DERIVATIVE REPORT

April 8th 2010

Nifty Sentiment Indicators Nifty April future added 7.37 lakh shares in OI, up 2.95%%. NIFTY Future
Put Call Ratio-Index Options 1.36 premium of 5 points has increased to 6.35 points, up 0.26% at 5381. The
Put Call Ratio-Stock Options 0.27 annual volatility declined from16.37 to 15.88.
Nifty may future added 5000 shares in OI, up 0.3%. NIFTY Future premium
Volume of 9 points has increased to 11.35 points, up 0.27% at 5386.
Product 7.04.10 6.04.10 % Chg BANKNIFTY April future added 0.92 lakh shares in OI, up 7.4%. BANKNIFT
Stock Futures 466559 456681 2.16 future premium of 3 points has converted into discount of 6 points, down
Index Futures 389460 295910 31.61 0.39% at 9687.
Index Options 1235166 995675 24.05 Reliance, dlf, ICICI bank, tata motors and tata steel were the most active
Stock Options 87255 76017 14.78 stocks on yesterday's trade.
Reliance April fut traded at premium of 1 point witnessing 4.38% spurt in OI.
Total F&O 2178440 1824283 19.41
The stock was up 0.79% at 1122.9. Annual volatility is 29.98 and total
deliverable percentage as on 5th April is 51.59%.
Icici bank April fut traded a discount of 1.8 points recording 5.57% expansion
Index Spot Future Basis in OI. The stock was down by 0.54% at 987.2. Annual volatility is 30.46 and
BANKNIFTY 9681.05 9687 6 total deliverable quantity is 58.16%.
CNXIT 5920.05 5950 30 Tata motors April fut traded at a discount of 16.85 points recorded 4.65%
increase in OI. The stock was up by 2.11% at 780.25. Annual volatility is 46.11
NIFTY 5375 5382 7 and total deliverable quantity is 38.32%.

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
ALBK 167.50 3.84 2476950 45.60 JISLJALEQS 1018.00 -3.13 28000 17.86
GAIL 431.25 3.45 3106125 38.07 FORTIS 172.55 -1.37 7345000 13.91
GRASIM 2895.90 2.47 696784 30.82 AXISBANK 1163.05 -1.05 3847050 12.08
GODREJIND 163.55 6.51 967200 27.96 GMRINFRA 60.85 -2.80 24780000 10.04
EKC 130.30 3.82 2534000 16.26 CESC 390.50 -1.75 845900 8.19

Nifty Option Open Interest Distribution

On the call side nifty april 5400 call added 5.28 lakh shares in OI,
10,000,000 up 18.3% while nifty april 5500 added 2.94 lakh shares in OI, up
6.16% meanwhile 5300 call after witnessed shading in OI in the
Open Interest

8,000,000
6,000,000 CALL last two trading days registered marginal addition in OI. On the
4,000,000 PUT put side nifty April 5300 put added 12.32 lakh shares in OI, up
2,000,000
CMP 18.96% While 5200 put witnessed addition of 8.93 lakh shares in
0 OI, up 11.81%.
 

The put-call ratio of stock option and index option increased from
00

00

00

00

00

00

00

00

00

00
0.

0.

0.

0.

0.

0.

0.

0.

0.

0.
10

30

50

70

90

10

30

50

70

90

0.24 to 0.27 and from 1.2 to 1.36 respectively. On the whole the put
 4

 4

 4

 4

 4

 5

 5

 5

 5

 5

Strike Price call ratio was at 1.24 higher than 1.08 in the previous trading
session.

In yesterday trade market remained very volatile swinging from positive to negative territory and finally closed marginally in green. Derivative
indicator again failed to show any confidence for further up move, nifty 5400 call witnessed very negligible addition in OI even 5500 call is not
showing major built up in OI. we thus believe that the index has 5400 as upper cap in the near term. On the other hand 5300 put witnessed 18%
addition in OI while 5200 put recorded 11.81% in OI indicating support around 5200 in the near term.

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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 -126 BUY 5400 -85

39 -61 65 -35
SELL 5400 65 SELL 5300 50

BUY 5400 -65 BUY 5300 -50

61 -39 77 -23
SELL 5500 26 SELL 5200 27

BUY 5300 -126 BUY 5400 -85

100 -100 142 -58
SELL 5300 26 SELL 5200 27

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 7/04/10 REMARK
BUY RELIANCE APRIL 1100 CA @ 33
29/.03/2010 RELIANCE (66.00) (7.00) HOLD
BUY RELIANCE APRIL 1100 PA @ 33
SELL NIFTY APRIL 5300 CA @ 88
30/03/2010 NIFTY 170.00 17.00 HOLD
SELL NIFTY APRIL 5200 PA @ 82
BUY DLF APRIL 320 CA @ 15.20
5/4/2010 DLF (9.10) 1.65 HOLD
SELL DLF APRIL 340 CA @ 6.10
BUY SUZLON APRIL 75 CA @ 3.1
6/4/2010 SUZLON (2.40) 0.00 HOLD
SELL SUZLON APRIL 85 CA @ 0.7

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