DERIVATIVE REPORT

12th AUG 2010

Nifty Sentiment Indicators Nifty August future added 23.67 lakh shares in OI, up 7.27%. NIFTY Future is
Put Call Ratio-Index Options 1.12 trading at a discount of 16 points, down 1.02%at 5405. Annual volatility was
Put Call Ratio-Stock Options 0.39 at 13.95.
Volume Nifty September future added 3.60 lakh shares in OI, up 15.05%. NIFTY
Future is trading at a discount of 7 points, down 0.96% at 5413.
Product 10.08.10 11.08.10 % Chg
BANKNIFTYAugust future added 0.75 lakh shares in OI, up 2.39%.
Index Futures 409125 505308 23.51%
BANKNIFT future is trading at a discount of 55 points, down 1% at 10374.
Stock Futures 641895 691685 7.76%
Annual volatility is at 19.04.
Index Options 1488659 1831631 23.04%
Tata steel, tata motors, icici bank, unitech and reliance were the most active
Stock Options 167953 183378 9.18%
stocks on yesterday's trade.
Total F&O 2707632 3212002 18.63% Tata steel August fut traded at a par witnessing 12.52% down in OI. The stock
was down 3.65% at 519. Annual volatility is 31.16 and total deliverable
percentage as on 11th Aug was 31.16%.
Index Spot Future Basis Reliance August fut traded at a premium of 6 points recording 4.03% increase
in OI. The stock was down 0.54% at 988. Annual volatility is 21.96 and total
BANKNIFTY 10428.65 10374 (55)
deliverable quantity is 61.38%.
CNXIT 6161.3 6140 (21) Icici bank August fut traded at a discount of 5 point recorded 4.83% increase
NIFTY 5420.6 5405 (16) in OI. The stock was down 1.78% at 960.25. Annual volatility is 35.74 and total
deliverable quantity is 62.47%.

Increase In OpenInterest Decrease In OpenInterest

Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price

EDUCOMP 5527 8383 51.67% 604.5 -11.46% ONMOBILE 1236 1110 -10.19% 308.1 -1.01%
IVRCLINFRA 5417 7051 30.16% 158.4 -6.58% DENABANK 2230 2092 -6.19% 100.7 0.65%

PETRONET 1754 2097 19.56% 107.85 4.15% EXIDEIND 721 683 -5.27% 143.9 0.00%
TATACOMM 1702 1999 17.45% 322.65 10.46% HINDPETRO 11560 10992 -4.91% 467 3.02%
ABAN 10490 12301 17.26% 862.1 -2.10% SINTEX 730 695 -4.79% 374 0.43%

Nifty Option Open Interest Distribution

14,000,000
12,000,000
open interest

10,000,000
Nifty july 5500 and 5600 call added 6.91 and 10.70 lakh shares 8,000,000 c all
CMP
from OI. On the put side nifty june 5400 put shed 3.24 lakh shares 6,000,000 put
in OI, down 3.51% and 5300 put added 9.02 lakh in OI, up 8.29%. 4,000,000
2,000,000
The put-call ratio of stock option increased from 0.31 to 0.39 while 0
put-call ratio of index option decreased from 1.22 to 1.12. On the
60  

80  

00  

20  

40  

60  

80  

00  

 
 4 .00

 4 .00

 5 .00

 5 .00

 5 .00

 5 .00

 5 .00

 6 .00

00

whole the put call ratio was at 1.02.

0.
0

0
40
 4

s trike pric e

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DERIVATIVE REPORT
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike Price Contracts Traded Open Interest
NIFTY 26-Aug-10 5500 249027 8902800 NIFTY 26-Aug-10 5400 318047 8930700
NIFTY 26-Aug-10 5400 200566 5717400 NIFTY 26-Aug-10 5300 160308 11784100
NIFTY 26-Aug-10 5600 148634 10083500 NIFTY 26-Aug-10 5500 136912 3685950
NIFTY 26-Aug-10 5700 58769 4187050 NIFTY 26-Aug-10 5200 87839 7416600
NIFTY 30-Sep-10 5600 26545 2756550 NIFTY 26-Aug-10 5100 52282 7673700
NIFTY 30-Sep-10 5500 26111 2015000 NIFTY 26-Aug-10 5000 26643 6237750
NIFTY 26-Aug-10 5300 23067 1757250 NIFTY 30-Sep-10 5400 18887 1838750
NIFTY 30-Sep-10 5700 20771 2448350 NIFTY 30-Sep-10 5200 18327 3059350
NIFTY 26-Aug-10 5800 17557 1482650 NIFTY 30-Sep-10 5100 18173 2213650
NIFTY 30-Sep-10 5800 14541 1683850 NIFTY 30-Sep-10 5000 17761 2367750

STOCK STRATEGY AS ON 12th AUG 2010

PAY OFF MATRIX
UNDERLYI
NG ASSET TATA STEEL
30
20
CMP 520.25
10
BUY TATASTL TWO AUG 500 PA @ 11.20
STRATEGY 0
SELL TATASTL TWO AUG 480 PA @ 5.90
-10 0 2 4 6 8 10 12
-20
MAX LOSS UNLIMITED
-30
MAX PROFIT 20.6 -40
-50
BEP 460 -60
-70
LOT SIZE 500

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 11/08/10 REMARK

28/7/2010 NIFTY BUY NIFTY AUG 5300 PA @ 71.9 0.00 HOLD

SELL NIFTY TWO AUG 5000 PA @ 20.50

4/8/2010 REL IND BUY REL IND AUG1080 CA @12.20 0.00 HOLD
SELL TWO REL IND AUG 980 PA @ 6.55

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