DERIVATIVE REPORT

MAY 18th 2010

Nifty Sentiment Indicators
Put Call Ratio-Index Options 0.97
Put Call Ratio-Stock Options 0.4 Nifty may future added 38.54 lakh shares in OI, up 13%. NIFTY Future traded
at a discount of 4 points, down 0.53% at 5056.5. Annual volatility was at
Volume 22.47.
Product 17.05.10 14.05.10 % Chg Nifty June future added 3.71 lakh shares in OI, up 5.68%. NIFTY Future
Stock Futures 581977 527496 10.33 traded at a discount of 5 points, down 0.69% at 5055.
Index Futures 917683 733349 25.14 BANKNIFTY may future added 0.1 lakh shares in OI, up 0.9%. BANKNIFT
Index Options 2730899 2337596 16.83 future traded at a discount of 11 points has, down 0.61% at 9515. Annual
Stock Options 128295 116768 9.87 volatility is at 28.39.
Total F&O 4358854 3715209 17.32 Reliance, tata steel, sesagoa and SBIN were the most active stocks on
yesterday's trade.
Tata Steel May 2010 futures were at premium at 537.10 compared to the spot
Index Spot Future Basis closing of 535.80. Tata Motors May 2010 futures were at premium at 789.50
BANKNIFTY 9526.5 9515 (12) compared to the spot closing of 788. State Bank of India May 2010 futures
were at discount at 2243.90 compared to the spot closing of 2250.
CNXIT 5744.55 5718 (27)
NIFTY 5060 5057 (3)

Increase in Open Interest and Increase in Price Increase in Open Interest and Decrease in Price
%Price %Price
Stocks Price Change Opn. Int (OI) %OI Change Stocks Price Change Opn. Int (OI) %OI Change
DENABANK 94.20 6.32 1413.00 45.67 ONMOBILE 301.55 -2.09 1148.00 23.84
BGRENERGY 613.00 4.47 276.00 32.06 DLF 288.05 -3.40 21557.00 19.91
ABB 826.10 23.54 9835.00 28.81 JISLJALEQS 976.00 -1.48 560.00 17.15
SBIN 2243.00 1.05 29054.00 21.00 IDFC 161.40 -2.12 3841.00 14.35
VOLTAS 179.30 1.13 683.00 17.56 ANDHRABANK 131.30 -1.28 1965.00 10.77

Nifty Option Open Interest Distribution

On the call side nifty May 5100 call added 11.49 lakh shares in OI,
10,000,000 up 24.98% while nifty May 5000 call added 11.50 lakh shares in OI,
O p e n In te r e st

8,000,000 up 40.69% meanwhile 5400 call witnessed shedding in OI. On the

6,000,000 CMP CALL put side nifty April 5000 put added 3.5 lakh shares in OI, up 3.97%
4,000,000 PUT While 5000 put witnessed addition of 3.5 lakh shares in OI, up
2,000,000 3.97%. The put-call ratio of stock option decreased from 0.37 to
0 0.35 while put-call ratio of index option decreased from 1.02 to
1.01. On the whole the put call ratio was at 0.95. In the next few
 

 
00

00

00

00

00

00

00

00

00

trading session benchmark index is likely to move in the range of

0.

0.

0.

0.

0.

0.

0.

0.

0.
30

50

70

90

10

30

50

70

90

5000-5200.
 4

 4

 4

 4

 5

 5

 5

 5

 5

Strike Price

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DERIVATIVE REPORT
NIFTY BULLISH CALL SPREAD NIFTY BEARISH PUT SPREAD
ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS

BUY 5100 -60 BUY 5100 -104

65 -35 59 -41
SELL 5200 25 SELL 5000 63

BUY 5200 -25 BUY 5000 -63

83 -17 74 -26
SELL 5300 8 SELL 4900 37

BUY 5100 -60 BUY 5100 -104

148 -52 133 -67
SELL 5300 8 SELL 4900 37

STRATEGY TRACKER
DATE OF PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW 17/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 7.15 BOOK PROFIT
SELL NIFTY MAY 4800 PA @ 16
BUY RNRL MAY 65 PA @ 4.75
5/5/2010 RNRL (9.30) 7.05 BOOK PROFIT
BUY RNRL MAY 70 CA @ 4.55
SELL SUZLON MAY 80 CA @ 0.85
7/5/2010 SUZLON 1.65 (0.50) HOLD
SELL SUZLON MAY 65 PA @ 0.80
BUY ICICIBANK MAY FUTURE @ 922
11/5/2010 ICICIBANK (14.00) 3.40 BOOK PROFIT
BUY ICICIBANK MAY 900 PA @ 14
SELL TATASTEEL MAY 620 CA @ 7.85
12/5/2010 TATA STEEL 16.35 (5.20) HOLD
SELL TATASTEEL MAY 540 PA @ 8.5
BUY BHARTIARTL MAY 260 PA @ 9.6
13/5/2010 BHARTIARTL (8.60) (3.90) EXIT
SELL BHARTIARTL MAY 220 PA @ 1
BUY TATA MOTORS MAY FUTURE @ 830
14/2/10 TATA MOTORS (19.70) (18.20) HOLD
BUY TATA MOTORS MAY 820 PA @ 19.7

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