Lkp securities derivativies daily report

1. Derivatives Daily
Date Nifty Spot Nifty Future Pre / Nifty Future PCR PCR VIX Most Active Most Active
Dis Total OI (OI) (Volume) Call (OI) Put(OI) P/E P/B
23-Aug 5472 5,461 -11.05 29,077,950 0.88 1.00 25.75 5600 5300 15.79 2.71
22-Aug 5408 5,414 5.85 28,755,850 0.87 1.01 27.68 5600 5300 15.60 2.68
Chg 1.17% 0.86% 1.12% -6.97%
Nifty Options Data is for the expiry 29-Aug-13
26-Aug-13
The India VIX witnessed contraction of 6.97% at 25.75 as
compared to its previous close of 29.06 on Thursday.
Nifty August 2013 futures closed at 5460.70 on Friday at a
discount of 11.05 points over spot closing of 5,471.75.
Nifty September 2013 futures ended at 5490.30 at a
premium of 18.55 points over spot closing.
Nifty August futures saw contraction of 0.26 million (mn)
units taking the total outstanding open interest (OI) to 23.28
mn units.
The Nifty Put Call Ratio (PCR) OI wise stood at 1.25 for
August month contract.
The top five scrips with highest PCR on OI were Bharat Forg
2.20, Techm 1.53, Ranbaxy 1.45, Tata Steel 1.43 and Wipro
1.40.
From the most active contracts, DLF August 2013 futures
last traded at a premium of 0.55 points at 137.40 compared
with spot closing of 136.85. The number of contracts traded
was 23,531.
Tata Motors August 2013 futures were at a premium of 1.10
points at 301.05 compared with spot closing of 299.95. The
number of contracts traded was 16,922.
Tata Steel August 2013 futures last traded at a premium of
0.80 points at 281.60 compared with spot closing of 280.80.
The number of contracts traded was 28,071.
Yes Bank August 2013 futures last traded at a premium of
1.95 points at 259.55 compared with spot closing of 257.60.
The number of contracts traded was 41,184.
ICICI Bank August 2013 futures were at a premium of 2.95
points at 851.45 compared with spot closing of 848.50. The
number of contracts traded was 38,934.
Nifty
CNX NIFTY
NIFTY PREMIUM / DISCOUNT
CNX NIFTY vs INDIA VIX
MARKET OVERVIEW
23
24
25
26
27
28
29
30
5200
5250
5300
5350
5400
5450
5500
19-Aug 20-Aug 21-Aug 22-Aug 23-Aug
Nifty Futures VIX
5200
5250
5300
5350
5400
5450
5500
19-Aug 20-Aug 21-Aug 22-Aug 23-Aug
-12
-10
-8
-6
-4
-2
0
2
4
6
8
Prem / Disc Nifty Futures
LKP Advisory

2. Curr. Prev. LTP Net Curr. Prev. LTP Net
IV IV Chg IV IV Chg
5000 246350 -13400 - 25 457 41.35 5000 3417450 -36750 36 36 2.4 -3.95
5100 361000 -7400 - 25 359 38.10 5100 3906100 -417250 32 34 3.9 -7.45
5200 1169650 -205300 - 27 265 34.30 5200 6616450 -674500 29 32 8 -14.00
5300 2424650 -880900 14 25 175 24.70 5300 7736150 -219450 27 29 18 -22.50
5400 4721700 -137200 19 24 97 14.70 5400 7609900 2151900 25 27 40 -31.65
5500 7689400 845300 20 23 44 7.00 5500 3458300 438150 24 25 82 -38.80
5600 8412150 1518700 19 23 12.4 -0.05 5600 1968550 -52200 24 25 151 -45.85
5700 5430050 -689100 19 23 3.0 -1.05 5700 2058750 -332400 29 27 242 -46.90
5800 4901550 -140450 22 25 1.3 -0.60 5800 1903150 -192400 35 28 338 -47.00
5900 4027350 -31350 26 29 0.9 -0.45 5900 1088200 -13200 40 - 435 -49.90
Nifty Options Data is for the expiry 29-Aug-13
Nifty Put OI Chg in OI
Nifty Call Options
Strike Nifty Call OI Chg in OI
Nifty Put Options
Strike
CHANGE IN OPEN INTEREST ( Total ) vs NIFTY FUTURESOI PCR, VOL PCR vs NIFTY FUTURES
OPEN INTEREST – NIFTY CALL & NIFTY PUT
Nifty calls, 5,600 SP from the Aug month expiry was the most active call with an addition of 1.51 million open interest.
Nifty puts, 5,300 SP from the Aug month expiry was the most active put with contraction of 0.21 million open interest.
The maximum OI outstanding for Calls was at 5,600 SP (8.41 mn) and that for Puts was at 5,300 SP (7.73 mn).
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000
Millions
NIFTY CALL Open Interest NIFTY PUT Open interest
5200
5250
5300
5350
5400
5450
5500
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
19-Aug 20-Aug 21-Aug 22-Aug 23-Aug
OI PCR Vol PCR Nifty Futures
5200
5250
5300
5350
5400
5450
5500
19-Aug 20-Aug 21-Aug 22-Aug 23-Aug
-1000000
-500000
0
500000
1000000
1500000
2000000
2500000
3000000
3500000
4000000
4500000
Change in OI Nifty Futures
LKP Advisory

