1. DERIVATIVE REPORT
08th January 2014
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
 FII were net seller for three days in a row with
amount of 567cr.
 DIIs were net buyer in cash market by 59cr.
 Aggressive writing was seen in index future by
FII of 1329cr.
 Writing was seen at 6200 call option while
some buying was emerged at 6000 mark.
 Nifty close below 6190 mark which is first sign
a deeper correction for 5920 which is 200-day
SMA.
 There was broad based selling was seen in
metal, IT and Oil and Gas sector.
 Dollar Index is racing for 81 mark while US 10yr treasury yield has come down from 3 mark
and closed at 2.95 mark ahead of US nonfarm
pay roll numbers.
Derivative Activity:
Nifty closed at 6162 mark while nifty January future closed at 6196 mark with premium of 34 points.
Nifty (Feb) Contract closed at 6234 level with premium of 72 points.
The cost of carry for January month contract placed at 8.76% vs. 9.33%, whereas total OI is
positioned at 19296400, where nifty January future sheds 0.27% in open interest.
At the money option implied volatility placed at 15.03% vs. 15.34%.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
M&MFIN
306.8
-3.61%
135000
29%
GSKCONS
4332
-2.09%
2500
23%
BANKINDIA
232.8
-0.62%
718000
13%
DABUR
173.25
1.32%
376000
12%
SAIL
68.55
-3.79%
2456000
12%
Scrips
ITC
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
318
0.19%
-1740000
-8%
AXISBANK
1239.7
-1.45%
-274250
-7%
ASIANPAINT
491.8
-0.26%
-281500
-7%
SUNPHARMA
COALINDIA
596.85
277.3
0.84%
-0.47%
-493000
-402000
-6%
-6%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

2. DERIVATIVE REPORT
08th January 2014
SWASTIKA INTELLIGENCE GROUP
OPTION DATA ANALYSIS:
OI CONCENTRATION CHART
CHANGE IN OI
ON CALL OPTION FRONT:
 On call option front highest open interest shifted to 6300 mark which is strong resistance on
immediate basis.
 Aggressive Writing was seen at 6200-6300 mark which accumulate 11lacs total amount in open
interest with fall in premium.
ON PUT OPTION FRONT:
 On put option front highest open interest has been shifted to 6000 level which is important support
in downside.
 Fresh long builds up at 6000 mark which accumulates 8lacs amount in open interest.
 IndiaVix down by 1.09% which closed at 16.32 level.
 PCR OI placed at 0.89 mark while PCR volume stands at 0.98 mark.
 VIX/PCR ratio stands at 18.34 level which shows comfort among the traders.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

3. DERIVATIVE REPORT
08th January 2014
SWASTIKA INTELLIGENCE GROUP
TOATL VOLUME SUMMARY
FII STATISTICS Jan 07’14 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
414402
12382.2
446811
13713.54
5.93
33.87
1113649
34195.37
-0.51
STOCK
FUTURES
547266
18709
134.41
1002952
31629.34
0.24
INDEX
OPTIONS
2583880
80453.4
46.64
60063
1973.56
19.07
STOCK
OPTIONS
251551
8768.98
-1114.52
TOTAL
Values
-1329.44
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
2623475.00
81511.80
24.72
F&O TOTAL
3797099
120314
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6400
6500
6600
Traded Qty.
14873100
11309100
10303350
7708000
4066600
Open Interest
5265800
2894250
3919800
4911500
2881900
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
SBIN
SBIN
RELIANCE
RELIANCE
Strike
Price
1700
1800
1750
860
880
Traded
Qty.
866125
788250
681125
938500
796000
Open
Interest
375125
873625
385000
612250
555500
Strike Price
6200
6100
6000
5900
5800
Traded Qty.
15214250
13231600
9650550
4615400
3730050
Open Interest
4087850
4140700
4830650
2309350
2901000
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
INFY
SBIN
SBIN
INFY
Strike
Price
1650
3300
1600
1700
3100
Traded
Qty.
560250
366875
351000
316375
263625
Open
Interest
174750
353250
218750
354125
271500
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

4. DERIVATIVE REPORT
08th January 2014
SWASTIKA INTELLIGENCE GROUP
Report Prepared by
Santosh Meena
RESEARCH TEAM
Santosh Sahu
Amit Khare
Vishnu shreekar
Sonakshi Bahety
Saloni Gupta
Designation
Derivative & Technical Analyst
E-mail ID
santosh.meena@swastika.co.in
SWASTIKA INTELLIGENCE GROUP
Research Head
Commodity Analyst
Commodity Analyst
Research Associate
Research Associate
research@swastika.co.in
Santosh.sahu@swastika.co.in
amit.khare@swastika.co.in
vishnu.shreekar@swastika.co.in
Sonakshi.bahety@swastika.co.in
Salony.gupta@swastika.co.in
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Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai