DERIVATIVE STRATEGIES

11 Nov 2009

INDEX FUTURES – INDIA

%Change in % Change in F&O MARKET – SNAPSHOTS
Symbol
Open Interest Price
Nifty -5.34 -0.58 The market opened on a firm note on higher Asian stocks and overnight solid rally in
Bank Nifty 7.47 0.16 US stocks. Finally markets ended volatile session on a flat note as gains in metals
Cnx IT -9.92 -1.12 and were offset by realty stocks. On the F&O front, the open interest of NIFTY
November futures declined by 5.34% coupled negative cost of carry suggesting long
BASIS IN FUTURES positions closed at higher levels. The PC RATIO is declined to 1.33 from 1.49
Futures indicating upside sustainable movement can be expected from current levels. The
Symbol Spot Price Basis NIFTY call and put options suggests that the index may not hold 4,900 levels in the
Price
Nifty 4881.7 4874.7 -7 coming days and may slip below 4,800. Index futures saw a trading volume of
Bank Nifty 9179.5 9138.3 -41 Rs.16991.35 crores arising out of 718367 contracts and Index option saw 1634370
contracts getting traded at a notional value of Rs.40209.88 crores. The total turnover
Cnx IT 5064.9 5066.4 2
of the Futures & Options segment of the Exchange was around Rs.81008.35 crores.
NIFTY - OPTIONS INDICATORS
Among stock F&O part, RELIANCE & BHARTIARTL were the most active futures and
PC Ratio Implied Volatility
Date options contracts on individual securities. Out of 179 securities, options on 106 and
(OI) Call Put futures on 178 underlying securities got traded. SBIN: The outlook of the stock is
04 Nov 1.04 27.5 28.46 likely to remain bullish and it can be expected to trade above 2400 levels. FIIs were
05 Nov 1.15 27.45 28.07 NET BUYERS of Rs. 657.38 Crores in the futures and options market.
06 Nov 1.19 26.74 27.73
09 Nov 1.49 25.81 26.64
10 Nov 1.33 26.94 27.95 NIFTY VIEW:
ACTIVE INDEX CALL OPTIONS
% Change
For the day, NIFTY may open flat to positive and it can be expected to trade
Strike Closing sideways. NIFTY will face strong resistance at 4930 and 4947 levels. If NIFTY trades
Expiry Date in Open
Price Price
Interest above this level, it could test at 4970. Alternatively, if NIFTY falls below 4860 levels
4900 26 Nov 09 98.00 36.68% then fresh short positions can be expected which could test at 4820 and 4790 levels.
5000 26 Nov 09 56.50 22.31% The upsides stop loss for the short holders would be ideally at 4950.
5100 26 Nov 09 30.00 14.48% .
5200 26 Nov 09 14.80 4.29%
4800 26 Nov 09 154.25 4.97%
5300 26 Nov 09 6.70 -0.65%

ACTIVE INDEX PUT OPTIONS

% Change
Strike Closing
Expiry Date in Open
Price Price
Interest
4800 26 Nov 09 84.40 -14.45%
4900 26 Nov 09 125.95 2.66%
4700 26 Nov 09 56.95 0.93%
4600 26 Nov 09 37.70 -3.50%
4500 26 Nov 09 24.85 -3.27%
4400 26 Nov 09 16.75 -0.57%

