1. DERIVATIVE REPORT
16th December 2013
NIFTY VS OPEN INTEREST
Market Internals
 FII were net seller by 432cr in cash market after
long time.
 DII were net seller in cash market by amount of
-45cr.
 FII did liquidate their position in Index future as
it slips below 6200 mark.
 Aggressive writing at 6300-6200 call option
along with shorting in index future is showing
short term trend is bearish.
 India VIX is not rising as nifty is sliding which
shows there is not too much downside or risk
of sharp correction.
 US 10-year treasury yield is hovering around
2.87 while dollar index is placed at 80.18 mark ahead of Fed policy next week.
Derivative Activity:

Nifty closed at 6168 mark while nifty December future closed at 6265 mark with premium of 29
points.

Nifty (Jan) Contract closed at 6252 level with premium of 83 points.

The cost of carry for December month contract placed at 15.6% vs. 11.7%, whereas total OI is
positioned at 26325550, where nifty December future sheds 1% in open interest.

At the money option implied volatility placed at 15.93% vs. 16.10% mark.
OPEN INTEREST GAINERS
Scrips
ZEEL
GODREJIND
PETRONET
COALINDIA
INDUSINDBK
Scrips
Price
280.65
260.75
122.3
284.4
419.45
Price
% Price Change
0.00%
-3.91%
-3.81%
0.78%
-3.82%
Open Interest (Change)
368000
174000
242000
847000
557000
% OI Change
15%
15%
14%
10%
10%
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
CROMPGREAV
125.25
-3.24%
-792000
-10%
ASHOKLEY
16.35
-4.11%
-1359000
-6%
JPASSOCIAT
51.35
-5.87%
-3088000
-6%
ALBK
ADANIENT
89.15
249.85
-3.93%
-1.48%
-262000
-235000
-5%
-5%

2. DERIVATIVE REPORT
16th December 2013
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 6300-6200 marks which accumulate 21 lacs total amount in open
interest.
ON PUT OPTION FRONT:
 On put option front highest open interest positioned at 6000 level which is base for this series.
 Short covering is seen at 6200-6300 marks which shed 13 lacs total amount in open interest.
 IndiaVix up by 0.56% which closed at 17.84 level.
 PCR OI stands at 0.95 mark while PCR volume stands at 0.92mark.
 VIX/PCR ratio stands at 18.78 level which shows indecisive stage among the traders.

3. DERIVATIVE REPORT
16th December 2013
TOATL VOLUME SUMMARY
FII STATISTICS Dec 11’13 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
333294
10116
490644
14406.9
569875
17592.72
-4.35
995.66
1708088
52513.73
0.29
STOCK
FUTURES
-675.78
1160411
31756.25
-0.88
INDEX
OPTIONS
3162956
98882.8
-27.61
51161
1357.49
2.16
STOCK
OPTIONS
253854
7360.58
-609.57
TOTAL
Values
-901.83
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
3489535.00
103220.19
-2.78
F&O TOTAL
4240748
130766
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6400
6200
6500
6600
Traded Qty.
20553800
15180000
13259550
9457100
3869600
Open Interest
6464950
4696850
3299700
5331650
3211850
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
SBIN
SBIN
TCS
JPASSOCIAT
Strike
Price
1900
1800
1850
2100
55
Traded
Qty.
813375
775500
607250
525000
11984000
Open
Interest
618375
317125
335625
504750
5672000
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6200
6100
6000
6300
5900
Traded Qty.
17469050
15330450
10747700
6603350
4839400
Open Interest
3698150
4536250
5320150
2747700
3175600
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
SBIN
ICICIBANK
SBIN
DLF
Strike
Price
1700
1750
1100
1800
150
Traded
Qty.
476500
419125
673500
271375
1919000
Open
Interest
222250
113000
169500
136625
923000

4. DERIVATIVE REPORT
16th December 2013
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