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DERIVATIVE REPORT

MAY 7th 2010


Nifty Sentiment Indicators Nifty may future added 26.54 lakh shares in OI, up 9.38%. NIFTY Future's
Put Call Ratio-Index Options 1.02 premium of 5 points has decreased to 3 points, down 0.51% at 5091. Annual
Put Call Ratio-Stock Options 0.28 volatility of 16.28 has decreased to 16.09.
Nifty June future added 0.95 lakh shares in OI, up 6.27%. NIFTY Future's
Volume premium of 5 points has decreased to 2.1points, down 0.54% at 5093.1.
BANKNIFTY may future shed 0.16 lakh shares from OI, down 1.73%.
Product 06.05.10 05.05.10 % Chg
BANKNIFT future's premium of 43 points was at par with the spot, down
Stock Futures 563702 615673 -8.44
0.0.2% at 9582. Annual volatility is at 20.72
Index Futures 784241 714820 9.71
Reliance, tata steel, sesagoa, suzlon and SBIN were the most active stocks on
Index Options 1872590 2126005 -11.92
yesterday's trade.
Stock Options 98380 105568 -6.81
Reliance May fut traded at a discount of 1 point witnessing 8.01% growth in
Total F&O 3318913 3562066 -6.83
OI. The stock was down 1.15% at 1006. Annual volatility is 30.35 and total
deliverable percentage as on 5th may was 38.5%.
Sesagoa May fut traded at a discount of 1.55 points recording 7.55%
Index Spot Future Basis expansion in OI. The stock was down 2.01% at 388. Annual volatility is 51.18
BANKNIFTY 9582 9582 - and total deliverable quantity is 21.71%.
Tata steel May fut traded at a premium of 1.6 point recorded 0.53% increase in
CNXIT 5867.9 5850 (18)
OI. The stock was up 0.53% at 578. Annual volatility is 41.85 and total
NIFTY 5091 5094 3 deliverable quantity is 29.43%.

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
ASHOKLEY 65.75 4.86 18947200.00 38.74 JINDALSTEL 664.40 -4.17 5882880.00 34.47
DABUR 187.30 1.41 745200.00 23.21 CROMPGREAV 254.25 -3.95 1503250.00 26.14
BANKBARODA 712.70 1.66 1960700.00 13.95 UNIONBANK 297.45 -2.11 1411200.00 13.13
SBIN 2318.65 1.64 3478728.00 12.32 ABB 698.35 -3.65 1882750.00 12.67
RANBAXY 462.80 3.27 4484800.00 11.16 PATNI 580.05 -2.12 1,216,800 12.36

Nifty Option Open Interest Distribution

On the call side nifty May 5200 call added 5.11 lakh shares in OI,
8,000,000 up 12.36% while nifty May 5100 call added 5.45 lakh shares in OI,
7,000,000
up 16.77%. On the put side nifty April 5000 put added 4.72 lakh
Open Interest

6,000,000
5,000,000
4,000,000
CMP CALL shares in OI, up 8.07% While 5100 put witnessed addition of 0.68
3,000,000 PUT lakh shares in OI, up 1.32% at the same time 4900 put witnessed
2,000,000 shedding in OI, down 0.18% or 0.11 lakh shares. The put-call ratio
1,000,000
0 of stock option decreased from 0.34 to 0.30 while put-call ratio of
index option increased from 0.94 to 1.16. On the whole the put call
 

 
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ratio was at 1.09 higher than 0.88 in the previous trading session.
30

50

70

90

10

30

50

70

90
 4

 4

 4

 4

 5

 5

 5

 5

 5

In the next few trading session benchmark index is likely to move


Strike Price
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 5100 -103 BUY 5100 -110


55 -45 63 -37
SELL 5200 58 SELL 5000 73

BUY 5200 -58 BUY 5000 -73


69 -31 74 -26
SELL 5300 27 SELL 4900 47

BUY 5100 -103 BUY 5100 -110


154 -46 137 -63
SELL 5300 57 SELL 4900 47

STOCK STRATEGY AS ON 7th MAY 2010 PAYOFF MATRIX

UNDERLYING ASSET SUZLON


5
CMP 71

PROFIT/LOSS
0
SELL SUZLON MAY 80 CA @ 0.85
STRATEGY 50 54 58 62 66 70 74 78 82 86 90 94
SELL SUZLON MAY 65 PA @ .80
-5
MAX LOSS UNLIMITED BELOW 63.35 AND ABOVE 81.65
-10
MAX PROFIT 1.65
-15
BEP 63.35/81.65
PRICE
LOT SIZE 3000

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 6/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 (5.45) HOLD
SELL NIFTY MAY 4800 PA @ 16
BUY RNRL MAY 65 PA @ 4.75
5/5/2010 RNRL (9.30) 1.50 BOOK PROFIT
BUY RNRL MAY 70 CA @ 4.55

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