Emkay Global Financial Services Ltd. 1

Derivatives Weekly Review R E S E A R C H & A N A L Y S I S

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Emkay

May 2, 2014

Client Holding above 3% in Open Interest Company Total Holding No. of clients Remarks

AuroPharma 15.37% 4 Number of clients has increased to 4 from 2, stock up by 3% week on week

Karnataka Bank 12.27% 3 Number of clients has increased to 3 from 2, stock up by 4% week on week

IRB Infra 15.72% 4 No change

UCO Bank 21.71% 5 No change

Analysis of Overall Open Interest (OI in million contracts)

FII DII Retail Domestic Prop

Long short Long short Long short Long short

Index Futures 0.19 0.06 0.01 0.00 0.12 0.23 0.03 0.05

Index Call Options 0.37 0.32 0.20 0.00 0.27 0.47 0.17 0.22

Index Put Options 0.49 0.14 0.00 0.00 0.21 0.53 0.17 0.21

Stock Futures 0.39 0.83 0.01 0.11 0.73 0.20 0.15 0.13

Stock Call Options 0.01 0.01 0.00 0.00 0.12 0.09 0.02 0.06

Stock Put Options 0.01 0.00 0.00 0.00 0.04 0.05 0.03 0.03

FII Stocks Premium Discount

Scrip Current Premium Weekly Avg. Premium Weekly Avg. Vol (mn shrs)

HDFC Bank 3.50% 3.50% 1.05

IDFC 0.00% 0.50% 1.38

Lupin 3.25% 4.00% 0.23

Rollover Analysis

Nifty Stocks Non - Nifty Stocks

Stock % rolled bps Stock % rolled bps

Reliance 5 65 Union Bank 5 -190

BHEL 3 -170 MRF 5 72

HUL 3 81 ALBK 4 -230

SBIN 3 5 Petronet 4 -27

Bharti Airtel 3 46 IOB 3 75

Derivatives Weekly Review

Emkay Research May 2, 2014 2

Stock Options – Highlights (OI in million shares)

Call – May Put – May

Strike Open Interest Change in

Open Interest IV Strike Open Interest Change in

Open Interest IV

7000 4.08 0.26 32.89% 6400 3.49 0.96 35.07%

6800 3.22 0.23 33.29% 6200 2.62 0.47 35.68%

7500 2.12 0.14 31.47%

6500 4.10 0.39 34.72%

Open Interest week on week Comparison

n RCOM implied volatility moved up by 10% from 49% to 59% Highest open interest of 462 lots is in 140 Call strike. Over 5 days, stock price decreased by 7.80%.

n DLF ATM implied volatility moved up by 7% from 60% to 67% Highest open interest of 1172 lots is in 160 Call strike. Over 5 days, stock price decreased by 9.20%.

Open Interest week on week comparison (OI in million shares; Value in INR billion)

02/05/2014 25/04/2014 Change

Price OI Value Price OI Value Percentage Value

Nifty 6694.80 13.82 92.94 6782.75 14.31 97.72 -4.89% -4.78

Bank Nifty 12842.00 1.58 20.46 13034.50 1.35 17.71 15.52% 2.75

02/05/2014 25/04/2014 Change

Price OI Value Price OI Value Percentage Value

Stock Futures - - 388.94 - - 393.93 -1.27% -4.99

MCDowell-N 2775.05 6.07 3.43 2814.15 6.54 18.56 -81.50% -15.13

TCS 2208.45 9.22 1.38 2085.25 4.05 8.40 -83.61% -7.02

SBIN 2048.20 16.92 5.96 2205.25 4.32 9.59 -37.90% -3.63

Top Open Interest Gainers Top Open Interest Losers

Price OI

Change in Open

Interest Change in Price

Price OI

Change in Open Interest

Change in Price

IOB 60.10 10.02 89.98% 10.49% PNB 776.05 4.92 -30.99% -3.29%

CROMPGREAV 164.85 1.10 54.49% -7.47% GLENMARK 630.60 0.87 -21.67% 4.09%

IBREALEST 63.70 24.62 45.35% -5.73% SSLT 180.55 24.24 -16.22% -7.22%

Top Price Gainers Top Price Losers

Price

Change in Price OI

Change in Open Interest

Price

Change in Price OI

Change in Open

Interest

DLF 139.80 19.23% 10.27 -7.96% COAL INDIA 295.3 -15.45% 0.95 41.15%

JISLJALEQS 83.05 15.12% 21.12 36.99% JSW STEEL 1090.6 -13.17% 8.76 29.57%

IOB 60.10 10.49% 10.02 89.98% TCS 2208.45 -12.89% 9.22 42.71%