Yes Bank Futures

390.00 385.00 380.00 375.00 370.00 365.00 360.00 355.00 350.00 345.00 340.00 28-Jun-12 5-Jul-12 Change in OI 12-Jul-12 Theoretical Price Settle Price 0 -500000 19-Jul-12 1000000 500000 2000000 1500000 3000000 2500000

Implied Cost of Carry

20.00% 15.00% 10.00% 5.00% 0.00% 28-Jun-12 -5.00% -10.00% -15.00% -20.00% -25.00%

5-Jul-12

12-Jul-12

19-Jul-12

Week 1 Implied cost of carry is negative implying the stock is expected to fall. A large rise in open Interest in the beginning of the week

Week 2 Week 3 Implied cost of carry remained in positive levels and some traders squared off their positions leading to decline in open interest Implied cost of carry returned to normal levels as the option became fairly priced. Speculation on fairly priced option lead to increase in open interest