www.angelbroking.com 1 Derivative ReportSept 02, 2013 Comments Comments Comments Comments The Nifty futures open interest increased by 17.14% while BankNifty futures open interest is increased by 2.49% as market closed at 5471.80 levels. The Nifty September future closed at discount of 15.05 point against a premium of 6.10 points. The October series closed at a premium of 12.90 points. The Implied Volatility of at the money options has decreased from 26.22% to 24.29%. Nifty PCR-OI has increased from 1.16 to 1.22 levels. The total OI of the market is Rs. 1,10,983/- cr. and the stock futures OI is Rs. 26,466/- cr. Few of the liquid counters where we have seen high cost of carry are UNITECH, PUNJLLOYD, EXIDEIND, CHAMBLFERT, FEDERALBNK. Nifty Vs OI OI Gainers SCRIP SCRIP SCRIP SCRIP OI OI OI OI OI OI OI OI CHANGE CHANGE CHANGE CHANGE (%) (%) (%) (%) PRICE PRICE PRICE PRICE PRICE PRICE PRICE PRICE CHANGE CHANGE CHANGE CHANGE (%) (%) (%) (%) FINANTE FINANTE FINANTE FINANTECH CH CH CH 2369000 73.43 113.90 -27.09 IDFC IDFC IDFC IDFC 33320000 59.14 80.50 -0.85 AXISBANKAXISBANKAXISBANKAXISBANK 10148750 51.63 832.95 -0.96 ICICIBANKICICIBANKICICIBANKICICIBANK 9768000 34.54 803.75 0.55 HEROMOTOCO HEROMOTOCO HEROMOTOCO HEROMOTOCO 2537750 29.73 2046.50 -3.66 Put-Call Ratio SCRIP SCRIP SCRIP SCRIP PCRPCRPCRPCR- - -OI OI OI OI PCRPCRPCRPCR- - - -VOL VOL VOL VOL NIFTY 1.22 0.95 BANKNIFTY 1.10 0.89 SBIN 0.74 0.67 AXISBANK 0.47 0.40 RELIANCE 0.83 0.72 View View View View FII's were inactive in cash market segment. On derivatives front they were marginal seller in index futures with significant rise in open interest, indicating mix of both long and short. In index options theywere buyer of more than Rs.1000/- cr with good amount of rise in open interest in Friday’s trading session. In options front good amount of buildup was seen in 5500, 5800 & 5900 call options. In put options huge amount of buildup was seen in 5300 strike, some buildup was also seen in 5200 & 5400 strikes in yesterday’s trading session. Historical VolatilitySCRIP SCRIP SCRIP SCRIP HVHVHVHVCIPLA 37.49 OFSS 29.18 DIVISLAB 38.93 BAJAJ-AUTO 46.27 JINDALSTEL 83.36 OI Losers SCRIP SCRIP SCRIP SCRIP OI OI OI OI OI OI OI OI CHANGE CHANGE CHANGE CHANGE (%) (%) (%) (%) PRICE PRICE PRICE PRICE PRICE PRICE PRICE PRICE CHANGE CHANGE CHANGE CHANGE (%) (%) (%) (%) BANKINDIABANKINDIABANKINDIABANKINDIA 3588000 -13.98 142.30 7.63 ABIRLANUVO ABIRLANUVO ABIRLANUVO ABIRLANUVO 405750 -7.36 1136.05 6.49 WIPRO WIPRO WIPRO WIPRO 4266000 -7.02 483.60 2.91 SUNTVSUNTVSUNTVSUNTV 1033500 -6.30 389.90 0.21 GODREJIND GODREJIND GODREJIND GODREJIND 483000 -5.66 235.75 3.54
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