The Nifty futures closed at 6045.85, up 2.37% from the previous day. Trading volumes increased across various derivative segments like index futures, stock futures, index options and stock options. The put call ratios for Nifty and Bank Nifty options were 1.56 and 1 respectively. Open interest increased for several stocks as their prices declined, while open interest rose for some stocks when their prices increased. Overall open interest increased most for sectors like construction, finance, IT and pharmaceuticals. The document provides analysis of most actively traded stock options and calls and puts on the Nifty. It also includes a proposed options strategy and tracker of past strategies.

1. 21 October 2013
Daily Derivative Report
NIFTY FUTURE : 6045.85
+143.50
2.37%
NIFTY FUTURE HIGHLIGHTS
Nifty Sentiment Indicators
Put Call Ratio-Nifty Options
1.56
Put Call Ratio-Bank Nifty Options
1
17.10.13
Volume
18.10.13
% Chg
Index Futures
401089
523298
30.47%
Stock Futures
597886
594391
-0.58%
Index Options
3278747
4048073
23.46%
Stock Options
366338
360382
-1.63%
4644060
5526144
18.99%
Index
Spot
Future
Basis
NIFTY
6,189.35
6,205.25
16
10,744.90
10,794.20
49
8,893.85
8,915.00
Nifty October 2013 futures closed at 6205.25 on Friday at a premium of 15.90
points over spot closing of 6,189.35, while Nifty November 2013 futures ended
at 6259.55 at a premium of 70.20 points over spot closing. Nifty October
futures saw contraction of 0.41 million (mn) units taking the total outstanding
open interest (OI) to 18.81 mn units. The near month October 2013 derivatives
contract will expire on October 31, 2013.
From the most active contracts, JP Associates October 2013 futures last traded
at a premium of 0.05 points at 47.10 compared with spot closing of 47.05. The
number of contracts traded was 23,463.
Tata Steel October 2013 futures were at a premium of 1.15 points at 330.15
compared with spot closing of 329.00. The number of contracts traded was
25,324.
Yes Bank October 2013 futures last traded at a premium of 1.80 points at 348.50
compared with spot closing of 346.70. The number of contracts traded was
18,038.
ICICI Bank October 2013 futures were at a premium of 4.55 points at 1014.60
compared with spot closing of 1010.05. The number of contracts traded was
24,137.
21
Product
Total F&O
BANK NIFTY
CNXIT
Increase in Open Interest with Decrease in price
Increase in Open Interest with Increase in price
Symbol
Last price
Chg (%)
Increase (%)
OI
Symbol
Last price
Chg (%)
Increase (%)
OI
('000')
('000')
ADANIPORTS
153.55
1.76
2926
9.75
ASIANPAINT
486.25
-0.37
4857.5
10.74
SSLT
196.15
6.03
17516
9.53
GLENMARK
560.95
-0.66
221.5
9.93
PETRONET
127.75
1.75
1858
8.91
EXIDEIND
130.3
-0.08
2518
8.16
IOC
200.9
1.21
2767
8.51
SRTRANSFIN
554.8
-0.75
1220
RELINFRA
423.2
3.26
4451
8.46
BIOCON
330.15
-0.06
1993
6.46
5.45
Industry
OI
OI Change(%)
AUTO
BANKS
CONSTRUCTION
FINANCE
FMCG
IT
MEDIA & ENT
METALS
OIL & GAS
PHARMACEUTICALS
POWER
44167250
173931000
313803000
49606750
24905500
22938250
4776000
76618000
46880250
42441500
91619000
-0.01
1.4
2.05
1.62
0.78
2.08
-5
-0.78
1.83
1.4
0.77
CP
350000000
300000000
250000000
200000000
150000000
100000000
50000000
CO
AU
TO
NS BA
NK
TR
UC S
TIO
FIN N
AN
CE
FM
CG
M
ED
IA IT
&
EN
M T
ET
PH
AR OIL ALS
M
&
AC G
EU AS
TIC
A
PO LS
W
ER
0
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2. Daily Derivative Report
NIFTY OUTLOOK :Nifty gained 143.50 points in last session closing at the high since
november 2011 on the back on the back of strong IT and bank
sector . For the upcoming session market seems bullish, however
6245/6296 could be its crucial resistance levels. On the flip side
6105/6032 could be its near term supports levels.
MOST ACTIVE CALLS
Symbol
Expiry Date Strike Price
MOST ACTIVE PUTS
Contracts
Open
Traded
Interest
Symbol
Contracts
Open
Traded
Expiry Date Strike Price
Interest
NIFTY
31-Oct-13
6200
26483950
3820200
NIFTY
31-Oct-13
6100
22336700
4576150
NIFTY
31-Oct-13
6300
18996650
4752300
NIFTY
31-Oct-13
6000
20550450
5979350
NIFTY
31-Oct-13
6100
14087300
3185200
NIFTY
31-Oct-13
5900
14584600
4723000
NIFTY
31-Oct-13
6400
10829000
4123950
NIFTY
31-Oct-13
6200
9964700
3011750
NIFTY
31-Oct-13
6500
4602800
2411700
NIFTY
31-Oct-13
5800
9022900
4511700
NIFTY
31-Oct-13
6000
3012550
2840200
NIFTY
31-Oct-13
5700
5462950
6295650
NIFTY
31-Oct-13
6600
982300
749900
BANKNIFTY
31-Oct-13
11000
855100
311850
NIFTY
31-Oct-13
5600
4110000
4146550
NIFTY
31-Oct-13
5900
673050
1928600
NIFTY
31-Oct-13
5500
2190500
4303100
N E T IN F L O W
OPTION STRATEGY AS ON 07 OCTOBER 2013
UNDERLYING
200
ASSET
NIFTY
CMP
5906.15
STRATEGY
MAX LOSS
MAX PROFIT
LOT SIZE
250
SELL NIFTY OCTOBER
SELL NIFTY OCT. 5800 PA @ 100
UNLIMITED
150
100
50
0
-5 0
206.15
2
3
4
5
6
7
8
-1 0 0
50
1
-1 5 0
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3. Daily Derivative Report
STRATEGY TRACKER
DATE OF
UNDERLYING
STRATEGY
ASSET
30/9/2013
NIFTY
10/8/2013
NIFTY
2/8/2013
NIFTY
21/8/12013
NIFTY
STRATEGY
SELL NIFTY OCTOBER. FUTURE
SELL NIFTY OCT.5700 PUT@ 95.00
SELL NIFTY AUGUST 5500 PUT@76.10
SELL NIFTY AUGUST 5900 CALL@ 84
SELL NIFTY SEPT. FUTURE
SELL NIFTY SEPT. 5300 CALL@ 138.05
BUY NIFTYAUGUST FUTURE
SELL NIFTY AUGUST 5300 CALL@ 85.00
IN/OUT FLOW
NET PROFIT/ LOSS
REMARK
AS ON 30/09/2013
95
55.85
BOOK PARTIAL PROFIT
170.1
75.30
BOOK FULL PROFIT
138.05
85.20
BOOK PARTIAL PROFIT
85
43.90
BOOK PARTIAL PROFIT
NAME
DESIGNATION
E-MAIL
Varun Gupta
Head - Research
varungupta@moneysukh.com
Mohit Taneja
Research Analyst
mohit.t@moneysukh.com
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SEBI Regn No. BSE: INB010985834 /230781431, DP: IN-DP-CDSL-73-2000, INDP-NSDL-140-2000
PMS Regn No. INP000002387
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