12th December, 2013

CA. Vinit Pagaria, CFA, FRM

E-mail: vpagaria@microsec.in

⇒ The Nifty moved in a very narrow range of 6280-6320 on Wednesday. A breach of 6270 could see the index drifting lower up to 6150 in the short term while on the upside a move beyond 6350 is required to ensure that the short term uptrend is still intact

⇒ Nifty Call options of strike 6500 had a build up of 7,360 lots while Nifty Put options of strike 6300 added 8,879 lots to open interest

⇒ Nifty December Put Call ratio (OI) stands at 1.15 with the total open interest in Call options at 760,405 lots and that in Put options at 874,202 lots

⇒ Infosys Technologies, HCL Tech, Hindalco Industries and Shriram Transport Fi-nance appear relatively strong while GAIL, NMDC, Glenmark Pharma, Bharti Airtel, PNB and Crompton Greaves appear weak

⇒ Volatility Index fell by 2.44% from 17.98 to 17.54

H IGHLIGHTS

DECEMBER FUTURE

Price: 6343.45 (-0.41%)

Premium: 35.55

Open Int: 22038400 (+0%)

JANUARY FUTURE

Price: 6395.75 (-0.43%)

Premium: 87.85

Open Int: 3770500 (+4%)

♦ Short Hindustan Petroleum Future

Sell Dec Future @ Rs 229/- Target: Rs 214/- SL: 241/- Lot Size: 1000

♦Long Crompton Greaves Put option

Buy Dec 130 Put option @ Rs 2.75 Target: Rs 6/- Lot Size: 4000

N IFTY S2 S1 PIVOT R1 R2

P IVOT POINTS 6259 6283 6305 6330 6351

DERIVATIVE STRATEGY

ANALYSIS OF FUTURES & OPTIONS MARKET

12th Dec 2013

N IFTY DAILY CHART

PAGE 3 DERIVATIVE STRATEGY

Scrip/Index: Crompton Greaves

Strategy: Long Put option

Current Price of Underlying: Rs 130.25 Lot Size: 4000

Long December 130 Call option @ Rs 2.75

Profitable when closing price is below Rs 127.25 on expiry

Maximum Potential Profit: Unlimited Maximum Possible Loss: Rs 11,000/-

Time to Expiry: 15 days

OPTION STRATEGY

Pay-off Chart

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

30000

35000

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

Closing price of underlying on expiry

Profit/Loss

PAGE 4 DERIVATIVE STRATEGY

STOCK FUTURES - NIFTY STOCKS

PAGE 5 DERIVATIVE STRATEGY

STOCK FUTURES - SECTORAL ANALYSIS

PAGE 6 DERIVATIVE STRATEGY

Contract Price %

Change

Volume

Spot

%

Change

Open

Interest

Absolute

Change

%

Change

MRF Ltd 19115.95 3.25 39247 23.98 53875 10750 24.93

Godrej Industries 271.55 0.13 404699 20.62 1145000 172000 17.68

Siemens Ltd 650.80 0.72 600841 -34.41 1190000 175500 17.30

Coal India 288.90 1.07 3870213 41.36 9811000 667000 7.29

ICICI Bank 1158.35 0.00 3287153 -40.32 11029250 624500 6.00

Ashok Leyland 17.00 1.49 5697212 11.24 19113000 1089000 6.00

Scrip Lot

Size

Spot

price

%

Change

MRF Ltd 125 19115.95 3.25

Dish TV 4000 62.00 2.99

UPL Ltd 2000 183.85 2.65

Dabur India 2000 169.15 2.58

NTPC Ltd 2000 139.25 2.35

Scrip Lot

Size

Spot

Price

%

Change

JSW Energy 4000 54.70 -5.03

Voltas Ltd 4000 117.55 -4.97

Petronet LNG 2000 127.95 -3.80

Adani Enterprises 1000 266.75 -3.75

OBC 1000 215.85 -3.64

Contract Price %

Change

Volume

Spot

%

Change

Open

Interest

Absolute

Change

%

Change

Voltas Ltd 117.55 -4.97 7248442 -2.46 6216000 -1228000 -16.50

NTPC Ltd 139.25 2.35 17056960 -73.89 23414000 -3428000 -12.77

Bharat Forge 311.65 -2.87 176366 -86.28 1497000 -93000 -5.85

Hindustan Zinc 133.50 -1.58 1520569 -80.67 5252000 -310000 -5.57

NMDC Ltd 139.85 -1.44 2524811 -24.92 11184000 -628000 -5.32

TOP PRICE GAINERS (STOCKS)

