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Derivatives WRAP

17 August, 2010 World indices
Index Sensex Nifty HangSeng Nikkie FTSE+ Dow Jones++
+ : as at 6 pm

Highlights
Close 18051 5418 21112 9197 5257 10303 % change -0.64 -0.62 +0.19 -0.61 -0.36 -0.16
++ : as of y esterday

Stocks fell in Europe, U.S. index futures declined and the Swiss franc strengthened as slower- than-forecast economic growth in Japan heightened concern the global recovery is sputtering. Treasuries and bunds rose. China surpassed Japan as the world's second-largest economy last quarter, capping the nation's three- decade rise from Communist isolation to emerging superpower Markets shed 0.6 percent on weak global peers as a weaker-than-expected gross domestic product data from Japan added to concerns over a faltering global economic recovery In the broader market, declining shares outpaced advancing ones in a ratio of 1.3:1 on a volume of 418.6 million shares India VIX rose substantially from 16.74 to 18.11 gaining around 8 % suggesting continuation of a range bound movement in the broad market with Upside Bias In the money Call option of 5400 acted as a good support level backed by buying in 5400 call whereas out of money call option of 5500 opened a marginal interest. 5500 may again be strong resistance level for Nifty to trade

Nifty OI V/s Price
Nifty OI v/s Price
40 30 20 10 0 5500 5480 5460 5440 5420 5400

35 35 36 36 37 37 31 32 33 34 33

10-Aug

11-Aug

12-Aug

13-Aug

Nifty Futures OI

Nifty Fut Price (RHS)

Put-Call concentration
Nifty Put-Call Concentration 140 120 100 80 60 40 20 0 Put-Call OI (in Lacs) 115 77 62 15 85 90 66 34 3 3 5 3 86 95 25.0 Implied Volatility 20.0 15.0 10.0 5.0 0.0 5000 5100 5200 5300 5400 5500 5600 Strike Put OI Call OI Implied Volatility

16-Aug

2-Aug

3-Aug

4-Aug

5-Aug

6-Aug

9-Aug

Puts saw profit booking when market jerked down..Markets is seen to be hovering around 5400 - 5500 levels for coming few sessions Volatility finally gave a substantial upmove , we expect it to increase further PCR was seen at 1.20

Sector Watch
High beta stocks- that rise and fall more than the benchmark indices- saw selling pressure. Realty stocks fell 1.09 per cent and metals declined 1.50 per cent Capital goods index declined 0.90 per cent. Healthcare and IT stocks sold off as well. Cipla was the biggest loser on the Sensex ending 3.63 per cent lower. L&T and ACC both declined more than a per cent. Among the defensive stocks, FMCG stood out.
Sector OI Watch
8%

7%
% chg

4% 2% 0% 1% 0% 2% 1% 2% 1% 1% -1%

4% 1% 2% 1% 1% 0% 1%

-3% Capital Goods Fertilisers Automobile Cement Banking

Technology

Power

Infrastructure

Oil & Gas

Sector

SBICAP Securities Limited • August 17, 2010 • 1

Derivatives Report

Telecom

Hotels

Finance

Metals

Realty

Index

Media

Others

FMCG

Pharma

Sugar

-2%

25 OI ( l ots ) 617000 13747000 2154000 24229000 6122000 Vol ume 5084 2741 1830 4131 646 % chg i n Vol 1818.25 338.75 -7.65 1.1 0.65 32.Derivatives Report Derivatives WRAP Up ward Potential S ymb ol GRASIM HINDUNILVR FEDERALBNK NTPC VIDEOIND Pr i ce 1964.25 117.6 2.15 Most active stock options Call O ptio n s S y m b ol CAIRN UNITECH CAIRN TATASTEEL RELIANCE E xp i ry D ate 40416 40416 40416 40416 40416 Strik e P r i ce 360 90 380 540 1000 Last T raded P r i ce 1.3 -0.738 1.01 12.85 1092. KFA .12 D el i ver y 561613 Del i .79 1281376.75 Op e n Int e r e s t 2614000 11724000 1214000 2337500 2577750 Pu t O pt io n s S y m b ol CAIRN SBIN TATAMOTORS TATASTEEL CAIRN E xp i ry D ate 26-Aug-10 26-Aug-10 26-Aug-10 26-Aug-10 26-Aug-10 Strik e P r i ce 340 2800 1000 520 320 Last T raded P r i ce 10.8 D el i ver y 2773851 144158 45394 419332 96555 Del i .243 T o tal OI (lo ts) 3.58 19.73 66.71 -0.135.00 16.948.12 299.45 Op e n Int e r e s t 775000 184625 553500 979500 642000 Ins titutional Flow s D ate N et C a sh 138 133 65 333 33 S e gm en twise F II S ta tis tics Inde x F utu re 210 (330) (837) (698) 486 Inde x O ptio ns 434 489 1. 2010 • 2 Derivatives Report .42 14.55 196.52% 90.108 3.903 833 S to c k F utu re 1 07 47 (280) (370) (76) N et F II 752 206 622 835 1.7 2761. ABAN Recommendations Long Bank Nifty Straddle -10700 A ct i on Buy Buy Scrip BankNifty Call 10700 BankNifty Put 10700 Ra t e 117 147 T ot a l P r e m paid 264 T ar g e t P re m 296 SL 248 SBICAP Securities Limited •August 17.4 20 11.93% 85.865.65 889. (% ) 1903.9 Bas i s 1 5.54 -9.5 0.32 -20.200.35 Bas i s -3. (% ) 395.85 1.94% 88.07 18.49 -56.05 5.3 1.44 ICC 12.046.85 137.49 908925 460694 195542 Do wn ward Potential S ymb ol CIPLA SUNPHARMA ULTRACEMCO INFOSYSTCH HINDZINC Pr i ce 305 1721.587 4.26 8.46% 09-A ug 10-A ug 11 ug -A 12-A ug 13-A ug Securities under ban period: IFCI .05 42.7 11.101 4.19 36.85 5.65 269.23 -30.71 11.12% 86.396 N et MF 1 24 (387) 11 5 1 40 (1 0) N SE S ymb ol ABAN ICSA KFA SUZLON EKC MWPL 4084145 7499580 17938191 145217678 9297593 NS E Op en Inter es t 4023750 6820000 15808000 126232000 7946000 OI % of Lim it 98.6 OI ( l ots ) 6399000 680250 1122000 3377875 362000 Vol ume 3563 1172 1115 8850 645 % chg i n Vol 100.24 5.58 -36.29 ICC -6.49 36.55 -0.7 235.56 127.02 -8.18 10.81 0 4.

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