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daring derivatives

November 30, 2011

Derivatives Summary
Nifty (December) futures premium over spot Nifty has decreased to 11.65 points from 19.00 points. Total open interest in the market was Rs101,790 crore and Rs1,018 crore got added in open interest. Nifty call options added 25.67 lakh shares in open interest whereas put options added 2.30 lakh shares in open interest. TVS Motors (20%), Arvind Mills (8%), On Mobile (8%), Titan (7%) and Havells (7%) were the top open interest gainers in the market. Pantaloon Retail (-14%), VIP Industries (-12%), India Bulls Real Estate (-11%) and BHEL (-11%) were the top open interest losers in the market. Overall volumes in futures & options stood at 38.79 lakh contracts with a turnover of Rs92,299 crore whereas volumes in Nifty futures were higher compared with previous trading volumes.
Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) NIFTY SNAPSHOT Current 4816.75 2.95% 23618800 26003850 1.23 1.07 OPEN INTEREST
CE 8000000 7000000 6000000 Open interest 5000000 4000000 3000000 542200 7030200 748800 4622250 2234300 6820250 3546550 5216050 4639400 2399950 5537500 2721200 4808400 2179000 2000000 1000000 0 28.63% 27.44% 26.08% 24.64% 23.25% PE Strike IV 35.00% 30.00% Implied volatility 22.11% 20.82% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00%

Previous 4870.3 4.61% 22665950 18696400 1.29 1.04

% Change -1.10% -36.03% 4.20% 39.08% -4.65% 2.88%

4500

4600

4700

4800

4900

5000

Market commentary
Volatile session The Nifty commenced the day on a flattish to positive note mirroring its global counterparts. Blue chip stocks like Punjab National Bank, Jindal Steel, Bharti Airtel, DLF, IDFC, Reliance Industries, Sterlite Industries, Tata Motors, HDFC and HDFC Bank were the major index dragger. The market was unable to sustain in the green for long despite a positive bias in Dr Reddys, Bajaj-Auto, Hero MotoCorp, Hindustan Unilever and TCS. Post lunch, a wave of selling again emerged across sectors, paring off intraday gains. The Nifty finally called off the day with a loss of 46 points at 4805, off the days high after giving up previous days gains.
400 350 300 Closing Price 250 150 100 0 47 50 277.5 200 357.05

Strike price

PX
Px CE Px PE

5100

205.45 93.5

67.15

91.1 175.7

142.5 128.8

53.25

236.8

4500

4600

4700

4800

4900

5000

Strike price

MOST ACTIVE INDEX CALL OPTION Strike 4900 C 5000 C 4800 C Curr. IV Pre. IV 23.12% 23.81% 22.08% 22.68% 24.36% 25.12% 21.23% 21.65% 20.92% 20.97% 22.34% 22.85% Curr. OI Chg OI % Chg IV % 4639400 26.17% -2.91% 5537500 3546550 4808400 3616700 12.20% 11.71% -3.58% 0.72% -2.64% -3.01% -1.93% -0.26%
For Private Circulation only

Daily view
Around 9.52 lakh shares were added in open interest with a marginal decrease in the cost of carry indicating short positions accumulated in todays session. On the options front implied volatility has decreased marginally by 50 basis points indicating we may see some buying emerging at lower levels.

5100 C 5200 C Average IV

-2.21%

MOST ACTIVE INDEX PUT OPTION Strike 4700 P 4800 P 4600 P 4500 P 4400 P Average IV Curr. IV Pre. IV 26.55% 27.35% 24.92% 25.70% 28.14% 28.89% 29.51% 30.15% 30.66% 31.33% 27.96% 28.69% Curr. OI Chg OI % Chg IV % 6820250 5216050 4622250 7030200 4081850 -1.30% -3.27% -6.27% 1.60% 0.17% -2.95% -3.04% -2.58% -2.12% -2.14% -2.54%

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Daring Derivatives November 30, 2011 1

5100

28.2

308.5

Derivative Activity
Strike SBIN 1800 C TATASTEEL 400 C RELIANCE 800 C ICICIBANK 760 C IFCI 25 C MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 35.78% 35.48% 39.63% 41.29% 31.98% 31.21% 38.34% 37.53% 214625 -0.52% 698500 10.09% 343750 26.38% 164250 15.26% 5.70% IV Chg % 0.83% -4.03% 2.47% 2.15% -7.02% Strike SBIN 1700 P RELIANCE 760 P TATASTEEL 380 P HINDALCO 120 P PANTALOONR 200 P MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % 37.41% 37.03% 34.01% 33.22% 40.49% 41.64% 44.28% 44.63% 62.92% 73.22% 119375 16.46% 212000 22.90% 341000 35.05% 601000 26.26% 184000 IV Chg % 1.01% 2.37% -2.76% -0.77%

53.22% 57.23% 3708000 MOST ACTIVE STOCK FUTURES

-8.91% -14.07%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 28 NOV 2011 Chg. OI % 2.38% -3.58% -1.13% -0.97% 0.53% INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Buy 2184.22 9920.04 1670.60 241.60 14016.45 Sell 1653.14 9009.38 1140.99 230.17 12033.67 Difference 531.08 910.67 529.60 11.43 1982.78

Strike CoC SBIN ICICIBANK RELIANCE TATASTEEL TATAMOTORS

Curr. CoC -11.99% 7.63% 6.68% -7.54% -4.11%

Pre OI -6.45% 4.71% 5.56% -0.91% -4.53%

Curr. OI 7387375 12783250 10900750 19357000 38870000

View
Weekly

Futures: Advance Decline (AD) Ratio


Advance 53 178 2 233 0.30

VWAP 4800

Trend

Lower Range 4800

Higher Range 5000-5050* Decline Unchanged Total

*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
Lower Range 4500
*On closing basis

Higher Range 5100* AD Ratio

Derivative Calls
Date 29-Nov-11 28-Nov-11 Scrips IDFC HDFC Buy/Sell Buy Buy Initiation Range 114-115 626-628 Stoploss 112 627 Target 118-122 635-645 Remark Stopped Out Targets Achieved

Derivative Ideas
Date 29-Nov-11 25-Nov-11 Scrips Nifty Nifty Buy/Sell Buy Buy Initiation Range 4853-4854 4750-4751 Stoploss 4815 4715 Target 4920 4800 Time Frame Intraday 1-2 Days Remark Stopped Out Closed @ 4734.50

Strategy Tracker - 2 (Derivative Calls)


Date Scrips Buy/Sell Initiation Range Stoploss Buy Sell 8-9 4.20-4.40 0 0 Target 0 0 Timeframe Expiry Expiry Remark Open @ 5.50 Open @ 2.80 Mark to Market 0.00

29-Nov-11 Tata Steel CE 420 (1 Lot) 29-Nov-11 Tata Steel CE 440 (2 Lots)

2 Daring Derivatives November 30, 2011

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Strategy Tracker - 1
Date Scrips Buy/Sell Initiation Range Stoploss Buy Sell 62-63 34-35 0 0 Target 0 0 Timeframe Expiry Expiry Remark Open @ 52.50 Open @ 28.20 Mark to Market (385.00)

29-Nov-11 Nifty CE 5000 (2 Lots) 29-Nov-11 Nifty CE 5100 (2 Lots)

For Private Circulation only


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Daring Derivatives November 30, 2011 3

For Private Circulation only