DERIVATIVE REPORT make more, for sure.

15TH SEPTEMBER 2010

Nifty Sentiment Indicators F & O HIGHLIGHTS

Put Call Ratio-Index Options 0.92 Nifty Sep future shed 14.32 lakh shares in OI, down 3.69%. NIFTY Future is
trading at a premium of 21 points, up 0.93%at 5817. Annual volatility was at 17.20.
Put Call Ratio-Stock Options 0.27
Nifty Oct future added 2.17 lakh shares in OI, up 6.89%. NIFTY Future is trading
Volume at a premium of 27 point, up 0.96% at 5823.
Product 13.09.10 14.09.10 % Chg BANKNIFTY Sep future shed 0.31 lakh shares in OI, down 1.16%. BANKNIFT
Index Futures 681517 782196 14.77% future is trading at a discount of 8 points, up 0.59% at 11920. Annual volatility is at
Stock Futures 698769 829927 18.77% 27.25.
Index Options 3606299 3507919 -2.73% Tata steel, sbin, icici bank, tata motor and reliance were the most active stocks on
Stock Options 192406 193841 0.75% yesterday's trade.
Tata steel Sep fut traded at a premium of 2 points witnessing 3.17% up in OI. The
Total F&O 5178991 5313883 2.60%
stock was down 0.64% at 599. Annual volatility is 40.46 and total deliverable
percentage was 31.53%.
Tata motors Sep fut traded at a premium of 6 points recording 5.71% increase in
Index Spot Future Basis OI. The stock was up 2.96% at 1064. Annual volatility is 34.03 and total deliverable
quantity was 42.81%.
NIFTY 5796 5817 21
Sbin Sep fut traded at a discount of 6 points, 4.05% up in OI. The stock was down
BANKNIFTY 11928.35 11920 (8) 1.21% at 3083. Annual volatility is 41.78 and total deliverable quantity was
CNXIT 6441.75 6487 45 45.09%.

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
ASIANPAINT 937 1327 41.62% 2852.2 1.17% SRTRANSFIN 207 191 -7.73% 793.85 -0.15%
CESC 898 1209 34.63% 424 3.68% FEDERALBNK 1548 1435 -7.30% 370.5 -0.05%
HDIL 14741 18708 26.91% 269.7 -5.40% BEL 2583 2423 -6.19% 1779.5 -0.61%
CUMMINSIND 727 919 26.41% 750 0.79% EXIDEIND 802 758 -5.49% 166.25 3.13%
IOC 4552 5623 23.53% 442.45 5.43% PFC 923 876 -5.09% 359.3 2.25%

Nifty Option Open Interest Distribution

Nifty Sep 5800 call shed 6.98 lakh shares in OI, down 10.23% and 1 4 ,0 0 0 ,0 0 0
1 2 ,0 0 0 ,0 0 0
open interest

5900 call added 7.36 lakh shares in OI, up 24.12%. On the put side 1 0 ,0 0 0 ,0 0 0
nifty Sep 5700 put added 7.95 lakh shares in OI, up 13.39% and 8 ,0 0 0 ,0 0 0 c a ll
5600 put shed 3.56 lakh in OI, down 4.15%. The put-call ratio of 6 ,0 0 0 ,0 0 0 put
stock option decreased from 0.3 to 0.27 while put-call ratio of 4 ,0 0 0 ,0 0 0
2 ,0 0 0 ,0 0 0
index option decreased from 1.02 to 0.92. CMP
On the whole the put 0
call ratio was at 0.87.
 

 
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50

80

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70

00
 4

 4

 5

 5

 5

 6

s tr ike p r ic e

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5700-5900 level in short term as the OI is added. The trading strategy would be to create short positions
if the nifty resists around 5850 levels for the target of 5800 and 5750. On the other hand, one can also create long positions if the nifty gets support
around 5750 levels.

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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 5800 527082 6131300 NIFTY 30-Sep-10 5700 364007 6732750
NIFTY 30-Sep-10 5900 349782 3789150 NIFTY 30-Sep-10 5800 265342 4611550
NIFTY 30-Sep-10 5700 255635 8394300 NIFTY 30-Sep-10 5600 249869 8217650
NIFTY 30-Sep-10 6000 160881 1778250 NIFTY 30-Sep-10 5500 157883 10344600
NIFTY 30-Sep-10 5600 107201 6754400 NIFTY 30-Sep-10 5400 119488 12669850
NIFTY 28-Oct-10 5900 90333 4376750 NIFTY 30-Sep-10 5300 77981 8719300
NIFTY 28-Oct-10 5800 70551 4488000 NIFTY 28-Oct-10 5400 51134 2717400
NIFTY 28-Oct-10 6000 47918 1853500 NIFTY 28-Oct-10 5300 44022 2760750
NIFTY 30-Sep-10 6100 39917 557050 NIFTY 28-Oct-10 5500 39558 2008700
NIFTY 30-Sep-10 5500 29698 4321700 NIFTY 30-Sep-10 5200 32358 8335450

INTRA DAY STRATEGY INTRA DAY STRATEGY

BUY : TCS SEP FUT AT 895 BUY : SIEMENS SEP FUT AT 730

VIEW : BULLISH VIEW : BULLISH

STRATEGY: BUY FUTURE STRATEGY: BUY FUTURE

TARGET: 750
TARGET: 915

SL: 720
SL: 885

MARKET LOT :500

MARKET LOT :500

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 13/09/10 REMARK

14/9/2010 UNITECH BUY UNITECH SEP 90 CA @ 1 0.00 HOLD

SELL UNITECH SEP 80 PA @ 1

13/9/2010 NIFTY BUY NIFTY FUTURE AT 5630 93.70 107 POINTS BOOK PROFIT
BUY NIFTY SEP 5600 PA @52

26/8/2010 NIFTY BUY NIFTY SEP 5400 PA @ 93.70 20 POINTS BOOK PROFIT
SELL NIFTY TWO SEP 5200 PA @ 50

2/9/2010 TATA STEEL BUY TATASTL SEP 560 CA @ 11.40 21 POINTS BOOK PROFIT
SELL TATASTL TWO SEP 500 PA @ 5.05

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