The derivative report provides a summary of derivative activity in the market on December 20th, 2013. Key points include: - FIIs were net buyers of stocks but sold index futures, reducing open interest. - Implied volatility declined sharply even as the index fell, indicating reduced downside risk. - Open interest increased the most for PTC, Relcaptal, and Relinfra stocks while declining the most for Powergrid, M&M, and MCDOWELL-N stocks. - On options, writing increased at the 6200 call level while open interest remained highest at 6300 calls and 6000 puts.

1. DERIVATIVE REPORT
20th December 2013
NIFTY VS OPEN INTEREST
Market Internals
 FII bought big amount of 2265cr in cash
market; including major figure of Powergrid
FPO but delivery based buying was there in IT
and Pharma names.
 DII were net seller in cash market by small
amount of -41cr.
 Long liquidation was seen in index future by FII
where they sold 574cr.
 Aggressive writing was seen at 6200 call option
front but there was option buying figure in FII
number, might be some short covering in puts.
 IndixVix cooled off sharply even nifty has fallen;
which indicates that downside risk is also low
in this series.
 US 10-yr treasury yield has risen to 2.9+ mark
and dollar index surged to 80.7+ mark which is
a worry for emerging market.
Derivative Activity:
Nifty closed at 6167 mark while nifty December future closed at 6178 mark with premium of 11
points.
Nifty (Jan) Contract closed at 6230 level with premium of 63 points.
The cost of carry for December month contract placed at 9.3% vs. 24%, whereas total OI is positioned
at 25385850, where nifty December future sheds 13% in open interest.
At the money option implied volatility placed at 14.39% vs. 17.71% mark.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
PTC
RELCAPITAL
64
344.85
0.63%
-4.59%
432000
948000
18%
14%
RELINFRA
414.85
-3.26%
420000
10%
BIOCON
430.6
-2.11%
243000
10%
APOLLOTYRE
89.4
0.28%
2596000
9%
Scrips
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
POWERGRID
99.65
-0.40%
-69988000
-51%
M&M
940.3
-1.18%
-543250
-22%
MCDOWELL-N
2648.25
1.92%
-1378375
-20%
KOTAKBANK
INDUSINDBK
724.15
423.3
-3.98%
-2.06%
-644500
-990000
-17%
-17%
OPTION DATA ANALYSIS:

2. DERIVATIVE REPORT
20th December 2013
OI CONCENTRATION CHART
CHANGE IN OI
ON CALL OPTION FRONT:
 On call option front highest open interest is positioned at 6300 mark which is important hurdle.
 Aggressive writing at 6200 mark which accumulated 19 lacs amount in open interest.
ON PUT OPTION FRONT:
 On put option front highest open interest is positioned at 6000 level which is base for this series.
 Not too much activity was seen on put option front.
 IndiaVix cooled off by 5.47% which closed at 16.58 level.
 PCR OI stands at 0.95 mark while PCR volume stands at 0.86mark.
 VIX/PCR ratio stands at 17.45 level which shows comfort among the bulls.
FII STATISTICS Dec 18’13 (IN RS. Cr.)
Product
Net
Open Interest

3. DERIVATIVE REPORT
20th December 2013
Contracts
584496
17937.60
-8.38
618.09
1865734
57259.58
3.55
-150.58
1122516
31396.58
-2.47
-69.20
58142
1557.66
6.57
-176.01
TOTAL
Change
(In %)
-574.32
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Values
3630888.00
108151.43
-0.74
DERIVATIVE FOLIO
TOATL VOLUME SUMMARY
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
578850
17486.5
STOCK
FUTURES
931543
26897.6
INDEX
OPTIONS
5448411
168220
STOCK
OPTIONS
400586
11673.3
7359390
224277
F&O TOTAL
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6200
6300
6400
6500
6100
Traded Qty.
33707550
32585900
16203650
8577700
6956800
Open Interest
5479950
7634500
4898800
4767200
2058450
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
SBIN
POWERGRID
RELIANCE
TCS
Strike
Price
1800
1750
100
860
2100
Report Prepared by
Traded
Qty.
1336750
972750
13656000
1655250
773000
Open
Interest
508125
212125
5160000
559750
338500
Designation
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6200
6100
6000
5900
6300
Traded Qty.
33453950
28605500
17183450
8190500
7536250
Open Interest
4542050
5517050
5798150
3238650
2517450
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
POWERGRID
SBIN
SBIN
RELIANCE
E-mail ID
Strike
Price
1700
95
1750
1650
840
Traded
Qty.
1212500
12378000
668250
436500
815250
Open
Interest
340375
6598000
112250
195875
384000

4. DERIVATIVE REPORT
20th December 2013
Santosh Meena
Derivative & Technical Analyst
santosh.meena@swastika.co.in
RESEARCH TEAM
Santosh Sahu
Amit Khare
Vishnu shreekar
Sonakshi Bahety
Saloni Gupta
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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