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DATA ANALYSIS AND

INTERPRETATION

FUTURES :

ANALYSIS OF ICICI :
The objective of this analysis is to evaluate the profit/loss position of futures and options.
This analysis is based on sample data taken of ICICI BANK scrip. This analysis considered
the Jan 2015 contract of ICICI BANK. The lot size of ICICI BANK is 1700, the time period
in which this analysis done is from 01-01-2016 to 28.01.16.

Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16

Future Price

Market Price
235.3
233.45
227.6
217.1
211
204.8
205.3
211.65
206.4
209.2
207.75
197.4
192.15
203
195.2
192.7
195.4
198.5
198.9

237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45

Example of Calculation of Profit or Loss :


If a person buys 1 lot i.e. 1700 futures of ICICI BANK on 01st Jan, 2016 and sells on 28th Jan,
2016 then he will get a loss of 235.3 198.9 = -36.4 per share. So he will get a loss of -36.4 *
1700= -61880 /On the other hand, if he sells on 01st Jan, 2016 and buys on 28th Jan, 2016 then he will get a
profit of 235.3 198.9 = 36.4 per share. So his total profit will be 36.4 * 1700= -61880 /The closing price of ICICI BANK at the end of the contract period is 198.9 and this is considered
as settlement price.

Future Price & Market Price of ICICI BANK


300
200

Price

100
0
42373 42375 42377 42381 42383 42387 42389 42391 42396
42370 42374 42376 42380 42382 42384 42388 42390 42394 42397

Contract Dates
Future Price

Market Price

OPTIONS :

The following table explains the market price and premiums of calls.
The first column explains trading date
Second column explains the SPOT market price in cash segment on that date.
The third column explains call premiums amounting at these strike prices;
210,220,230,240,250.

Call options :

Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16

Market price

210
237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45

21.75
26.35
20.15
12.9
8.6
5.45
5.25
7.9
5.4
6.4
6.05
2.8
1.55
3
1.1
0.95
0.9
0.75
0.45
Table:2

CALL OPTION

Strike Prices
220
230

240

250

20
18.8
12.8
7.4
4.35
2.65
2.5
3.4
2.45
2.9
2.7
1.25
0.65
1.2
0.45
0.4
0.35
0.25
0.2

7.5
6.6
3.6
2
1
0.7
0.6
0.75
0.5
0.55
0.5
0.35
0.3
0.25
0.2
0.15
0.15
0.1
0.05

4.05
3.5
1.7
1
0.55
0.35
0.35
0.4
0.3
0.25
0.25
0.2
0.2
0.2
0.1
0.1
0.1
0.1
0.1

13
11.6
7.4
3.95
2.05
1.25
1.1
1.55
1
1.1
1.15
0.55
0.4
0.55
0.25
0.25
0.15
0.15
0.1

Example of Calculation of Profit or Loss :


BUYERS PAY OFF :
Those who have purchase call option at a strike price of 230, the premium payable is

13

On the expiry date the spot market price is Rs. 198.45. As it is out of the money for
the buyer and in the money for the seller, hence the buyer is in loss.
Premium at the end of the contract is 0.1, So the buyer will have a loss i.e. 12.9 per
share. So the total loss will be 12.9*1700= 21,930 /SELLERS PAY OFF :
It is out of the money for the buyer and in the money for the seller, hence the seller
will be in profit

The profit is equal to the loss of buyer i.e. 21,930 /

Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
Put options :

Market price
237.3
233.2
230.15
217.2
210.4
204.05
203.95
209.4
208.55
209.4
207.25
199.25
193.55
203.5
196.6
190.75
196.15
198.8
198.45

210

220

230

240

250

2.1
3
3.15
5.8
7.6
10.25
10.1
6.25
8.95
7.25
8.45
15.1
18.95
9.85
16
19.5
14.85
12.15
11.5

4.15
5.1
5.6
10
13.2
17.5
17.05
12.05
16
13.95
14.7
23.55
26.5
17.95
24.8
28.15
22.4
21.9
21.65

