1. DERIVATIVE REPORT
12th December 2013
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
 FII were net buyer by 963cr in cash market
where we seen buying in ICICIBANK, Axisbank,
HDFC counter in last half an hour.
 DII were net seller in cash market by amount of
841cr.
 Some long builds up in index future by FII
where they bought 86cr.
 Some bit of writing and no fresh long in higher
level call option created some resistance
around 6400 mark
 US 10-yr treasury yield rises to 2.85 mark
whereas dollar index slipped below 80 mark
which is trading at 79.88 mark.
 IndiaVIX has fallen sharply with fall in premium
of put options which shows downside is limited
for the market.
Derivative Activity:
Nifty closed at 6308 mark while nifty December future closed at 6343 mark with premium of 35
points.
Nifty (Jan) Contract closed at 6396 level with premium of 88 points.
The cost of carry for December month contract placed at 13.5% vs. 13%, whereas total OI is
positioned at 26193750, where nifty December future adds 0.3
% in open interest.
At the money option implied volatility placed at 15.81% vs. 16.15% mark.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
19105.1
273.65
2.88%
0.13%
9750
171000
24%
18%
SIEMENS
655.4
0.67%
175500
18%
COALINDIA
289.4
1.24%
587000
8%
ASHOKLEY
17.1
1.48%
1044000
6%
MRF
GODREJIND
Scrips
VOLTAS
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
118
-5.26%
-1276000
-18%
NTPC
139.8
1.93%
-3298000
-13%
BHARATFORG
313.6
-2.59%
-97000
-6%
NMDC
HINDZINC
140.05
134.1
-1.75%
-1.76%
-670000
-312000
-6%
-6%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

2. DERIVATIVE REPORT
12th December 2013
SWASTIKA INTELLIGENCE GROUP
OPTION DATA ANALYSIS:
OI CONCENTRATION CHART
CHANGE IN OI
ON CALL OPTION FRONT:
 On call option front highest open interest has been shifted to 6500 mark while 6400 will act as an
immediate hurdle.
 Long liquidation is seen at higher levels while some shorts are built up at 6300 and 6500 marks.
ON PUT OPTION FRONT:
 On put option front highest open interest shifted to 6000 mark while 6200 will be strong support for
nifty at any correction.
 Aggressive short builds up at 6200-6300 mark while liquidation is seen at 6100 mark.
 IndiaVix down by 2.45% which closed at 17.54 level.
 PCR OI stands at 1.01 mark while PCR volume stands at 0.96 mark.
 VIX/PCR ratio stands at 17.27 level which shows comfort among the bulls.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

3. DERIVATIVE REPORT
12th December 2013
SWASTIKA INTELLIGENCE GROUP
TOATL VOLUME SUMMARY
FII STATISTICS Dec 11’13 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
324892
10066.8
523725
15394.7
574225
18140.75
1.92
-167.98
1679426
52817.06
-0.73
STOCK
FUTURES
-491.92
1148621
32143.08
-0.32
INDEX
OPTIONS
2755861
87253
3.25
46879
1279.42
1.61
STOCK
OPTIONS
243376
7140.84
-570.05
TOTAL
Values
86.60
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
3449151.00
104380.32
2.49
F&O TOTAL
3847854
119855
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6400
6500
6300
6600
6700
Traded Qty.
19833150
11814550
9942150
6983550
6065600
Open Interest
4710700
5342950
4278300
3752500
2500800
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
SBIN
RELIANCE
SBIN
SBIN
Strike
Price
1900
1850
900
1800
2000
Traded
Qty.
1048875
748875
714250
335750
321125
Open
Interest
405125
349375
734000
135250
389125
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6100
6000
6400
Traded Qty.
15518900
12490250
7977450
5499000
5133500
Open Interest
3799900
4482700
4053800
4887100
1681250
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
SBIN
SBIN
SBIN
TATASTEEL
Strike
Price
1800
1700
1750
1850
420
Traded
Qty.
723375
558000
327125
256375
1645000
Open
Interest
251875
140625
155500
121750
804000
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

4. DERIVATIVE REPORT
12th December 2013
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
Sr. Technical Analyst
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