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www.angelbroking.com 1
Derivative Report
Aug 29, 2013
CommentsCommentsCommentsComments
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
Derivative ReportDerivative ReportDerivative ReportDerivative Report Aug 29, 2013
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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
Derivative ReportDerivative ReportDerivative ReportDerivative Report Aug 29, 2013
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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 :::: ---- [email protected]@angelbroking.comderivatives.desk@[email protected]
For Private Circulation Only
SEBI Registration No: INB 010996539
Research Team Tel: 022 - 39357800 E-mail: [email protected] Website: www.angelbroking.com
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