DERIVATIVE REPORT

Mar 31st 2010

Nifty Sentiment Indicators Nifty April future added 14.26 lakh shares in OI, up 5.97%%. NIFTY Future
Put Call Ratio-Index Options 0.99 premium has decreased to 3.05 points from 21 points at 5265.5, down 1%. The
Put Call Ratio-Stock Options 0.25 annual volatility declined marginally from 16.41 to 16.39.
Nifty may future added 0.63lakh shares in OI, up 4.69%. Future premium
Volume has declined to 7.55 points from 26 points at 5270, down 1.02%.
Product 30.03.10 29.03.10 % Chg BANKNIFTY April future added 0.81 lakh shares in OI, up 7.61%.
Stock Futures 392482 404890 -3.06 BANKNIFT future premium has increased to 20 from 14 points at 9490, down
Index Futures 427487 400376 6.77 0.42%.
Index Options 1216254 1120817 8.51 Reliance, dlf, state bank of india and tata motors were the most active stocks
Stock Options 52324 49106 6.55 on yesterday's trade.
Reliance April fut traded at premium of 7 points witnessing 9.04% growth in
OI. The stock was down 0.7% at 1092.
State bank of India April fut traded a premium of 3.25 points recording 1.74%
Index Spot Future Basis expansion in OI. The stock was down by .70% at 2084.
BANKNIFTY 9470.3 9490 20 Dlf April fut traded at a premium of 0.7 points recorded 4.94% increase in OI.
CNXIT 5917.75 5936 18 The stock was up by 2.84% at 309.30.
Tata motors April fut traded at a discount of 17.2 point with an OI increase of
NIFTY 5262 5266 3 5.4%. The stock was up by 1.8% at 739.95.

Increase in Open Interest and Increase in Price Increase in Open Interest and Decrease in Price
%Price %Price
Stocks Price Change Opn. Int (OI) %OI Change Stocks Price Change Opn. Int (OI) %OI Change

ASIANPAINT 2070.00 1.30 15800 27.42 EDUCOMP 734.00 -3.41 2449875 27.47
INFOSYSTCH 2658.00 -2.43 2623200 17.00
ANDHRABANK 106.05 1.48 3190100 10.43
TECHM 889.45 -2.09 1054200 14.54
NAGARCONST 165.50 2.45 1714000 9.87
LUPIN 1611.90 -2.57 373450 13.63
BGRENERGY 519.40 1.71 60800 7.80
OPTOCIRCUI 217.65 -2.44 1417800 13.38
TATAMOTORS 739.95 1.80 21607000 5.40

Nifty Option Open Interest Distribution

On the call side nifty april 5300 call added 10.29 lakh
6,000,000 shares in OI, up 28.26% while nifty april 5400 added
5,000,000
Ope n Inte re st

CMP 74.72 lakh shares in OI, up 10.73%. On the put side

4,000,000 nifty April 5300 put added 10.13 lakh shares in OI, up
CALL
3,000,000 33.47% While 5200 put witnessed addition of 6.16
2,000,000 PUT lakh shares in OI, up 14.11%.
1,000,000 Put-call ratio declined from 0.84 to 0.94 during the
0 yesterday trade.
Market is facing stiff resistance around 5300, not
 

 
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gaining sufficient momentum to close above this

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30

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70

90

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70

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level in the last two trading session. in the next few

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trading session benchmark index may move in the

Strike Price
range of 5100 to 5400.

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DERIVATIVE REPORT
NIFTY BULLISH CALL SPREAD NIFTY BEARISH PUT SPREAD
ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS

BUY 5300 -88 BUY 5200 -82

59 -41 71 -29
SELL 5400 47 SELL 5100 53

BUY 5400 -47 BUY 5100 -53

74 -26 81 -19
SELL 5500 21 SELL 5000 34

BUY 5300 -88 BUY 5200 -82

133 -67 152 -48
SELL 5500 21 SELL 5000 34

STOCK STRATEGY AS ON 31st MAR 2010 PAYOFF MATRIX

UNDERLYING ASSET RELIANCE

200
CMP 1094
150
SELL NIFTY APRIL 5300 CA @ 88
STRATEGY

PROFIT/LOSS
100
SELL NIFTY APRIL 5200 PA @ 82
50
MAX LOSS UNLIMITED BELOW 5030 AND ABOVE 5430 0

MAX PROFIT 170 -504900 4960 5020 5080 5140 5200 5260 5320 5380 5440 5500 5560
-100
BEP 5030/5430
-150
LOT SIZE 50
PRICE

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY OUTFLOW/INFLOW 30/03/10 REMARK
BUY RELIANCE APRIL 1100 CA @ 33
29/.03/2010 RELIANCE (66.00) (1.20) HOLD
BUY RELIANCE APRIL 1100 PA @ 33

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