DERIVATIVE REPORT

13th AUG 2010

Nifty Sentiment Indicators Nifty August future added 18.92 lakh shares in OI, up 5.66%. NIFTY Future is
trading at a premium of 2 points, up 0.11%at 5417.60. Annual volatility was at
Put Call Ratio-Index Options 1.11
13.54.
Put Call Ratio-Stock Options 0.38
Nifty September future added 1.7 lakh shares in OI, up 6.79%. NIFTY Future
Volume is trading at a premium of 9 points, up 0.11% at 5426.
Product 11.08.10 12.08.10 % Chg BANKNIFTYAugust future added 2.38 lakh shares in OI, up 7.77%.
Index Futures 505308 629498 24.58% BANKNIFT future is trading at a discount of 4 points, up 1.80% at 10575.
Stock Futures 691685 754840 9.13% Annual volatility is at 19.98.
Index Options 1831631 2155510 17.68% Tata steel, sbin, icici bank, tata motor and reliance were the most active stocks
Stock Options 183378 208827 13.88% on yesterday's trade.
Total F&O 3212002 3748675 16.71% Tata steel August fut traded at a par witnessing 7.13% up in OI. The stock was
surged 0.45% at 521.85. Annual volatility is 34.53 and total deliverable
percentage as on 12th Aug was 38.51%.
Reliance August fut traded at a premium of 4 points recording 5.37% increase
Index Spot Future Basis
in OI. The stock was down 1.17% at 977.10. Annual volatility is 21.41 and total
BANKNIFTY 10583.65 10580 (4) deliverable quantity is 48.05%.
CNXIT 6091.05 6130 39 Sbin August fut traded at a premium of 2 point recorded 26.02% increase in
NIFTY 5416.45 5418 2 OI. The stock was up 7.07% at 2778. Annual volatility is 27.20 and total
deliverable quantity is 41.82%.

Increase In OpenInterest Decrease In OpenInterest

Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price

SOBHA 268 383 42.91% 370 0.43% TATACOMM 1775 1638 -7.72% 322.45 -0.78%
NEYVELILIG 1002 1394 39.12% 166.9 5.03% SRTRANSFIN 326 306 -6.13% 737.5 0.81%

SUNTV 381 521 36.75% 491 3.13% PATNI 5122 4839 -5.53% 476.05 4.94%
HDIL 10767 13698 27.22% 286.3 4.15% DRREDDY 6092 5823 -4.42% 1345 1.86%
SBIN 46085 58075 26.02% 2779 7.11% CONCOR 115 111 -3.48% 1374 -0.93%

Nifty Option Open Interest Distribution 14,000,000

12,000,000
open interest

10,000,000
Nifty aug 5400 and 5500 call added 0.52 and 0.59 lakh shares in OI. 8,000,000 call
CMP
On the put side nifty aug 5400 put added 7.56 lakh shares in OI, up 6,000,000 put
9.10% and 5300 put added 6.44 lakh in OI, up 5.69%. The put-call 4,000,000
ratio of stock option decreased from 0.39 to 0.38 while put-call 2,000,000
ratio of index option decreased from 1.12 to 1.11. On the whole the 0
put call ratio was at 1.01.
 

 
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strike price

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DERIVATIVE REPORT
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike Price Contracts Traded Open Interest
NIFTY 26-Aug-10 5400 325254 5802500 NIFTY 26-Aug-10 5400 348333 9073750
NIFTY 26-Aug-10 5500 289758 8011000 NIFTY 26-Aug-10 5300 259906 11984500
NIFTY 26-Aug-10 5600 112198 10080500 NIFTY 26-Aug-10 5200 148134 8621000
NIFTY 26-Aug-10 5700 54718 4044900 NIFTY 26-Aug-10 5500 89005 3482900
NIFTY 26-Aug-10 5300 53782 1849150 NIFTY 26-Aug-10 5100 66769 8017350
NIFTY 30-Sep-10 5600 28617 2915600 NIFTY 26-Aug-10 5000 31532 6300950
NIFTY 30-Sep-10 5500 25858 1884300 NIFTY 30-Sep-10 5200 24711 3470150
NIFTY 30-Sep-10 5700 18716 2382150 NIFTY 30-Sep-10 5400 23512 1933850
NIFTY 30-Sep-10 5400 18309 1628600 NIFTY 30-Sep-10 5100 19672 2556900
NIFTY 30-Sep-10 5800 13246 1615400 NIFTY 30-Sep-10 5300 18531 1466250

IN T RA D AY ST RAT EG Y

INTRA DAY STRATEGY

B UY :ID EA AUG FUT AB O VE 7 1

VIEW : B ULLISH SELL :STER IND AUG FUT AT 167.75

ST RAT EG Y : B UY FUT URE VIEW : BEARISH

T ARG ET : 73.5 0
STRATEGY: SELL FUTURE
SL: 69.5 0
TARGET: 162
M ARKET LO T :4000

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 12/08/10 REMARK

28/7/2010 NIFTY BUY NIFTY AUG 5300 PA @ 71.9 0.00 HOLD

SELL NIFTY TWO AUG 5000 PA @ 20.50

4/8/2010 REL IND BUY REL IND AUG1080 CA @12.20 0.00 HOLD
SELL TWO REL IND AUG 980 PA @ 6.55
BUY TISCO AUG 500 PA @ 11.20
11/8/2010 TISCO 0.00 HOLD
SELL TISCO TWO AUG 480 PA @ 5.90

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