daring derivatives

September 21, 2011

Derivatives Summary
Nifty (September) futures premium over spot Nifty increased to 16.5 points from a premium of 5.20 points. Total open interest in the market was Rs141,580 crore and Rs3,420 crore were added in open interest. Nifty call options underwent a reduction of 13.23 lakh shares in open interest whereas put options added 17.24 lakh shares in open interest. Bajaj Hindustan (30%), Lupin (28%), Fortis Healthcare (24%), Sesa Goa (18%) and Ashok Leyland (17%) were the top open interest gainers in the market. ITC (-11%), Indian Bank (-10%), ONGC (-9%) and Cipla (-9%) were the top open interest losers in the market. Overall volumes in futures & options currently stand at 52.44 lakh contracts with a turnover of Rs132,276 crore whereas volumes in Nifty futures were substantially lower compared to previous trading volumes.
NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) 5156.7 13.02% 27089500 24209500 1.53 1.18 OPEN INTEREST
CE 10000000 9000000 28.74% 8000000 Open interest 7000000 6000000 5000000 4000000 2627900 6927450 4930450 9297600 4492550 5503100 6741450 3014000 7139950 712500 4367700 727200 2000000 1000000 0 3281800 387150 3000000 15.00% 10.00% 5.00% 0.00% 26.28% 24.19% 22.72% PE Strike IV 35.00% 30.00% Implied volatility 21.51% 21.59% 22.48% 25.00% 20.00%

Previous 5037.15 3.77% 27512150 17889500 1.48 1.20

% Change 2.37% 245.14% -1.54% 35.33% 3.38% -1.67%

4900

5000

5100

5200

5300

5400

Strike price

Market commentary
Buying emerges Contradicting its global peers the Nifty started the day on a positive note. Gains in Nifty components such as Reliance Capital, Reliance Power, Cairn, TCS, Reliance Communications, Hindalco Industries, State Bank of India, Axis Bank and Reliance Industries along with other Nifty components helped the bulls recover their previous days losses and lead to boosting of market sentiments. Sustained buying across sectors throughout the day further accelerated the markets upmove and the Nifty finally ended the session higher by 108 points at 5140, which is near the days high.
Strike 5100 C 5200 C 5300 C 5000 C 5400 C Average IV
400 350 300 Closing Price 250 269.95 345.3 200 182.4 29.5 22.6 162.35 249.5 8.2 5400 3.1 150 100 50 0

PX
Px CE Px PE

108.3 53.65

4900

5000

5100

5200

54.85 96.55

16.05

5300

5500

Strike price

MOST ACTIVE INDEX CALL OPTION Curr. IV 23.86% 22.97% 22.27% 25.49% 22.36% 23.39% Pre. IV 25.04% 24.19% 23.71% 26.81% 24.66% 24.88% Curr. OI Chg OI % Chg IV % 4492550 -18.05% -4.73% 6741450 7139950 4930450 4367700 7.63% 7.05% -14.40% -0.20% -5.03% -6.07% -4.93% -9.32%
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Daily view
Around 4.22 lakh shares were reduced in open interest with a significant increase in the cost of carry indicating todays rally was due to aggressive short covering. On the options front the implied volatility further cooled off by another 100-150 basis points which is a positive sign for the market. The put-call ratio (PCR) shot up to 1.53. We may see momentum continuing and higher targets can be seen once the Nifty closes above 5200.

-6.00%

MOST ACTIVE INDEX PUT OPTION Strike 5100 P 5000 P 4900 P 4800 P 4700 P Average IV Curr. IV 24.52% 27.07% 29.59% 32.36% 35.26% 29.76% Pre. IV 25.42% 27.68% 30.53% 33.58% 36.09% 30.66% Curr. OI Chg OI % Chg IV % 5503100 9297600 6927450 7869200 9002150 45.82% 16.02% -2.86% -6.65% 3.73% -3.51% -2.22% -3.08% -3.63% -2.30% -2.93%

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Daring Derivatives September 21, 2011 1

5500

Derivative Activity
Strike SBIN 2000 C RELIANCE 840 C IFCI 37.5 C HINDALCO 150 C ICICIBANK 900 C MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 37.19% 29.83% 56.23% 46.31% 38.46% 41.86% 33.11% 58.83% 51.76% 40.76% 400250 -27.56% 6852000 4.58% IV Chg % -9.93% -4.43% -5.64% Strike SBIN 1900 P RELIANCE 840 P ONGC 260 P SBIN 1950 P INFY 2300 P MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 40.22% 29.93% 26.52% 38.24% 39.55% 42.52% 31.13% 30.46% 41.85% 42.35% 311625 585750 105375 123750 39.04% 84.05% 47.12% -4.44% IV Chg % -5.42% -3.85% -8.62% -6.61%

391250 -18.15% -11.16%

1404000 -14.13% -12.92%

1098000 -22.84% -10.53% 434000 -11.61%

MOST ACTIVE STOCK FUTURES Strike CoC SBIN RELIANCE ICICIBANK TATAMOTORS TATASTEEL Curr. CoC 3.26% 11.66% 12.87% -24.40% 13.19% Pre OI -4.28% 5.33% 2.55% -19.19% -6.03% Curr. OI 5129000 11546250 8822250 39042500 17533500 Chg. OI % -0.86% -4.23% -5.30% -2.39% -0.11%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 19 SEP 2011 Buy INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 1747.44 9265.79 1491.49 281.99 12786.71 Sell 1781.81 9050.98 1745.56 252.09 12830.43 Difference -34.37 214.81 -254.06 29.90 -43.72

View
Weekly
VWAP 5000 Trend Lower Range 5000 Higher Range 5200

Futures: Advance Decline (AD) Ratio

Advance Decline Unchange Total Lower Range 4800 Higher Range 5200 AD Ratio 208 24 1 233 8.67

*If Nifty is above VWAP (Volume Weighted Average Price) on closing basis then bias is positive and if closes below then bias is negative

Monthly

Derivative Calls
Date 20-Sep-11 20-Sep-11 20-Sep-11 20-Sep-11 19-Sep-11 19-Sep-11 Scrips Tata Steel L&T Axis Bank JP Associates Chambal Fertilizer Jindal Steel Buy/Sell Buy Sell Buy Buy Buy Sell Initiation Range 462-463 1558-1559 1119-1121 70.60-70.70 107.90-108.10 542.50-543 Stoploss 452 1585 1095 69.5 105 552 Target 480-490 1520 1155-1175 73.50 114-118 527 Remark Open @ 462.60 Close @ 1569.25 Open @ 1145.25 Open @ 72.70 Open @ 111.40 Stopped out

Derivative Ideas
Date 20-Sep-11 Scrips Nifty Buy/Sell Buy Initiation Range 5103-5105 Stoploss 5080 Target 5140-5160 Time Frame 1-2 Days Remark 1st Target Achieved, Book Partial Profit, Open @ 5156.70 Close @ 1916.50

19-Sep-11

SBIN

Sell

1914-1916

1932

1880

Intra Day

2 Daring Derivatives September 21, 2011

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Strategy Tracker
Date 13-Sep-11 13-Sep-11 Scrips Nifty PE 4800 (2 Lots) Nifty PE 4600 (4 Lots) Buy/Sell Initiation Range Buy Sell 79-82 41-42 Stoploss 0 0 Target 0 0 Time Frame Expiry Expiry Remark Open @ 8.45 Open @ 3.35

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Daring Derivatives September 21, 2011 3

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