4566368 116815.52 4.26

Turnover on 28-Aug-2013

InstrumentInstrumentInstrumentInstrumentNo. ofNo. ofNo. ofNo. of

ContractsContractsContractsContractsTurnoverTurnoverTurnoverTurnover((((`̀̀̀ in cr.)in cr.)in cr.)in cr.)

ChangeChangeChangeChange((((%)%)%)%)

INDEX FUTURES

11,54,261 28865.88 21.39

INDEX OPTIONS

1,08,60,793 284415.95 24.13

STOCK FUTURES

16,85,486 38979.69 23.58

STOCK OPTIONS

3,94,923 9515.66 7.04

TOTAL 1,40,95,463 361777.18 23.33

Nifty Spot =5285.00 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

 Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEP Action Action Action Action StrikeStrikeStrikeStrike PricePricePricePrice RiskRiskRiskRisk RewardRewardRewardReward BEPBEPBEPBEP

Buy  5300 32.5026.70 73.30 5326.70

Buy  5300 42.4028.95 71.05 5271.05

Sell 5400 5.80 Sell 5200 13.45

Buy  5300 32.5031.50 168.50 5331.50

Buy  5300 42.4039.20 160.80 5260.80

Sell 5500 1.00 Sell 5100 3.20

Buy  5400 5.804.80 95.20 5404.80

Buy  5200 13.4510.25 89.75 5189.75

Sell 5500 1.00 Sell 5100 3.20

Note: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or BearishNote: Above mentioned Bullish or Bearish Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (Spreads in Nifty (Aug Aug Aug Aug Series) areSeries) areSeries) areSeries) are given agiven agiven agiven assss an information and not as a recommendationan information and not as a recommendationan information and not as a recommendationan information and not as a recommendation....

Nifty Put-Call Analysis

 

 

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Strategy DateStrategy DateStrategy DateStrategy Date SymbolSymbolSymbolSymbol Strategy Strategy Strategy Strategy StatusStatusStatusStatus

29292929----July July July July----2013201320132013 INFYINFYINFYINFY Long PutLong PutLong PutLong Put OpenOpenOpenOpen

05050505----Aug Aug Aug Aug----2013201320132013 SBINSBINSBINSBIN Long Call LadderLong Call LadderLong Call LadderLong Call Ladder CloseCloseCloseClose

12121212----Aug Aug Aug Aug----2013201320132013 LTLTLTLT Long Call LadderLong Call LadderLong Call LadderLong Call Ladder CloseCloseCloseClose

19191919----Aug Aug Aug Aug----2013201320132013 NIFTYNIFTYNIFTYNIFTY Short StrangleShort StrangleShort StrangleShort Strangle LLLLoss Boss Boss Boss Bookedookedookedooked

26262626----Aug Aug Aug Aug----2013201320132013 ICICIBANK ICICIBANK ICICIBANK ICICIBANK Long Call LadderLong Call LadderLong Call LadderLong Call Ladder OpenOpenOpenOpen

Derivative Research Team

Email IdEmail IdEmail IdEmail Id :::: ---- derivatives.desk@angelbroking.comderivatives.desk@angelbroking.comderivatives.desk@angelbroking.comderivatives.desk@angelbroking.com

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