daring derivatives

August 17, 2011

Derivatives Summary
Nifty (August) futures have turned into a discount of 8.10 points to spot Nifty from a premium of 6.90 points. Total open interest in the market was Rs133,112 crore and Rs233 crore were reduced in open interest. Nifty call options added 7.75 lakh shares in open interest whereas put options added 5.75 lakh shares in open interest. Hero Motocorp (27%), DLF (19%), GTL (14%), Biocon (13%) and Bank of Baroda (12%) were the top open interest gainers in the market. Tata Chemicals (-12%), K S Oils (-11%), Chambal Fertilizers (-11%) and India Bulls Real Estate (-9%) were the top open interest losers in the market. Overall volumes in futures & options stood at 45.13 lakh contracts with a turnover of Rs114,712 crore whereas volumes in Nifty futures were marginally lower compared with previous trading volumes.
NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) 5027.7 -6.52% 27168500 20372100 1.03 1.08 OPEN INTEREST
CE 8000000 7000000 6000000 Open interest 5000000 4000000 3000000 14400 3412650 215300 5237550 835600 4632750 3280500 7331450 4393200 5007650 5396550 3157600 4876850 1934250 2000000 1000000 0 36.90% 32.24% 29.17% 27.82% 26.64% 25.72% 26.23% PE Strike IV 40.00% 35.00% Implied volatility 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

Previous 5079.85 3.82% 27009650 22914300 1.03 0.98

% Change -1.03% -270.82% 0.59% -11.09% 0.00% 10.20%

4700

4800

4900

5000

5100

5200

Strike price

Market commentary
Selling prevails Tracing positive global cues, the Nifty opened gap up by 50 points after a long weekend. Gains in TCS, BHEL, HCL Technologies, Bharti Airtel, ITC, Infosys, Axis Bank and Tata Motors along with gains in select FMCG stocks further accelerated the on going trend and supported the bulls in heading northwards. However in mid afternoon, release of rising inflation numbers on a month on month basis, negative opening of the European markets and decline in realty stocks dragged the Nifty down from the days highs by more than 100 points. The Nifty finally ended the session lower by 37 points at 5035, washing out all the intraday gains.
400 350 Closing Price 300 250 200 150 100 15.85 50 0 345.95

PX
Px CE Px PE

5300

249.8

23.1 195.9

163.65 45.7

52.1 126.65

26.5

98.45 77.7

4700

4800

4900

5000

5100

5200

Strike price

MOST ACTIVE INDEX CALL OPTION Strike 5100 C 5200 C 5300 C 5400 C 5000 C Average IV Curr. IV 26.26% 25.61% 25.81% 26.89% 26.71% 26.25% Pre. IV 25.76% 24.90% 24.10% 24.05% 26.88% 25.14% Curr. OI Chg OI % Chg IV % 4393200 13.82% 1.96% 5396550 4876850 5293950 3280500 3.23% -13.59% -2.87% 26.44% 2.85% 7.12% 11.77% -0.66%
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Daily view
Around 1.59 lakh shares were added in open interest with a substantial decrease in the cost of carry indicating todays sell off was due to fresh short positions building above 5100 levels. On the options front implied volatility has seen an up tick after cooling off for a couple of days, indicating the market will continue to trade with a negative bias and selling pressure may continue to exist at higher levels.

4.25%

MOST ACTIVE INDEX PUT OPTION Strike 5100 P 5000 P 4800 P 4900 P 5200 P Average IV Curr. IV 27.02% 28.94% 33.33% 31.00% 25.83% 29.22% Pre. IV 26.11% 27.90% 31.05% 29.46% 24.56% 27.82% Curr. OI Chg OI % Chg IV % 5007650 7331450 5237550 4632750 3157600 2.82% 4.03% 9.43% 12.06% -12.29% 3.46% 3.70% 7.34% 5.25% 5.16% 4.81%

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Daring Derivatives August 17, 2011 1

5300

9.5

283

Derivative Activity
Strike SBIN 2300 C IFCI 42.5 C RELIANCE 780 C DLF 200 C TATASTEEL 480 C MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 37.20% 49.48% 35.79% 57.37% 38.79% 43.29% 43.78% 34.82% 48.20% 37.48% 4452000 392750 719500 18.66% 26.59% 51.00% IV Chg % 13.03% 2.80% 19.03% 3.50% Strike SBIN 2200 P DLF 190 P RELIANCE 760 P TATASTEEL 460 P TATAMOTORS 800 P MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 37.41% 55.12% 36.22% 40.41% 41.58% 44.05% 54.15% 35.95% 40.83% 41.56% 222500 257250 408000 333000 -23.62% 6.74% 52.81% IV Chg % 1.79% 0.75% -1.04% 0.04%

352000 -16.29% -14.06%

14.40% -15.07%

799000 101.26%

231500 -13.54%

MOST ACTIVE STOCK FUTURES Strike CoC SBIN DLF ICICIBANK RELIANCE TATASTEEL Curr. CoC -7.11% -80.53% 3.68% -3.74% -16.00% Pre OI -2.75% 7.71% 9.41% 9.22% 5.02% Curr. OI 4637875 21019000 8572500 17261000 17733500 Chg. OI % 1.27% 4.61% -2.47% -2.67% 1.24%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 12 AUG 2011 Buy INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 2212.87 13492.69 1747.43 430.99 17883.98 Sell 2861.36 13292.28 1631.07 424.27 18208.97 Difference -648.48 200.42 116.36 6.72 -324.99

View
Weekly
VWAP 5109 Trend Lower Range 5000 Higher Range 5300

Futures: Advance Decline (AD) Ratio

Advance Decline Unchange Total Lower Range 5000 Higher Range 5400 AD Ratio 35 199 1 235 0.18

*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 16-Aug-11 11-Aug-11 10-Aug-11 Scrips Hindalco Yes Bank LT Buy/Sell Buy Buy Buy Initiation Range 151.90-152.10 304-305 1632-1634 Stoploss 150 299 1610 Target 155-157 310-315 1660-1680 Remark Stopped Out Book Profit @ 306.75 Close @ 1628

Derivative Ideas
Date 12-Aug-11 11-Aug-11 Scrips LT HDIL Buy/Sell Sell Buy Initiation Range 1637-1639 115-116 Stoploss 1650 113 Target 1600 122 Time Frame 1-2 Days 1-2 Days Remark Stopped out Book Profit @ 117.35

2 Daring Derivatives August 17, 2011

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Strategy Tracker
Date 9-Aug-11 9-Aug-11 9-Aug-11 29-Jul-11 29-Jul-11 29-Jul-11 29-Jul-11 Scrips Nifty CE 5200 (4 Lot) Nifty CE 5300 (4 Lot) Nifty CE 5400 (4 Lot) Nifty CE 5600 (3 Lot) Nifty PE 5400 (1 Lot) Nifty PE 5400 (1 Lot) Nifty PE 5400 (1 Lot) Buy/Sell Buy Sell Sell Buy Buy Buy Buy Initiation Range 92.60 55.75 30.84 58-59 71-72 71-72 71-72 Stoploss 0 0 0 0 0 0 0 Target 0 0 0 0 0 0 0 Time Frame Expiry Expiry Expiry 5-7 Days 5-7 Days 5-7 Days 5-7 Days Remark Open @ 25.00 Open @ 10.00 Open @ 4.15 Open @ 1.70 Book Profit @ 221 Close @ 69.50 Book Profit @ 90.20

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Daring Derivatives August 17, 2011 3

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