1. DERIVATIVE REPORT
17th December 2013
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
 FII were net buyer by 160cr in cash market
after one day sell off figure.
 DII were net seller in cash market by amount of
-129cr.
 FII builds up short position in index future by
563cr with 4% in open interest.
 Aggressive writing at 6300-6200 call option
along with shorting in index future is showing
upside is capped but any positive trigger will
lead short covering.
 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 80.10 mark
ahead of Fed policy next week.
Derivative Activity:
Nifty closed at 6155 mark while nifty December future closed at 5180 mark with premium of 25
points.
Nifty (Jan) Contract closed at 6234 level with premium of 79 points.
The cost of carry for December month contract placed at 14.83% vs. 15.6%, whereas total OI is
positioned at 27020700, where nifty December future adds 2% in open interest.
At the money option implied volatility placed at 18.23% vs. 15.93% mark.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
CESC
ARVIND
431
124.35
2.61%
3.15%
123000
984000
18%
18%
OFSS
3209.8
3.99%
25375
16%
GSKCONS
4491.15
0.38%
1250
15%
JPPOWER
18.25
-2.67%
1040000
8%
Scrips
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
TATACHEM
265
-1.36%
-112000
-9%
COALINDIA
287.1
0.95%
-743000
-8%
ADANIENT
259.45
3.84%
-292000
-7%
PFC
RELCAPITAL
153.1
361.95
3.97%
0.03%
-298000
-297000
-5%
-5%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

2. DERIVATIVE REPORT
17th 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.
 Writing is seen at 6300-6200 marks which accumulate 7.5 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 6200-6400 marks while shorts are built up at 6100-6000 mark.
 IndiaVix up by 2.91% which closed at 18.36 level.
 PCR OI stands at 0.96 mark while PCR volume stands at 0.91mark.
 VIX/PCR ratio stands at 19.12 level which shows indecisive stage among the traders.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

3. DERIVATIVE REPORT
17th December 2013
SWASTIKA INTELLIGENCE GROUP
TOATL VOLUME SUMMARY
FII STATISTICS Dec 16’13 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
277271
8402.1
503815
15722.9
594990
18322.58
4.15
-458.61
1738898
53303.39
1.50
STOCK
FUTURES
71.68
1162702
31801.51
0.14
INDEX
OPTIONS
2476664
76907.2
-29.28
51706
1371.25
1.01
STOCK
OPTIONS
263074
8631.25
-979.72
TOTAL
Values
-563.52
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
3548296.00
104798.73
6.81
F&O TOTAL
3520824
109663
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6400
6500
6100
Traded Qty.
16709250
15033800
9480850
5316900
2692150
Open Interest
6750650
3787400
4852250
5171850
1612650
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
TCS
RELIANCE
INFY
TCS
Strike
Price
1800
2100
860
3500
2050
Traded
Qty.
756250
438375
824750
382250
365375
Open
Interest
373750
486000
583000
108250
187375
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6100
6200
6000
5900
5800
Traded Qty.
13648650
12654950
8955150
4064600
3263600
Open Interest
4764000
3513900
5614550
3138900
2342200
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
INFY
SBIN
ICICIBANK
TATASTEEL
Strike
Price
1700
3400
1750
1100
400
Traded
Qty.
565250
379625
368000
518750
2043000
Open
Interest
231625
182125
116250
316750
1402000
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai

4. DERIVATIVE REPORT
17th 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
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