DERIVATIVE REPORT

MAY 13th 2010

Nifty Sentiment Indicators Nifty may future added 22.24 lakh shares in OI, up 8.31%. NIFTY Future's
Put Call Ratio-Index Options 1.02 discount of 7 points remains same at 7 points, up 0.33% at 5150. Annual
Put Call Ratio-Stock Options 0.37 volatility was at 23.18.
Nifty June future added 0.91 lakh shares in OI, up 4.5%. NIFTY Future's
Volume discount of 8 points has increased to 9 points, up 0.33% at 5150.
BANKNIFTY may future added 1.36 lakh shares in OI, up 13.86%.
Product 12.05.10 11.05.10 % Chg
BANKNIFT future's discount of 14.75 points has increased to 16 points, up
Stock Futures 515734 488003 5.68
0.95% at 9706. Annual volatility is at 29.37.
Index Futures 734777 651926 12.71
Reliance, tata steel, Bharti airtel, icici bank and SBIN were the most active
Index Options 2010114 1905443 5.49
stocks on yesterday's trade.
Stock Options 101731 103062 -1.29
Reliance May fut traded at a premium of 2.75 point witnessing 16.88%
Total F&O 3362356 3148434 6.79
addition in OI. The stock was up 1.19% at 1083.25. Annual volatility is 37.73
and total deliverable percentage as on 12th may was 48.88%.
Tata steel May fut traded at a premium of 0.7 points recording 2.36%
Index Spot Future Basis expansion in OI. The stock was up 0.79% at 584.4. Annual volatility is 54.38
BANKNIFTY 9722.2 9706 (16) and total deliverable quantity is 19.51%.
Icici bank May fut traded at a premium of 1.5 point recorded 6.69% increase in
CNXIT 5876.25 5851 (25)
OI. The stock was down 0.08% at 915.7. Annual volatility is 36.40 and total
NIFTY 5157 5150 (7) deliverable quantity is 33.13%.

Increase in Open Interest and Increase in Price Increase in Open Interest and Decrease in Price
%Price %Price
Stocks Price Change Opn. Int (OI) %OI Change Stocks Price Change Opn. Int (OI) %OI Change
ASHOKLEY 67.05 2.68 18889900 21.80 IDEA 54.55 -8.40 42079500 25.17
RECLTD 273.55 3.81 3636750 18.04 BHARTIARTL 263.00 -8.01 24337500 16.88
PATNI 567.90 1.25 1153100 16.71 STER 723.00 -1.11 8107380 9.71
UNIONBANK 302.15 3.28 1504650 16.69 EDUCOMP 621.00 -1.61 3171375 9.22
AXISBANK 1272.40 2.16 4362750 12.51 ONMOBILE 338.40 -4.50 472450 7.51

Nifty Option Open Interest Distribution

10,000,000 On the call side nifty May 5200 call added 4.5 lakh shares in OI, up
Open Interest

8,000,000 7.53% while nifty May 5300 call added 28.5 lakh shares in OI, up
6,000,000 CMP CALL 5.77%. On the put side nifty April 5000 put added 17.48 lakh
4,000,000 PUT shares in OI, up 24.84% While 5100 put witnessed addition of 7.55
2,000,000 lakh shares in OI, up 12.23%. The put-call ratio of stock option
0
increased from 0.34 to 0.37 while put-call ratio of index option
 

 
00

00

00

00

00

00

00

00

00

decreased from 1.04 to 1.02. On the whole the put call ratio was at
0.

0.

0.

0.

0.

0.

0.

0.

0.
30

50

70

90

10

30

50

70

90

0.98. In the next few trading session benchmark index is likely to

 4

 4

 4

 4

 5

 5

 5

 5

 5

Strike Price move in the range of 5000-5200.

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DERIVATIVE REPORT
NIFTY BULLISH CALL SPREAD NIFTY BEARISH PUT SPREAD
ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS

BUY 5100 -114 BUY 5100 -80

48 -52 79 -21
SELL 5200 62 SELL 5000 59

BUY 5200 -62 BUY 5000 -59

65 -35 80 -20
SELL 5300 27 SELL 4900 39

BUY 5100 -114 BUY 5100 -80

113 -87 159 -41
SELL 5300 27 SELL 4900 39

STOCK STRATEGY AS ON 13th MAY 2010 PA Y O F F M A T R IX

UNDERLYING ASSET BHARTI AIRTEL

40
CMP 262
30
BUY BHARTIARTL MAY 260 PA @ 9.6

PROFIT/LOSS
STRATEGY 20
SELL BHARTIARTL MAY 220 PA @ 1 10
MAX LOSS 8.6 ABOVE 260 0
200 220 240 260 280 300
MAX PROFIT 31.4 BELOW 220 -1 0

BEP 251.4 -2 0
P R IC E
LOT SIZE 500

STRATEGY TRACKER
DATE OF PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW 12/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 7.15 BOOK PROFIT
SELL NIFTY MAY 4800 PA @ 16
BUY RNRL MAY 65 PA @ 4.75
5/5/2010 RNRL (9.30) 7.05 BOOK PROFIT
BUY RNRL MAY 70 CA @ 4.55
SELL SUZLON MAY 80 CA @ 0.85
7/5/2010 SUZLON 1.65 (0.25) HOLD
SELL SUZLON MAY 65 PA @ 0.80
BUY ICICIBANK MAY FUTURE @ 922
11/5/2010 ICICIBANK (14.00) (2.85) HOLD
BUY ICICIBANK MAY 900 PA @ 14
SELL TATASTEEL MAY 620 CA @ 7.85
12/5/2010 TATA STEEL 16.35 1.50 HOLD
SELL TATASTEEL MAY 540 PA @ 8.5

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