DERIVATIVE REPORT

04 AUG 2010
Nifty Sentiment Indicators Nifty August future added 20.45 lakh shares in OI, up 7.08%. NIFTY Future is
Put Call Ratio-Index Options 1.19 trading at a discount of 5points, up 0.01%at 5435. Annual volatility was at
Put Call Ratio-Stock Options 0.31 15.25.
Nifty September future added 2.06 lakh shares in OI, up 12.55%. NIFTY
Volume Future is trading at a par, up 0.06% at 5440.
Product 2.08.10 3.08.10 % Chg BANKNIFTYAugust future added 2.92 lakh shares in OI, up 9.88%.
Index Futures 416099 319716 -23.16% BANKNIFT future is trading at a discount of 49 points, up 0.88% at 10454.
Stock Futures 439956 500250 13.70% Annual volatility is at 18.88.
Index Options 1331584 1179845 -11.40% Tata steel, sbin, icici bank, hindalco and reliance were the most active stocks
Stock Options 77648 106669 37.38% on yesterday's trade.
Tata steel August fut traded at a premium of 1.3 points witnessing 0.92%
Total F&O 2265287 2106480 -7.01%
down in OI. The stock was down 1.90% at 547.95. Annual volatility is 35.03
and total deliverable percentage as on 3rd Aug was 32.39%.
Reliance August fut traded at a premium of 4 points recording 0.29%
Index Spot Future Basis decrease in OI. The stock was up 0.95% at 1031.80. Annual volatility is 25.08
BANKNIFTY 10502.65 10454 (49) and total deliverable quantity is 60.71%.
CNXIT 6077 6093 16 Sbin August fut traded at a discount of 13 point recorded 8.21% increase in
OI. The stock was up 0.58% at 2590.10. Annual volatility is 26.56 and total
NIFTY 5439.55 5435 (5) deliverable quantity is 52.19%.

Increase In OpenInterest Decrease In OpenInterest

Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price

SRTRANSFIN 73 159 117.81% 715.2 2.13% SAMRUDDHI 9 8 -11.11% 478 -0.10%

ITC 7206 15228 111.32% 154.4 -50.79% GMDCLTD 1304 1197 -8.21% 124.85 -0.48%

SUNTV 323 423 30.96% 473 3.06% PATELENG 1121 1059 -5.53% 435.5 -0.09%
ADANIPOWER 557 715 28.37% 135.3 -0.26% PFC 1898 1806 -4.85% 328.3 0.35%
PETRONET 1089 1365 25.34% 96.45 4.55% YESBANK 6273 5994 -4.45% 309.3 0.50%

Nifty Option Open Interest Distribution 10,000,000

8,000,000
open interest

Nifty july 5400 and 5500 call added 5.07 and 8.91 lakh shares from 6,000,000 call
CMP
OI. On the put side nifty june 5300 put added 4.50 lakh shares in
4,000,000 put
OI, up 5.58% and 5200 put added 5.78 lakh in OI, up 11.17%. The
put-call ratio of stock option increased from 0.289 to 0.31 while 2,000,000
put-call ratio of index option increased from 1.11 to 1.19. On the 0
whole the put call ratio was at 1.07.
0

0
.0

.0

.0

.0

.0

.0

.0

.0

.0
00

00

00

00

00

00

00

00

00
44

46

48

50

52

54

56

58

60

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 5400 -101.6 BUY 5400 -70
47.9 -52.1 71.65 -28.35
SELL 5500 49.5 SELL 5300 41.65
BUY 5500 -49.5 BUY 5300 -41.65
68.4 -31.6 82.55 -17.45
SELL 5600 17.9 SELL 5200 24.2
BUY 5600 -17.9 BUY 5400 -70
283.7 83.7 154.2 -45.8
SELL 5400 101.6 SELL 5200 24.2

STOCK STRATEGY AS ON 4th Aug 2010 PAY OFF MATRIX

UNDERLYING ASSET RELIANCE IND
100
CMP 1028 80
BUY REL IND AUG 1060 CA @ 12.20 60
STRATEGY
SELL TWO REL IND AUG 980 PA @ 6.55 40
20
MAX LOSS UNLIMITED 0
-20 0 2 4 6 8 10 12
MAX PROFIT UNLIMITED
-40
BEP 979.1 -60
-80
LOT SIZE 250 -100

DATE OF NET PROFIT/ LOSS AS

STRATEGY UNDERLYING ASSET STRATEGY ON 3/08/10 REMARK

SELL REL IND JULY1080 CA @17.10

8/7/2010 REL IND 7.75 BOOK PROFIT
SELL REL IND JULY1020 PA @ 11.20
BUY SBIN JULY 2350 CA @ 55
11/7/2010 SBI IND 60.00 BOOK PROFIT
SELLSBIN JULY 2250 PA @ 15

15/7/2010 TISCO BUY TISCO JULY 520 CA @ 10.20 10.00 BOOK PROFIT
BUY TISCO JULY 480 PA @ 3.05
SELL REL IND JULY1080 CA @8
23/7/2010 REL IND 4.00 BOOK PROFIT
SELL REL IND JULY1020 PA @ 2.3
BUY NIFTY AUG 5300 PA @ 71.9
28/7/2010 NIFTY 0.00 HOLD
SELL NIFTY TWO AUG 5000 PA @ 20.50
BOOK PROFIT
29/7/2010 ICICI BANK BUY ICICIBANK AUG 960 CA @ 13.50 9.00 AS ON
SELL ICICIBANK AUG 860 PA @9.5 4/8/2010

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