Devarajan. S
Janet Alice Rani
 ACTIVE STOCK OPTIONS
OPEN INTEREST GAINERS % Change in Open
Symbol Strike Price Option Type Closing Price
S No Interest
Symbol % Change
1 RELIANCE 2100 CA 140.46 43.40
ASIANPAINT 48.53%
2 TATASTEEL 520 CA 28.47 14.90
EDUCOMP 37.05%
3 IFCI 55 CA 20.80 1.70
COLPAL 26.53%
4 TATAMOTORS 600 CA 44.72 25.30
NAGARCONST 22.60%
5 UNITECH 90 CA 13.83 3.60
SUNTV 19.73%
6 DLF 400 CA 20.92 13.80
7 ICICIBANK 900 CA 29.03 31.00
OPEN INTEREST LOSERS 8 SBIN 2400 CA 29.56 62.70
Symbol % Change 9 RNRL 80 CA 0.71 2.80
ITC -19.40%
TECHM -17.77%
WATCH -STOCK OPTIONS
Overvalued
HOTELEELA -14.74% Option Closing Theoretical
S.No Symbol Strike Price /Undervalued
Type Price Price
HDIL -12.47% Options
1 RELIANCE 2100 CA 43.40 95.18 Under Valued
HINDZINC -12.35%
2 TATASTEEL 520 CA 14.90 21.08 Under Valued
3 IFCI 55 CA 1.70 1.41 Over Valued
GROWTH IN DERIVATIVES MARKET

% Change in % Change in VOLATILITY (TOP TRADED STOCK FUTURES)

Product
Volume Turnover
Symbol Previous Day Current Day % Change
Index Futures 10.19% 10.85% RELIANCE 2.61 2.54 -2.55%
Stock Options 18.42% 20.85% SBIN 2.82 2.76 -2.20%
Index Options 2.19% 3.60% TATAMOTORS 2.61 2.58 -0.85%
ICICIBANK 3.00 2.92 -2.73%
Stock Options 20.52% 23.26%
TATASTEEL 3.35 3.26 -2.74%

FII ACTIVITY UNITECH 4.63 4.56 -1.58%

%Change in number of contracts DLF 4.22 4.18 -0.86%

Product Open JINDALSTEL 3.08 2.98 -3.03%
Buy Sell
Interest RELINFRA 3.20 3.13 -2.30%
Index Futures -2.72% 37.53% -4.32%
HDIL 4.80 4.67 -2.67%
Index Options 66.89% 47.57% 2.94%
SESAGOA 4.65 4.55 -2.10%
Stock Futures 7.97% 18.14% -0.24%
Stock Options 17500.00% 530.99% 3.66% BULLISH & BEARISH TRENDS
Net Buy/Sell (Rs. in Crores) 657.38 % Change in
% Change in
S.No Symbol Open Trend
Price
Interest
VOLUME ANALYSIS – NIFTY 1 RELIANCE -6.17% 1.05% Sideways
2 SBIN 9.56% 1.49% Positive
Volume (in Lakhs)

900
700 3 TATAMOTORS 5.28% 2.23% Positive
500 4 ICICIBANK -10.05% 0.97% Positive
300
5 TATASTEEL -3.47% -1.05% Positive
100
6 UNITECH -10.09% -3.15% Weak
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7 DLF 6.39% -3.50% Weak

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8 JINDALSTEL -4.97% -0.21% Positive

9 RELINFRA 7.39% -1.56% Weak
10 HDIL -12.47% -1.66% Sideways
 STRATEGY UPDATE

PRE-MARKET CALL (FUTURES): No Pre-Market Call Today

FRESH OPTIONS STRATEGIES: No Fresh Options Strategy Today

RECOMMENDATIONS TRACKER

FUTURES

Maximum
high/low
S No. Recom. Date Scrip Long/Short Price Target SL % Return Remarks
reached after
call initiation

1 10 NOV 09 NIFTY Long 4925 4980 4890 4934 - 0.72 INTRADAY CALL

POSITIONAL CALL –
2 9 NOV 09 NIFTY Long 4890 5030 4820 4947.55 - 0.41 EXITED @ 4870
on 10 Nov 09

OPTIONS:

Profit / Loss
S.No: Recom. Date Expiry Date Symbol Recom. Strategy Action Entry LTP/Exit Return % Remarks
(Rs. Per Lot)
Buy 2040 Call
LONG
1 9-Nov-09 26-Nov-09 RELIANCE & Buy 1950 46 & 47 71.5 & 27.6 915 6.56 Hold
STRANGLE
Put
LONG Buy 55 Call &
2 10 Nov 09 26 Nov 09 IFCI 2.20 & 2 1.7 & 2.45 -394 -1.19 Hold
STRANGLE Buy 50 Put

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