SIGNIFICANT OPEN INTEREST ADDITIONS (STOCKS)

SIGNIFICANT OPEN INTEREST REDUCTIONS (STOCKS)

TOP PRICE LOSERS (STOCKS)

PAGE 7 DERIVATIVE STRATEGY

OPTIONS OPEN INTEREST CONCENTRATION

PAGE 8 DERIVATIVE STRATEGY

OPTIONS ANALYSIS

PAGE 9 DERIVATIVE STRATEGY

MOST ACTIVE FUTURE CONTRACTS

Name Expiry Date Price Volume

(Contracts) Turnover

(Rs lacs)

Value of

Underlying

NIFTY FUTURE 26 DEC 13 6356.40 198742 629281 6307.90

SBIN FUTURE 26 DEC 13 1817.00 36253 82403 1804.00

TATASTEEL FUTURE 26 DEC 13 421.65 15543 65537 421.00

AXISBANK FUTURE 26 DEC 13 1288.90 19275 61115 1282.00

ICICIBANK FUTURE 26 DEC 13 1175.50 19742 57217 1169.00

TATAMOTORS FUTURE 26 DEC 13 380.40 13522 51709 377.50

MOST ACTIVE NIFTY OPTION CONTRACTS

Contract Price

(Premium)

Volume

(No. of Lots)

Turnover

(Rs lacs) Delta Gamma Theta Vega

DEC CE 6400 60.00 396663 1279657 0.4032 0.1163 -3.2376 4.9843

DEC PE 6300 57.35 310378 988354 -0.4035 0.1254 -1.9301 4.9854

DEC PE 6200 29.70 249805 779039 -0.2384 0.0933 -1.8134 3.9872

DEC CE 6500 26.55 236291 770624 0.2286 0.0950 -2.3240 3.8951

DEC CE 6300 112.80 198843 636398 0.5862 0.1103 -3.6604 5.0154

DEC PE 6100 14.75 159549 488172 -0.1303 0.0597 -1.3900 2.7276

Name & Month Strike Price No. of

contracts

SBIN Dec 1900 21.00 8391

SBIN Dec 1850 36.80 5991

Tata Motors Dec 400 4.50 2010

NTPC Dec 140 3.25 2358

Reliance Dec 900 11.20 2857

Name & Month Strike Price No. of

contracts

SBIN Dec 1800 42.05 5787

SBIN Dec 1700 12.55 4464

Tata Steel Dec 420 10.35 1645

SBIN Dec 1750 24.00 2617

Tata Steel Dec 400 4.20 1249

MOST ACTIVE STOCK CALLS (VALUE) MOST ACTIVE STOCK PUTS (VALUE)

DERIVATIVE STRATEGY PAGE 10

Disclaimer

The trading ideas discussed or recommended in this report may not be suitable for all investors. Investors should use this research as one input into formulating an investment opinion. Additional inputs should include, but are not limited to, the review of other. This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation. Microsec Capital Limited is not responsible for any error or inaccuracy or for any losses suffered on account of information contained in this report. This report does not purport to be offer for purchase and sale of share/ units. We and our affiliates, officers, directors, and employees, including persons involved in the preparation or issuance of this material may: (a) from time to time, have long or short positions in, and buy or sell the securities thereof, of company (ies) mentioned herein or (b) be engaged in any other transaction involving such securities and earn brokerage or other compensation discussed herein or act as advisor or lender or borrower to such company (ies) or have other potential conflict of interest with respect to any recommendation and related information and opinions. The same persons may have acted upon the information contained here. No part of this material may be duplicated in any form and/or redistributed without Microsec Capital Limited’ prior written consent.

FII ACTIVITY

FOR PRIVATE CIRCULATION ONLY

* Source: www.nseindia.com (FII trades done on Exchanges)

F&O Open Interest (Rs Crs)

(11 Dec 2013)

52817.06,

50.60%

32143.08,

30.79%

1279.42,

1.23%

18140.75,

17.38%

Index Futures Index Options

Stock Futures Stock Options

FII Flows

864

-18

-734

-316 -3

8

2473

1945

1760

25

7

396

183

-1461

-691

-18

963

87

-168

-492

3

-2000

-1500

-1000

-500

0

500

1000

1500

2000

2500

3000

Cash

Market

Index

Futures

Index

Options

Stock

Futures

Stock

OptionsAmount in Rs Crores

6th Dec 9th Dec 10th Dec 11th Dec