DERIVATIVE REPORT

MAY 5th 2010

Nifty Sentiment Indicators Nifty may future added 33.50 lakh shares in OI, up 12.70%. NIFTY Future is
trading at a discount of 17.8 points, down 1.68% at 5130.70. Annual volatility
Put Call Ratio-Index Options 0.94
15.71
Put Call Ratio-Stock Options 0.88
Nifty June future added 1.85 lakh shares in OI, up 14.41%. NIFTY Future is
Volume trading at a discount of 15.5 points, down 0.52% at 5235.
BANKNIFTY may future added 0.35 lakh shares from OI, down 3.07%.
Product 04.05.10 03.05.10 % Chg BANKNIFT future is trading at a discount of 7.5 points, up 1.59% at 9616.5.
Stock Futures 504432 405819 24.30 Annual volatility is at 21.34
Index Futures 570849 349631 63.27 Reliance, tata steel, sesagoa, icicibank and RNRL were the most active stocks
Index Options 1579808 1086037 45.47 on yesterday's trade.
Stock Options 112958 82976 36.13 Reliance May fut traded at a discount of 2.65 point witnessing 4.08% growth
Total F&O 2768047 1924463 43.83 in OI. The stock was down 0.48% at 1016.55. Annual volatility is 48.01 and
total deliverable percentage as on 3rd April was 48.01%.
icicibank May fut traded at a premium of 1.2 points recording 8.16%
Index Spot Future Basis expansion in OI. The stock was down 2.28% at 917.20. Annual volatility is
36.01 and total deliverable quantity is 42.63%.
BANKNIFTY 9623.7 9616 (8)
Tata steel May fut traded at a premium of 0.8 point recorded 8.15% increase in
CNXIT 5871.8 5849 (23) OI. The stock was down 5.63% at 573.70. Annual volatility is 37.40 and total
NIFTY 5149 5131 (18) deliverable quantity is 26.10%.

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
PATNI 560.00 4.06 800800.00 27.80 FEDERALBNK 287.00 -2.03 737817.00 28.44
HCLTECH 398.95 2.02 2522000.00 19.02 JINDALSTEL 711.20 -3.11 4993920.00 28.29
PNB 1032.50 0.38 1792500.00 4.51 ULTRACEMCO 932.00 -3.01 1291200.00 18.16
HINDUNILVR 231.80 0.19 22402000.00 2.30 SAIL 209.35 -4.38 8604900.00 16.53
HDFC 2813.70 0.17 1943100.00 7.22 STER 772.05 -4.59 6,497,292 15.85

Nifty Option Open Interest Distribution

On the call side nifty May 5300 call added 7.94 lakh shares in OI,
8,000,000 up 12.58% while nifty May 5400 call added 3.66 lakh shares in OI,
7,000,000 up 6.53% mean while 5200 call witnessed highest addition in OI,
Ope n In te re st

6,000,000
5,000,000 CMP CALL
up 55.71% or 14.66 lakh shares. On the put side nifty April 5100
4,000,000 put added 3.50 lakh shares in OI, up 6.71% While 5000 put
3,000,000 PUT
2,000,000 witnessed addition of 3.95 lakh shares in OI, up 8.49% at the same
1,000,000 time 5200 put witnessed shedding in OI, down 0.46% or 0.34 lakh
0
shares. The put-call ratio of stock option increased from 0.31 to
 

0.34 while put-call ratio of index option decreased from 1.05 to

00

00

00

00

00

00

00

00

00
0.

0.

0.

0.

0.

0.

0.

0.

0.
30

50

70

90

10

30

50

70

90

0.94. On the whole the put call ratio was at 0.88 lower than 0.95 in
 4

 4

 4

 4

 5

 5

 5

 5

 5

the previous trading session. In the next few trading session

Strike Price
benchmark index is likely to move in the range of 5000 to 5200.

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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 5200 -73 BUY 5100 -98

64 -36 68 -32
SELL 5300 37 SELL 5000 66

BUY 5300 -37 BUY 5000 -66

78 -22 77 -23
SELL 5400 15 SELL 4900 43

BUY 5200 -73 BUY 5100 -98

142 -58 145 -55
SELL 5400 15 SELL 4900 43

STOCK STRATEGY AS ON 5th MAY 2010 PAY OF F M ATR IX

UNDERLYING ASSET RNRL 20

CMP 67 15

BUY RNRL MAY 65 PA @ 4.75

PROFIT/LOSS
10
STRATEGY BUY RNRL MAY 70 CA @ 4.55 5
0
MAX LOSS UNLIMITED ABOVE 79.3 AND BELOW 55.7
-5 50 53 56 59 62 65 68 71 74 77 80 83 86
MAX PROFIT UNLIMITED -10

BEP 55.7/79.3 -15

PR IC E
LOT SIZE 3576

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 5/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 (3.75) HOLD
SELL NIFTY MAY 4800 PA @ 16

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