DERIVATIVE REPORT

2ND SEP 2010

Nifty Sentiment Indicators Nifty Sep future shed 5.35 lakh shares in OI, up 1.66%. NIFTY Future is trading
Put Call Ratio-Index Options 1.22 at a premium of 5 points, up 1.35%at 5477. Annual volatility was at 14.24.
Put Call Ratio-Stock Options 0.26 Nifty Oct future added 1.27 lakh shares in OI, up 8.46%. NIFTY Future is
Volume trading at a premium of 11 point, up 1.37% at 5483.
BANKNIFTY Sep future shed 0.43 lakh shares in OI, down 1.80%. BANKNIFT
Product 31.08.10 30.08.10 % Chg
future is trading at a premium of 15 points, up 1.44% at 10895. Annual volatility
Index Futures 689260 557777 -19.08% is at 20.59.
Stock Futures 582369 596177 2.37% Tata steel, sbin, icici bank, tata motor and reliance were the most active stocks
Index Options 2480339 2076961 -16.26% on yesterday's trade.
Stock Options 117685 113499 -3.56% Tata steel Sep fut traded at a premium of 2 points witnessing 4.59% up in OI.
Total F&O 3869653 3344414 -13.57% The stock was up 2.87% at 540.70. Annual volatility is 34.97 and total deliverable
percentage was 31.03%.
Reliance Sep fut traded at a premium of 4 points recording 1.39% decrease in OI.
Index Spot Future Basis The stock was up 2.04% at 944.50. Annual volatility is 23.05 and total deliverable
quantity was 69.37%.
NIFTY 5471.85 5477 5 Sbin Sep fut traded at a premium of 5 points, 2.52% up in OI. The stock was up
BANKNIFTY 10879.75 10895 15 0.65% at 2777. Annual volatility is 33.07 and total deliverable quantity was
CNXIT 6086.45 6081 (5) 28.83%.

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
AUROPHARMA 3721 4500 20.94% 1055 0.87% KFA 4247 3870 -8.88% 62.5 4.52%
DISHTV 1437 1729 20.32% 53.95 6.41% HOTELEELA 743 691 -7.00% 52.75 1.54%
HCLTECH 2294 2755 20.10% 390.35 1.14% SOBHA 359 336 -6.41% 349 5.31%
INDIANB 354 415 17.23% 250.7 0.66% DENABANK 2052 1949 -5.02% 106.15 2.46%
HEROHONDA 21989 25386 15.45% 1732 -2.16% COLPAL 541 518 -4.25% 829 -0.20%

Nifty Option Open Interest Distribution 12,000,000

10,000,000
open interes t

8,000,000 call
Nifty Sep 5500 call added 5.76 lakh shares in OI, up 8.47% and 6,000,000
5600 call added 7.16 lakh shares in OI, upCMP
9.17%. On the put side 4,000,000 put
nifty Sep 5400 put added 15.79 lakh shares in OI, up 16.76% and 2,000,000
5300 put shed 1.47 lakh in OI, down 1.85%. The put-call ratio of 0
stock option decreased from 0.35 to 0.26 while put-call ratio of
 

 
00

00

00

00

00

00

00

00

00

index option increased from 1.15 to 1.22. On the whole the put call
0.

0.

0.

0.

0.

0.

0.

0.

0.
50

70

90

10

30

50

70

90

10

ratio was at 1.14.

 4

 4

 4

 5

 5

 5

 5

 5

 6

strike price

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 DERIVATIVE REPORT
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike Price Contracts Traded Open Interest
NIFTY 30-Sep-10 5500 282028 7380700 NIFTY 30-Sep-10 5400 257955 11002650
NIFTY 30-Sep-10 5300 188074 7854600
NIFTY 30-Sep-10 5400 190026 5468500
NIFTY 30-Sep-10 5500 143591 5216450
NIFTY 30-Sep-10 5600 176649 8528900
NIFTY 30-Sep-10 5200 143061 9018250
NIFTY 30-Sep-10 5700 95337 7794400
NIFTY 30-Sep-10 5100 104071 6999150
NIFTY 30-Sep-10 5800 34382 3973950
NIFTY 30-Sep-10 5000 68802 6087950
NIFTY 28-Oct-10 5800 19036 1706650
NIFTY 30-Sep-10 4900 58307 6280450
NIFTY 28-Oct-10 5700 17610 1923850
NIFTY 30-Sep-10 4800 22880 3482150
NIFTY 28-Oct-10 5500 16351 1266900 NIFTY 30-Sep-10 4700 16536 1049300
NIFTY 30-Sep-10 5300 16200 2406100 NIFTY 28-Oct-10 5400 14819 1072300
NIFTY 28-Oct-10 5600 16000 1478650

STOCK STRATEGY AS ON 2ND SEP 2010 PAY OFF MATRIX

UNDERLYIN
G ASSET TATA STEEL 80
60
CMP 537.95 40
BUY TATASTL SEP 560 CA @ 11.40 20
STRATEGY 0
SELL TATASTL TWO SEP 500 PA @ 5.05
-20 0 2 4 6 8 10 12
MAX LOSS UNLIMITED -40
-60
MAX PROFIT UNLIMITED -80
-100
STOP LOSS BELOW 510 -120
-140
LOT SIZE 500

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 1/09/10 REMARK

26/8/2010 NIFTY BUY NIFTY SEP 5400 PA @ 93.70 10 POINTS HOLD

SELL NIFTY TWO SEP 5200 PA @ 50

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