This document summarizes a derivative report from Swastika Intelligence Group dated August 28th, 2014. Some key points: 1) FIIs were net buyers of Indian stocks while DIIs were net sellers. The Nifty closed at 7936 with the August future closing at 7931.4, a discount of 4.4 points. 2) Writing activity on 7900 put options indicated the Nifty was unlikely to fall below that level. Calls saw writing at the 8000 strike. 3) The VIX/PCR ratio of 13.06 showed high confidence among bullish traders. Banking, Hindalco and Lupin saw major reductions in open interest.

1. DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 28th
August 2014
Visit us at: - www.swastika.co.in
 FII’s are continuously buyer in cash market
where they bought 290cr on yesterday’s trading
session while DII’s were net seller by amount of
237cr in cash market.
 FII’s bought 438cr in index future with 18% rise
in open interest shows that they rollover most of
their position in long side where we saw 54%
rollover in nifty future in yesterday’s session.
 VIX/PCR ratio is near 13.06 mark which shows
high degree of confidence among the bulls.
 On option front 7900 level put written
aggressively which is showing nifty is not likely
to fall below 7900 mark.
 Technically there is no problem with trend till
nifty trades above 7840 mark.
 In this series Auto sector was the leader which
shows real fundamental of economy; hence
outperformance is likely to continue in the
market.
 Dollar index cooled off little bit from 82.7 mark.
OPEN INTEREST GAINERS
Scrips Price % Price Change Open Interest (Change) % OI Change
DABUR 232.8 2.37% 142000 6%
- - - - -
- - - - -
- - - - -
- - - - -
OPEN INTEREST LOOSERS
Scrips Price % Price Change Open Interest (Change) % OI Change
BANKINDIA 281.7 0.05% -5272000 -63%
HINDALCO 172.35 0.94% -10956000 -62%
LUPIN 1287.6 0.04% -1769750 -58%
NHPC 20.9 -0.24% -25152000 -56%
MCLEODRUSS 302.55 2.28% -548000 -55%
Derivative Activity:
 Nifty closed at 7936 mark while Nifty August future closed at 7931.6 mark with discount of 4.4
points.
 Nifty (Sep) Contract closed at 7973 level with premium of 37 points.
 The cost of carry for September month contract placed at 6.08% where nifty September future adds
65% in open interest where we saw 54% rollover in Nifty future.
 At the money option implied volatility placed at 12.035% vs. 11.9%.
NIFTY VS OPEN INTEREST Market Internals

2. DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 28th
August 2014
Visit us at: - www.swastika.co.in
OPTION DATA ANALYSIS:
CALL OPTION HIGHLIGHTS:
 On call option front highest open interest is positioned at 8000 mark which is a major resistance for
this series.
 Further writing was taken place at 8000 mark which accumulated 7lacs amount in open interest.
PUT OPTION HIGHLIGHTS:
 On put option front highest open interest has been shifted to 7900 mark which will act as a strong
support.
 Yesterday also 7900 level saw aggressive writing with adding 12lacs amount in open interest.
CHANGE IN OIOI CONCENTRATION CHART
 IndiaVix was down by 6% which closed at 13.06 level.
 PCR OI placed unchanged at 0.99 mark while PCR volume stands at 1.08 mark.
 VIX/PCR ratio stands at 13.2 level which shows high degree of confidence among bulls.

3. DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 28th
August 2014
Visit us at: - www.swastika.co.in
FII STATISTICS August 27’14 (IN RS. Cr.)
Product Net
Open Interest
Contracts Values
Change
(In %)
INDEX
FUTURES
437.81 348830 13859.89 18.30
INDEX
OPTIONS
-18.78 1833655 72718.05 2.26
STOCK
FUTURES
205.47 1432066 51922.47 0.66
STOCK
OPTIONS
-94.22 87401 3275.80 -3.07
TOTAL 530.27 3701952.00 141776.20 18.15
TOATL VOLUME SUMMARY
Product
No of
Contracts
Traded Value (Crs)
INDEX
FUTURES
471536 18693.3
STOCK
FUTURES
1321012 49653.1
INDEX
OPTIONS
5050730 200206
STOCK
OPTIONS
379225 14761.5
VoI Future 0 0
F&O TOTAL 7222503 283314
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION MOST ACTIVE NIFTY PUT OPTION
Symbol Strike Price Traded Qty. Open Interest Symbol Strike Price Traded Qty. Open Interest
NIFTY 8000 30681450 10432850 NIFTY 7900 40014150 5959500
NIFTY 7900 26907950 5331000 NIFTY 7800 18693600 5369450
NIFTY 7950 19662200 2903250 NIFTY 7850 11862150 2424700
NIFTY 8050 5198550 1491900 NIFTY 7950 10896800 1725250
NIFTY 7800 3571950 2030100 NIFTY 8000 8710300 922750
MOST ACTIVE STOCK CALL OPTION MOST ACTIVE STOCK PUT OPTION
Symbol
Strike
Price
Traded
Qty.
Open
Interest
Symbol
Strike
Price
Traded
Qty.
Open
Interest
SBIN 2550 1045500 302625 SBIN 2500 1084500 256000
SBIN 2500 765500 353250 DLF 180 9546000 1616000
RELIANCE 1000 1422000 1104500 TCS 2500 393375 118750
DLF 190 8996000 1572000 INFY 3600 378250 127875
INFY 3650 509500 136375 SBIN 2480 314500 69750

4. DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 28th
August 2014
Visit us at: - www.swastika.co.in
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Report Prepared by Designation E-mail ID
Santosh Meena Derivative & Technical Analyst santosh.meena@swastika.co.in
RESEARCH TEAM SWASTIKA INTELLIGENCE GROUP research@swastika.co.in
Amit Khare Commodity Analyst amit.khare@swastika.co.in
Sonakshi Bahety Research Associate Sonakshi.bahety@swastika.co.in
Saloni Gupta Research Associate Salony.gupta@swastika.co.in
Sayyam Neema Research Associate Sayyam.neema@swastika.co.in