1. DERIVATIVE REPORT
13th December 2013
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
 FII were net buyer by 187cr in cash market
which is lower than their average buying for
last few months.
 DII were net seller in cash market by amount of
-354cr.
 Shorts are built up in index future by FII where
they sell 518cr.
 Aggressive writing at 6300 call option along
with shorting in index future is showing short
term trend is bearish.
 US 10-yr treasury yield rises to 2.87 mark
whereas dollar index also jumped to 80.3 mark.
 Short are builds up in Auto and banking names
ahead of policy event and some buying is seen
in power counters.
Derivative Activity:
Nifty closed at 6237 mark while nifty December future closed at 6265 mark with premium of 28
points.
Nifty (Jan) Contract closed at 6319 level with premium of 82 points.
The cost of carry for December month contract placed at 11.7% vs. 13.5%, whereas total OI is
positioned at 26455200, where nifty December future adds 1% in open interest.
At the money option implied volatility placed at 16.10% vs. 15.81% mark.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
17.05
19517.8
-0.29%
2.16%
3843000
8250
21%
16%
IDEA
172.9
0.20%
1146000
15%
TATAMOTORS
362.9
-4.65%
2722000
14%
CESC
416.55
1.15%
72000
12%
ASHOKLEY
MRF
Scrips
PTC
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
62
-0.32%
-304000
-11%
MCLEODRUSS
305.9
5.45%
-297000
-9%
DABUR
168.25
-0.91%
-272000
-7%
YESBANK
HINDZINC
381.5
131.7
-1.97%
-1.79%
-852500
-350000
-7%
-7%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
http://swastika.co.in

2. DERIVATIVE REPORT
13th 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 6300 mark which is now important
hurdle.
 Aggressive writing is seen at 6300 mark which accumulates 11.5 lacs amount in open interest.
ON PUT OPTION FRONT:
 On put option front highest open interest positioned at 6000 level while 6200 is key level to watch
out.
 Short covering is seen at 6200-6300 levels.
 IndiaVix up by 1.14% which closed at 17.74 level.
 PCR OI stands at 0.98 mark while PCR volume stands at 1.08 mark.
 VIX/PCR ratio stands at 18.01 level which shows comfort among the bulls.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
http://swastika.co.in

3. DERIVATIVE REPORT
13th 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
333680
10296.3
456941
13452.9
589126
18393.47
1.39
386.86
1683893
52361.15
-0.86
STOCK
FUTURES
-596.07
1156136
32037.71
-0.33
INDEX
OPTIONS
2817909
88824.4
5.47
48929
1328.80
3.86
STOCK
OPTIONS
224454
6636.26
-722.33
TOTAL
Values
-518.59
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
3478084.00
104121.12
4.06
F&O TOTAL
3832984
119210
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6400
6300
6500
6600
6200
Traded Qty.
16588300
14176350
11507000
6039950
3254350
Open Interest
4659400
5432800
5224250
3457000
2197900
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
SBIN
SBIN
RELIANCE
DLF
Strike
Price
1800
1900
1850
880
160
Traded
Qty.
568250
565375
542625
854500
3297000
Open
Interest
224250
465625
295125
551250
2076000
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6100
6000
5900
Traded Qty.
15060600
15050650
11335750
7263350
4483450
Open Interest
3522500
4205150
4157900
5043850
3168550
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
SBIN
SBIN
DLF
TATAMOTORS
Strike
Price
1800
1750
1700
150
360
Traded
Qty.
584250
550375
379875
1932000
1658000
Open
Interest
192000
122000
198375
1278000
539000
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
http://swastika.co.in

4. DERIVATIVE REPORT
13th 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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1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
http://swastika.co.in