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For

February20,2008

DERIVATIVE TRADING STRATEGY


IndexOption
S&PCNXNiftyIndex
Outlook:Expectingtomovedowninnexttwothreetradingsessions. Strategy:BearSpread IndexPrice ExercisePrice Premium LongPut5200 LongPut107.05 5280.80 ShortPut5100 ShortPut77.20 BearSpreadPayoffTable
Stock Price 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 Short PutCash Flow 600 500 400 300 200 100 0 0 0 0 0 0 0 Long Put Cash Flow 700 600 500 400 300 200 100 0 0 0 0 0 0 ShortPut Payoff 522.8 422.8 322.8 222.8 122.8 22.8 77.2 77.2 77.2 77.2 77.2 77.2 77.2 LongPut Payoff 592.95 492.95 392.95 292.95 192.95 92.95 7.05 107.05 107.05 107.05 107.05 107.05 107.05 Profit/ Loss 70.15 70.15 70.15 70.15 70.15 70.15 70.15 29.85 29.85 29.85 29.85 29.85 29.85

(Lotsize/ExpiryDate50/Feb28,2008)

TargetPrice 52005150

MaximumLoss 29.85

Bear Spread Payoff Graph (using Put)


Short Put Payoff 800 600 Long Put Payoff Profit/Loss

L o s s /P r o fit

400 200 0
00 00 00 00 00 00 00 52 00 53 00 54 00 55 00 56 00 57 00 58 00 59 00 60 00 46 48 50 45 47 49 51

Stock Price

-200 -400 -600

StockOption
RIL Outlook:Expectingdowntrend. Strategy:BearSpread StockPrice ExercisePrice LongPut2500 2554.55 ShortPut2400 BearSpreadPayoffTable
Stock Price 2325 2350 2375 2400 2425 2450 2475 2500 2525 2550 2575 2600 2625 Short PutCash Flow 75 50 25 0 0 0 0 0 0 0 0 0 0 LongPut Cash Flow 175 150 125 100 75 50 25 0 0 0 0 0 0 ShortPut Payoff 53.4 28.4 3.4 21.6 21.6 21.6 21.6 21.6 21.6 21.6 21.6 21.6 21.6 LongPut Payoff 121.55 96.55 71.55 46.55 21.55 3.45 28.45 53.45 53.45 53.45 53.45 53.45 53.45 Profit/ Loss 68.15 68.15 68.15 68.15 43.15 18.15 6.85 31.85 31.85 31.85 31.85 31.85 31.85
140 120 100 80 60 40 20 Stock Price

(Lotsize/ExpiryDate75/Feb28,2008)

Premium LongPut53.45 ShortPut21.6

TargetPrice 24502420

MaximumLoss 31.85

Bear Spread Payoff Graph (using Put)


Short Put Payoff Long Put Payoff Profit/Loss

L o s s / P r o f it

0 -20 2325 2350 2375 2400 2425 2450 2475 2500 2525 2550 2575 2600 2625 2650 2675 2700 -40 -60 -80

Vipul Kumar Singh, vipulks@bajajcapital.com

Bajaj Capital Centre for Investment Research

Derivative Strategies February 20, 2008

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