7.4
8.75
9.8
16.25
20.45
26
25.65
21
23
22.25
23
30.85
36.6
27.1
35.05
38.85
34.75
30.75
32.75

12
13.5
15.75
24.15
30
36
38.85
33
30.8
30.9
32.4
42.5
47.2
34
37
48
44
40.7
41.9

18.25
20.3
23.8
32.5
38.9
44.85
47.1
47.1
38.35
38.35
44.9
52.1
52.1
52.1
72.05
60.5
54
54
52

Table:3

PUT OPTION
Example of Calculation of Profit or Loss :
BUYERS PAY OFF :
Those who have purchase call option at a strike price of 230, the premium payable is

7.4

On the expiry date the spot market price is Rs. 198.45. As it is in of the money for the
buyer and out of the money for the seller, hence the buyer is in profit.
Premium at the end of the contract is 32.75, So the buyer will have a profit i.e. 25.35
per share. So the total profit will be 25.35*1700= 43,095 /SELLERS PAY OFF :
It is in of the money for the buyer and out of the money for the seller, hence the seller
will be in loss.

The loss is equal to the profit of buyer i.e. 43,095 /

FUTURES :
ANALYSIS OF SBI:The objective of this analysis is to evaluate the profit/loss position of futures and options.
This analysis is based on sample data taken of SBI scrip. This analysis considered the Jan
2016 contract of SBI. The lot size of SBI is 2000, the time period in which this analysis done
is from 01-01-2016 to 28-01-16.
Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16

Market Price

Future price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159

184.45
186.1
180.8
173.2
169.6
166.75
163.3
169
172.35
167.45
159.7

18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16

154.25
154.8
167.85
156.4
158.95
159.8
164.7
164.9

154.45
155.05
167.55
155.55
159.25
159.35
164.5
164.9

Example of Calculation of Profit or Loss :


If a person buys 1 lot i.e. 2000 futures of SBI on 1st Jan, 2016 and sells on 28th Jan, 2016 then he
will get a loss of 184.45-164.9 = -19.55 per share. So he will get a loss of -19.55*2000=
-39,100/On the other hand, if he sells on 1st Jan, 2016 and buys on 28th Jan, 2016 then he will get a profit
of 184.45-164.9 = 19.55 per share. So his total profit of 19.55*2000= 39,100/The closing price of SBI at the end of the contract period is 164.9 and this is considered as
settlement price.

Chart Title
200
150
100
50
0

Market Price

Future price

FINDINGS & OBSERVATIONS

The following table explains the market price and premiums of calls.
The first column explains trading date
Second column explains the SPOT market price in cash segment on that date.
The third column explains call premiums amounting
at these strike prices;
160,170,180,190,200

Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16
25-Jan-16
27-Jan-16
28-Jan-16
options:

Market price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159
154.25
154.8
167.85
156.4
158.95
159.8
164.7
164.9

160

170

180

190

200

23.75
24.95
22.6
17.15
14
12.95
10.8
13.95
14.9
12.65
8.75
5.75
4.35
9.95
3.7
5
3.9
6.5
6

18.2
19.45
14.75
10.8
8.15
7.25
5.85
7.9
9
7.15
4.65
2.75
1.75
4.8
1.35
1.7
1.1
1.65
1.2

12
12.65
8.8
6.3
4.45
3.7
2.9
4
4.75
3.65
2.25
1.3
0.75
1.9
0.55
0.65
0.4
0.4
0.25

7
7.35
4.95
3.35
2.2
1.85
1.4
1.9
2.15
1.65
1.1
0.6
0.3
0.75
0.3
0.25
0.2
0.15
0.1

3.75
4.05
2.5
1.8
1.1
0.9
0.65
0.8
0.85
0.7
0.55
0.25
0.25
0.35
0.15
0.15
0.1
0.1
0.05

Table:5

Call

OBSERVATIONS AND FINDINGS


CALL OPTION
Example of Calculation of Profit or Loss :
BUYERS PAY OFF :
Those who have purchase call option at a strike price of 180, the premium payable is

