WEEKLY DERIVATIVES

Week ended 01st APRIL 2010

NIFTY HIGHLIGHTS:

Nifty Futures has Risen by 0.19% to close at 5306.80. from previous week close of 5296.95

Nifty futures annualized volatility has fallen to 16.84% from 17.17%

The total open interest (OI) in the market stood at RS 50433cr. Where as stock futures OI is at 33107.85 cr.

The open interest position if FII in Index Futures is at 12790.31 cr and in Stock futures is at 28096.76 cr.

Put Call Ratio Analysis

The PCR OI is at currently at 1.19.

PCR OI was at 1.17 when the week started
and has remained flat and around these levels.

This week activity was distributed in both call
as well as put option side.

Nifty 5200 and 5300 strikes call and put has
also seen activity.

Open Interest Analysis

Nifty 5300 and 5400 Strike call has an open
interest 60 lakh, while 5500 strike has an open
interest of 50 lakh.

Nifty 5000 and 5200 put has open interest 80
lakh.

Thus Support for Nifty currently stands at
5200. Nifty will face resistance around 5300
and 5350 mark.

Change in Open Interest

Nifty 5300, 5400 and 5400 call strike has

added open interest.

Nifty 5200, 5300 and 5400 put strikes have
seen addition in open interest.

Nifty in this expiry has added huge position in
5200 put which will act as a good support for
the market

Nifty 5300, 5400 call has added position which
will act as resistance.
 WEEKLY REPORT

Volatility Analysis

Currently IV is at 16.84 where as IV call and
IV put is at 15.39 and 18.07 respectively which
show volatilities have fallen.

In the start of the week the IV and IV call and
IV puts were at 17.17, 15.91, and 18.56
respectively.

HV has fallen to 15.96 from 16.80 levels.

Volatilities have subsided near to the all
time low levels of 16%, any rise from here
can mean we can see a correction in the
market.

Weekly Open Interest Gainer Weekly Open Interest Loser

Script ID Price % Chg OI Futures % Chg Script ID Price % Chg OI Futures % Chg
TATAMOTORS 760.55 2.64 22,379,650 34.79 BPCL 515.00 0.18 2,008,600 -13.01
HCLTECH 358.80 -3.39 1,612,000 30.80 HDFC 2,783.60 6.03 1,387,650 -12.03

SAIL 253.15 3.12 5,946,750 28.73 CAIRN 309.55 4.23 13,098,750 -7.97

GAIL 410.20 2.00 3,382,875 21.84 NTPC 208.10 2.44 20,804,875 -7.49

INFOSYSTCH 2,675.15 -3.92 2,620,600 17.60 JINDALSTEL 714.00 -0.59 4,337,280 -2.19

FII Index Futures

FII activity in the index

futures has been inclined
towards buy side.

They have been buyer worth
around 471 crores in this
week

FII Stock Futures

FII activity in Stock futures

has been inclined towards sell
side this week.

This whole week they have
been seller of around 1179
crores

- MIRAJ VORA.
DERIVATIVE ANALYST.
 WEEKLY REPORT

Sector Wise Open Interest And Price Data

Transport, Reality, Metals, Hotels and Finance sector has seen Gain in OI with Rise in Price thus
indicating fresh built up of long position.

Technology, Sugar, Media and Automobile sector have seen Gain in OI with Fall in Price thus
indicating fresh built up of short position

Index has a whole has seen Fresh built up of short positions with Gain in OI of 4.13% with marginal
fall in price by 0.28%

Nifty in particular has seen Gain in OI of 4.32% with rise in price of 0.19% suggesting fresh long
position during this week.

Disclaimer: This document has been prepared & distributed by Anvil Share & Stock broking Pvt Ltd.The research department has compiled the
information in this document. Due care has been taken in preparing the above document. However, this document is not, & should not be
construed, as an offer to sell or solicitation to buy any securities. Any act of buying, selling or otherwise dealing in securities refer to in this
document shall be at investor’s sole risk & responsibly. This document may not be reproduced, distributed or published, in whole or in part,
without prior permission from the company. We are not responsible for any printing mistakes.

- MIRAJ VORA.
DERIVATIVE ANALYST.