1. DERIVATIVE REPORT
13th January 2014
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
 FII were net buyer in Cash market by small
amount of 68cr and DIIs were net buyer in cash
market by 81cr.
 Short covering was seen in index future by FII.
 Writing was seen at 6400 call option while
some buying was emerged at 5800 put option.
 Nifty is trading below 50-Day SMA of 6190 but
manages to hold key support level of 6130.
 6230 is still a hurdle; any decisive move above
6230 will lead short covering.
 US Job data lead correction in dollar index from
81 mark which is now placed at 80.62 mark
whereas US 10-yr treasury yield also cooled off
to 2.86 from 3 mark.
 Combination of all global and domestic
economic data is a positive pack for Indian
equity market.
Derivative Activity:
Nifty closed at 6171 mark while nifty January future closed at 6178 mark with premium of 7 points.
Nifty (Feb) Contract closed at 6214 level with premium of 43 points.
The cost of carry for January month contract placed at 2.30% vs. 4.15%, whereas total OI is
positioned at 18991950, where nifty January future sheds 0.16% in open interest.
At the money option implied volatility placed at 14.04% vs. 14.84%.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
M&MFIN
279
-2.38%
276000
21%
VOLTAS
107.85
-4.30%
924000
10%
RECLTD
198.9
-2.43%
250000
9%
ICICIBANK
1029.8
-2.46%
772250
9%
INDUSINDBK
406.35
-3.00%
475000
8%
Scrips
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
GODREJIND
277.6
2.76%
-167000
-18%
IOC
200.35
1.96%
-727000
-13%
CESC
447.2
-0.38%
-102000
-10%
APOLLOHOSP
SUNPHARMA
918.95
610.2
2.24%
0.35%
-13750
-556000
-10%
-8%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

2. DERIVATIVE REPORT
13th 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 is positioned at 6300 mark which is strong resistance on
immediate basis.
 Aggressive writing was seen at 6400 mark which accumulates 5 lacs amount in open interest.
ON PUT OPTION FRONT:
 On put option front highest open interest is positioned at 6000 level which is important support in
downside.
 5800 mark added 7 lacs amount in open interest; which shows accumulation was there.
 IndiaVix was down by 3.71% which closed at 15.58 level.
 PCR OI placed at 0.91 mark while PCR volume stands at 1.00 mark.
 VIX/PCR ratio stands at 17.12 level which shows comfort among the traders.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

3. DERIVATIVE REPORT
13th January 2014
SWASTIKA INTELLIGENCE GROUP
TOATL VOLUME SUMMARY
FII STATISTICS Jan 09’14 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
505035
15151.8
420450
12828.78
-1.55
414.70
1200683
36838.54
4.22
STOCK
FUTURES
647917
21666.5
-28.39
1015147
31658.75
0.77
INDEX
OPTIONS
4036234
125312
-118.54
78618
2466.10
8.60
STOCK
OPTIONS
594148
22354.5
412.96
TOTAL
Values
145.19
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
2714898.00
83792.17
12.04
F&O TOTAL
5783334
184485
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6400
6500
6600
Traded Qty.
27274000
21709300
16956700
8559050
4729700
Open Interest
5110050
4041350
4854800
4092550
2557700
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
MOST ACTIVE STOCK CALL OPTION
Symbol
INFY
INFY
INFY
INFY
INFY
Strike
Price
3600
3700
3500
3800
3900
Traded
Qty.
3621625
3577000
2465875
2076250
1285750
Open
Interest
592750
545500
363750
515750
377625
Strike Price
6200
6100
6000
5900
5800
Traded Qty.
24064050
22552950
15372800
8335350
5440200
Open Interest
4283000
4994500
5243450
3302900
3733350
MOST ACTIVE STOCK PUT OPTION
Symbol
INFY
INFY
INFY
INFY
INFY
Strike
Price
3400
3500
3300
3200
3000
Traded
Qty.
3331000
3004125
2846750
1930375
1594250
Open
Interest
836375
514125
959125
535000
668750
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

4. DERIVATIVE REPORT
13th 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