DERIVATIVE REPORT

MAY 14th 2010

Nifty Sentiment Indicators Nifty may future added 13.75 lakh shares in OI, up 5%. NIFTY Future's
Put Call Ratio-Index Options 1.01 discount of 7 points has converted into premium of 4.3 points, up 0.64% at
Put Call Ratio-Stock Options 0.35 5183.2. Annual volatility was at 21.99.
Nifty June future added 1.53 lakh shares in OI, up 0.65%. NIFTY Future's
Volume discount of 9 points has converted into discount of 4.5 points, up 0.65% at
5183.5.
Product 13.05.10 12.05.10 % Chg
BANKNIFTY may future added 1.21 lakh shares in OI, up 10.95%.
Stock Futures 487095 515734 -5.55
BANKNIFT future's discount of 16 points has converted into discount of 15
Index Futures 548632 734777 -25.33
points, up 0.53% at 9758. Annual volatility is at 28.58.
Index Options 1704362 2010114 -15.21
Reliance, tata steel, Bharti airtel, tata motors and SBIN were the most active
Stock Options 99436 101731 -2.26
stocks on yesterday's trade.
Total F&O 2839525 3362356 -15.55
Reliance May fut traded at a premium of 4 point witnessing 2.11% addition in
OI. The stock was down 0.79% at 1077. Annual volatility is 36.36 and total
deliverable percentage as on 13th may was 35.02%.
Index Spot Future Basis Tata steel May fut traded at a premium of 0.2 points recording 6.78%
BANKNIFTY 9773.35 9758 (15) expansion in OI. The stock was down 1.48% at 576.6. Annual volatility is 51.96
and total deliverable quantity is 11.05%.
CNXIT 5922.6 5899 (24)
Tata motors May fut traded at a premium of 2.5 point recorded 6.69% increase
NIFTY 5179 5183 4 in OI. The stock was up 3.06% at 829.8. Annual volatility is 55.61 and total
deliverable quantity is 18.04%.

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 67.05 2.68 18889900 21.80 IDEA 54.55 -8.40 42079500 25.17
RECLTD 273.55 3.81 3636750 18.04 BHARTIARTL 263.00 -8.01 24337500 16.88
PATNI 567.90 1.25 1153100 16.71 STER 723.00 -1.11 8107380 9.71
UNIONBANK 302.15 3.28 1504650 16.69 EDUCOMP 621.00 -1.61 3171375 9.22
AXISBANK 1272.40 2.16 4362750 12.51 ONMOBILE 338.40 -4.50 472450 7.51

Nifty Option Open Interest Distribution

10,000,000 On the call side nifty May 5200 call added 5.01 lakh shares in OI,
Ope n In te re st

8,000,000 up 7.74% while nifty May 5300 call added 6.24 lakh shares in OI,
6,000,000 CMP CALL up 8.54%. On the put side nifty April 5200 put added 9.7 lakh
4,000,000 PUT shares in OI, up 16.27% While 5100 put witnessed addition of 4.8
2,000,000 lakh shares in OI, up 7.03%. The put-call ratio of stock option
0 decreased from 0.37 to 0.35 while put-call ratio of index option
decreased from 1.02 to 1.01. On the whole the put call ratio was at
 

 
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0.95. In the next few trading session benchmark index is likely to

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move in the range of 5000-5200.

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Strike Price

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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 -72 BUY 5200 -92

58 -42 64 -36
SELL 5300 30 SELL 5100 56

BUY 5300 -30 BUY 5100 -56

80 -20 79 -21
SELL 5400 10 SELL 5000 35

BUY 5200 -72 BUY 5200 -92

138 -62 143 -57
SELL 5400 10 SELL 5000 35

STOCK STRATEGY AS ON 14th MAY 2010 PA YOFF MA TRIX

UNDERLYING ASSET TATAMOTORS
100
BUY TATA MOTORS MAY FUTURE @ 830

PROFIT/LOSS
STRATEGY
BUY TATA MOTORS MAY 820 PA @ 19.7
50

MAX LOSS 36 BELOW 820

0
MAX PROFIT UNLIMITED ABOVE 849.7 780 810 840 870 900
-50
BEP 849.7
PRICE
LOT SIZE 850

STRATEGY TRACKER
DATE OF PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW 13/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 7.15 BOOK PROFIT
SELL NIFTY MAY 4800 PA @ 16
BUY RNRL MAY 65 PA @ 4.75
5/5/2010 RNRL (9.30) 7.05 BOOK PROFIT
BUY RNRL MAY 70 CA @ 4.55
SELL SUZLON MAY 80 CA @ 0.85
7/5/2010 SUZLON 1.65 (0.10) HOLD
SELL SUZLON MAY 65 PA @ 0.80
BUY ICICIBANK MAY FUTURE @ 922
11/5/2010 ICICIBANK (14.00) 3.40 BOOK PROFIT
BUY ICICIBANK MAY 900 PA @ 14
SELL TATASTEEL MAY 620 CA @ 7.85
12/5/2010 TATA STEEL 16.35 2.00 HOLD
SELL TATASTEEL MAY 540 PA @ 8.5
BUY BHARTIARTL MAY 260 PA @ 9.6
13/5/2010 BHARTIARTL (8.60) 1.00 HOLD
SELL BHARTIARTL MAY 220 PA @ 1

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