DERIVATIVE REPORT

JUNE 25th 2010

Nifty Sentiment Indicators Nifty july future added 82.86 lakh shares in OI, up 37.5%. NIFTY Future is
Put Call Ratio-Index Options 1.07 trading at a discount of 8 points, down 0.5 at 5313. Annual volatility was at
Put Call Ratio-Stock Options 0.36 .23.86.
Nifty Aug future added 1.4 lakh shares in OI, up 30.91%. NIFTY Future is
Volume trading at a discount of 7 points, down 0.47% at 5313.
BANKNIFTY july future 46.65 lakh shares in OI, up 33.20%. BANKNIFT
Product 23.06.10 24.06.10 % Chg
future is trading at discount of 38 points, down 0.89% at 9636. Annual
Stock Futures 986920 1186744 20.25%
volatility is at 28.02.
Index Futures 822361 1100068 33.77%
Tata steel, sesagoa and reliance were the most active stocks on yesterday's
Index Options 2167718 3354889 54.77%
trade.
Stock Options 97121 113379 16.74% Sesagoa July fut traded at a 11.95 points witnessing 14.85% surge in OI. The
Total F&O 4074120 5755080 41.26% stock was up 0.31% at 368.45. Annual volatility is 71.13 and total deliverable
percentage as on 23rd June was 24.3%.
Reliance July fut traded at a premium of 7.05 points recording 45.88%
Index Spot Future Basis increase in OI. The stock was down 0.84% at 1054.15. Annual volatility is
BANKNIFTY 9673.6 9636 (38) 30.66 and total deliverable quantity is 54.35%.
Tata steel July fut traded at a premium of 5.7 point recorded 21.96% increase
CNXIT 6014.6 6000 (15) in OI. The stock was up 0.09% at 492.55. Annual volatility is 49.39 and total
NIFTY 5321 5313 (8) deliverable quantity is 22.582%.

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
ANDHRABANK 135.00 1.15 1594000 102.28 HCLTECH 365.10 -3.46 5942000 233.07
GODREJIND 159.75 6.79 3346000 93.19 CHENNPETRO 249.95 -1.50 525000 193.30
BAJAJ-AUTO 2327.05 1.60 423875 77.73 JISLJALEQS 1136.00 -1.01 69250 140.87
ASIANPAINT 2415.00 1.23 23750 75.93 SCI 166.95 -1.72 530000 138.74
DABUR 199.20 2.12 490000 67.81 HINDZINC 1007.80 -1.98 390750 108.12

Nifty Option Open Interest Distribution

6,000,000
On the call side nifty june 5400 call added 6.47 lakh shares in OI, up
Open Interest

5,000,000
15.11% while 5300 and 5500 call added 12.33 and 10.44 lakh shares 4,000,000 CALL
from OI. On the put side nifty june 5300 put added 8.29 lakh shares in 3,000,000
OI, up 27.25% and 5200 put added 11.32 lakh in OI, up 28.16%. The 2,000,000 PUT
CMP
put-call ratio of stock option declined from 0.40 to 0.36 while put-call 1,000,000
ratio of index option decreased from 1.09 to 1.07. On the whole the 0
put call ratio was at 1.03 lower than 1.05 in the previous trading
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.

session.
0

0
30
 4

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 5300 -122 BUY 5300 -115

48 -52 67 -33
SELL 5400 70 SELL 5200 82

BUY 5400 -70 BUY 5200 -82

63 -37 77 -23
SELL 5500 33 SELL 5100 59

BUY 5300 -122 BUY 5300 -115

111 -89 144 -56
SELL 5500 33 SELL 5100 59

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