DERIVATIVE REPORT

JUNE 22nd 2010 Nifty june future shed 0.99 lakh shares in OI, down 0.36%. NIFTY Future is
trading at a discount of 19 points, up 1.77 at 5334. Annual volatility was at
Nifty Sentiment Indicators 25.13.
Put Call Ratio-Index Options 1.07 Nifty July future added 35.98 lakh shares in OI, up 63.83%. NIFTY Future is
Put Call Ratio-Stock Options 0.38 trading at a premium of 7 points, up 1.82% at 5360.8.
BANKNIFTY june future shed 0.45 lakh shares from OI, down 2.35%.
Volume BANKNIFT future is trading at discount of 5.4 points, up 2.26% at 9753.8.
Product 18.06.10 21.06.10 % Chg Annual volatility is at 28.02. Banknifty july future is trading at discount of 7
Stock Futures 739143 871065 17.85% points adding 1.8 lakh shares in OI, up 109.86%. the index was up 2.29% at
Index Futures 601993 720715 19.72% 9751.
Index Options 2199447 2725795 23.93% Icici bank, reliance, tata steel, sesagoa and unitech were the most active stocks
Stock Options 139445 114074 -18.19% on yesterday's trade.
Total F&O 3680028 4431649 20.42% Sesagoa June fut traded at a discount of 1.25 points witnessing 7.58% surge in
OI. The stock was up 9.26% at 386.25. Annual volatility is 66.37 and total
deliverable percentage as on 18th June was 22.76%. the stock future witnessed
84.73% addition in july contract.
Index Spot Future Basis Reliance June fut traded at a premium of 3 points recording 13.14% reduction
BANKNIFTY 9758.05 9753.5 (5) in OI. The stock was up 0.84% at 1067. Annual volatility is 34.09 and total
CNXIT 6037.25 6030 (7) deliverable quantity is 35.10%. Reliance july future witnessed 45.02% of
addition in OI.
NIFTY 5353 5354 1
Tata steel June fut traded at a premium of 1 point recorded 3.96% increase in
OI. The stock was up 6.26% at 504.65. Annual volatility is 46.19 and total
deliverable quantity is 29.93%. Tata steel july future registered 37.10%
growth in OI.

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
ITC 296.00 1.32 15165000 14.83 PATNI 562.50 -3.43 1593800 11.76
SAIL 198.20 2.73 7551900 14.35 ONMOBILE 302.85 -1.93 394900 4.36
NATIONALUM 426.00 1.96 1869900 13.75 ZEEL 299.60 -0.76 2107000 24.69
IVRCLINFRA 184.90 1.90 3695000 11.43 ADANIENT 545.10 -0.24 2391200 17.35
ORCHIDCHEM 155.40 2.22 3198300 9.10 HEXAWARE 77.60 -0.65 552000 9.52

Nifty Option Open Interest Distribution

On the call side nifty june 5400 call added 19.07lakh shares in OI, up
10,000,000
33.01% while 5300 and 5200 call shed 19.02 and 12.87 lakh shares
Open Interest

CMP 28.83% addition of

from OI. Meanwhile nifty 5400 july call registered 8,000,000
6,000,000 CALL
shares in OI. On the put side nifty june 5300 put added 32.99 lakh
shares in OI, up 114.23% and 5200 put added 14.4 lakh in OI, up 4,000,000 PUT
1.62%. While nifty 5300 july future added 11.04 lakh shares in OI, up 2,000,000
162.15%. The put-call ratio of stock option remained flat at 0.38 while 0
put-call ratio of index option decreased from 1.29 to 1.07. On the
50  

70  

90  

10  

30  

50  

70  

90  

 
 4 .00

 4 .00

 4 .00

 5 .00

 5 .00

 5 .00

 5 .00

 5 .00
00
0.

whole the put call ratio was at 1.03 lower than 1.20 in the previous
0

0
30
 4

trading session. As we approach expiry of June series market is likely

to remain volatile and trade in the range of 5200 to 5400. 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 -155 BUY 5500 -142

12 -88 18 -82
SELL 5300 67 SELL 5400 60

BUY 5300 -67 BUY 5400 -60

51 -49 56 -44
SELL 5400 18 SELL 5300 16

BUY 5200 -155 BUY 5000 -142

63 -137 74 -126
SELL 5400 18 SELL 4800 16

STRATEGY TRACKER
DATE OF PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW 21/06/10 REMARK
SELL IFCI 57.5 JUNE CA @ 1.25
1/6/2010 IFCI 1.60 0.35 BOOK PROFIT
SELL IFCI JUNE 47.5 PA @ 0.35
BUY TATA STEEL JUNE 480 PA @ 27
2/6/2010 TATA STEEL (16.00) 1.75 BOOK PROFIT
SELL TATASTEEL JUNE 440 PA @ 11
BUY RELIANCE JUNE 1040 CE @ 22
3/6/2010 RELIANCE IND (11.00) 10.40 BOOK PROFIT
SELL RELIANCE JUNE 1080 CE @ 11

9/6/2010 HINDALCO SELL HINDALCO JUNE 150 CA @ 1.7 3.60 1.10 BOOK PROFIT
SELL HINDALCO JUNE 120 PA @ 1.9
SELL RELIANCE JUNE 1080 CA @ 8
15/6/2010 RELIANCE IND 13.00 7.05 BOOK PROFIT
SELL RELIANCE JUNE 1020 PA @ 5

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