12

On the expiry date the spot market price is Rs. 164.9. As it is out of the money for the
buyer and in the money for the seller, hence the buyer is in loss.
Premium at the end of the contract is 0.25, So the buyer will have a loss i.e. 11.75 per
share. So the total loss will be 11.75*2000= 23,500 /SELLERS PAY OFF :
It is out of the money for the buyer and in the money for the seller, hence the seller
will be in profit

The loss is equal to the profit of buyer i.e. 23,500 /

Put options:

Date
01-Jan-16
04-Jan-16
05-Jan-16
06-Jan-16
07-Jan-16
08-Jan-16
11-Jan-16
12-Jan-16
13-Jan-16
14-Jan-16
15-Jan-16
18-Jan-16
19-Jan-16
20-Jan-16
21-Jan-16
22-Jan-16

Market Price
184.4
185.25
179.9
172.75
169.4
166.05
162.85
168.2
172.15
167.05
159
154.25
154.8
167.85
156.4
158.95

150

175

200

225

250

0.95
0.65
0.95
2.1
2.45
2.65
3.1
2.05
1.65
2.15
4.95
5.65
4.55
1
3.75
1.8

5.4
4.4
6.05
10.2
12
12.5
14.6
11.5
10
12.15
19
22
20.65
11
20.2
16.15

18.75
17.15
22
28.45
31.35
33
36
33.7
28.3
33
40
45
44.5
32.6
35.95
44.2

42.25
38.25
43.4
51.7
51.7
51.7
61
57.35
57.35
57.35
57.35
57.35
75
75
75
75

64.25
64
68.5
74.3
79.95
79.95
79.95
79.95
79.95
79.95
85
85
85
85
85
85

25-Jan-16
27-Jan-16
28-Jan-16

159.8
164.7
164.9

1.7
0.45
0.25

16.65
11.05
10

41.35
35
35

67.8
67.8
60

85
85
85.7

Table:6

PUT OPTION
Example of Calculation of Profit or Loss :
BUYERS PAY OFF :
Those who have purchase call option at a strike price of 200, the premium payable is

18.75

On the expiry date the spot market price is Rs. 164.9. As it is in of the money for the
buyer and out of the money for the seller, hence the buyer is in profit.
Premium at the end of the contract is 35, So the buyer will have a profit i.e. 16.25 per
share. So the total profit will be 16.25*2000= 32,500 /-

SELLERS PAY OFF :


It is in of the money for the buyer and out of the money for the seller, hence the seller
will be in loss.

The loss is equal to the profit of buyer i.e. 32,500 /

OBSERVATIONS, FINDINGS
Futures :

The future price of ICICI BANK & SBI are moving along with the market price.

If the buy price of the future is less than the settlement price, than the buyer of a future
gets profit.

If the selling price of the future is less than the settlement price, than the seller incur
losses.
Options :

In bullish market the call option writer incurs more losses so the investor is suggested to go
for a call option to
hold, where as the put option holder suffers in a bullish market, so he is suggested to write a
put option.
In bearish market the call option holder will incur more losses so the investor is suggested to
go for a call option
to write, where as the put option writer will get more losses, so he is suggested to hold a put
option.

CONCLUSION
The derivatives market is newly started in India and it is not known by every
investor, so SEBI has to take steps to create awareness among the investors about
the derivative segment.
In order to increase the derivatives market in India, SEBI should revise some of
their regulations like contract size, participation of FII in the derivatives market.
Contract size should be minimized because small investors cannot afford this
much of huge premiums.
SEBI has to take measures to use effectively the derivatives segment as a tool of
hedging.

SUMMARY
Derivatives market is an innovation to cash market. Approximately its daily turnover
reaches to the equal stage of cash market.
In cash market the profit/loss of the investor depends on the market price of the
underlying asset. The investor may incur huge profits or he may incur Huge losses.
But in derivatives segment the investor enjoys huge profits with limited downside.
In cash market the investor has to pay the total money, but in derivatives the investor
has to pay premiums or margins, which are some percentage of total contract.
Derivatives are mostly used for hedging purpose.
In derivative segment the profit/loss of the option writer purely depends on the
fluctuations of the underlying asset.