3. Nifty Bullish Call Spread Nifty Bearish Put Spread
Action Strike Max Max Action Strike Max Max
Profit Loss Profit Loss
Buy 5600 Buy 5700
Sell 5700 Sell 5600
Buy 5700 Buy 5600
Sell 5800 Sell 5500
Buy 5600 Buy 5700
Sell 5800 Sell 5500
Note:Above spread are provided for information purposes.
Most Active Calls Most Active Puts
Scrip Strike Price Spot Turnover Expiry Scrip Strike Price Spot Turnover Expiry
Price (Rs Crs.) Price (Rs Crs.)
SBIN 1600 19.75 1560 232 29-Aug-13 SBIN 1500 13.00 1560 107 29-Aug-13
JPASSOCIAT 35 1.35 35 91 29-Aug-13 SBIN 1550 28.20 1560 83 29-Aug-13
SBIN 1650 8.10 1560 125 29-Aug-13 MCDOWELL-N 2100 12.00 2214 89 29-Aug-13
SBIN 1550 37.75 1560 98 29-Aug-13 RELIANCE 800 7.00 818 60 29-Aug-13
TATASTEEL 280 8.25 281 129 29-Aug-13 DLF 140 7.55 137 41 29-Aug-13
STOCK FUTURES
LONG BUILDUP (Price rise OI rise) SHORT BUILDUP (Price fall OI rise)
Stock CMP Price OI (NSE+BSE) Recovery Stock CMP Price OI (NSE+BSE) Fall from
Chg Chg %Delivery chg chg %Delivery High
TECHM 1366 7.5% 10.8% 48% 7% RCOM 117 -3.7% 4.6% 8% 5%
JISLJALEQS 56 6.1% 3.6% 30% 7% FRL 68 -3.6% 3.8% 22% 6%
HCLTECH 946 4.9% 10.8% 61% 5% ULTRACEMCO 1581 -3.3% 8.2% 79% 4%
ARVIND 77 4.7% 11.4% 29% 5% IDEA 157 -3.1% 0.7% 46% 4%
TATAPOWER 78 4.6% 6.7% 53% 6% INDIACEM 49 -2.5% 1.5% 35% 5%
SHORT UNWINDING (Price rise OI fall) LONG UNWINDING (Price fall OI fall)
Stock CMP Price OI (NSE+BSE) Recovery Stock CMP Price OI (NSE+BSE) Fall from
Chg Chg %Delivery chg chg %Delivery High
BHEL 116 8.1% -2.2% 24% 8% ADANIPOWER 36 -0.7% 0.0% 23% 3%
YESBANK 259 6.9% -11.2% 22% 7% OFSS 2869 -0.1% -0.1% 26% 1%
ABIRLANUVO 1097 5.4% -11.1% 66% 7% RENUKA 15 0.0% 0.0% 20% 2%
RECLTD 189 5.0% -2.5% 44% 5% #N/A
CESC 298 4.3% -4.3% 38% 5% #N/A #N/A
12
Premium
237.35
237.35
145.80
34 66
80.00
10
2
43 157
80.00
Premium
12.8
3.2
3.2
1.2
12.8
1.2
90
98
188
8 92
145.80
NIFTY OPTIONS
Long positions were witnessed in stocks like TECHM & JISLJALEQS
Short positions were witnessed in stocks like RCOM & FRL
STOCK OPTIONS
LKP Advisory

4. 23-Aug-13 Buy Sell Net OI % OI % Rs. Crs 23-Aug 22-Aug % FII's
Rs. Crs Value Chg Contracts Chg Chg Contribution
INDEX FUTURES 2709 3371 -662 17073 -1% 643,109 -1.6% INDEX FUTURES 15068 18941 -20% 40%
INDEX OPTIONS 25338 24706 631 64221 3% 2,366,118 1.5% INDEX OPTIONS 154239 175459 -12% 32%
TOTAL INDEX 28047 28077 -31 TOTAL INDEX 169307 194400 -13%
STOCK FUTURES 4099 3299 801 28269 2% 1,122,045 0.9% STOCK FUTURES 20765 21280 -2% 36%
STOCK OPTIONS 968 1014 -46 3437 6% 134,846 4% STOCK OPTIONS 9049 10111 -11% 22%
TOTAL STOCKS 5067 4313 754 TOTAL STOCKS 29815 31391 -5%
FIIs contribution to the total Derivatives turnover 33% 35%
The information in this documents has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true and is for general
guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company makes no guarantee and assumes no liability for any
errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action. LKP Securities Ltd., and affiliates, including the analyst
who have issued this report, may, on the date of this report, and from time to time, have long or short positions in, and buy or sell the securities of the companies mentioned herein or
engage in any other transaction involving such securities and earn brokerage or compensation or act as advisor or have other potential conflict of interest with respect to companies
mentioned herein or inconsistent with any recommendation and related information and opinions. LKP Securities Ltd., and affiliates may seek to provide or have engaged in
providing corporate finance, investment banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report
or in the past.
SECTOR PERFORMANCE
LKP Securities Ltd. Ph: (91-22) 66351234 FAX: (91-22) 66351249 E Mail: lkpadvisory@lkpsec.com web: http://www.lkpsec.com
FII's ACTIVITY IN DERIVATIVES NSE DERIVATIVES TURNOVER
-2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5%
Energy
Materials
Utilities
Consumer Durables & Apparel
Consumer Services
Media
Automobiles & Components
Retailing
Food Beverage & Tobacco
Household & Personal Products
Banks
Real Estate
Diversified Financials
Pharma., Biotech. & Life Sciences
Health Care Equipment & Services
Capital Goods
Transportation
Software & Services
Telecommunication Services
Utilities
LKP Advisory