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DERIVATIVE REPORT make more, for sure.

28 TH,DECEMBER 2010
F & O HIGHLIGHTS
Nifty Sentim ent Indicators
Put C all Ratio -Index Optio ns 1.22 Nifty Dec future added 7.40 lakh shares in OI, up 3.47%. NIFTY Future is trading at
Put C all Ratio -Sto ck Optio ns 0.63 a premium of 10 points, down 0.49%at 6007.65. Annual volatility was at 21.01.
Nifty Jan future added 13.90 lakh shares in OI, up 20.32%. NIFTY Future is trading at a
Volum e premium of 38 points,down 0.48% at 6035.
Product 24.12.10 27.12.10 % C hg BANKNIFTY Dec future added 0.57 lakh shares in OI, up 4.67%. BANKNIFT future is
Index Futures 420242 407214 -3.10% trading at a premium of 14 points, down 0.42% at 11485. Annual volatility is at 34.75.
Tata steel, rcom, tata motors, sbi, and reliance were the most active stocks on
Sto ck Futures 695306 758018 9.02%
yesterday's trade.
Index Optio ns 2509317 2354056 -6.19% Tata steel Dec fut traded at par, witnessing 7.28% up in OI. The stock was slashed
Sto ck Optio ns 124923 107754 -13.74% 1.75% at 663. Annual volatility is 39.59 and total deliverable percentage was 17.90%.
To tal F&O 3749788 3627042 -3.27% Reliance Dec fut traded at a premium of 3 points recording 3.48% decrease in OI. The
stock was down 0.91% at 10585. Annual volatility is 30.69 and total deliverable
quantity was 44.83%.
Index Spot Future Basis Sbi Dec fut traded at a premium of 4 points, 2.37% down in OI. The stock was down
0.54% at 2754. Annual volatility is 43.23 and total deliverable quantity was
NIFTY 5998 6008 10 27.33%.contract.
BANK NIFTY 11471 11485 14
C NXIT 7364.1 7385.5 21
Open Interest gainer Op e n In tr e st L ose r
Symbol Last price Chg (%) Open Increase Op e n In cr e a se
S ym bol L a st p r ice C hg (%)
Interest (%) In te r e st (% )
GRASIM 2,301.00 0.18% 477,500 23.15% GT L 4 1 8 .5 -0 .3 5 % 2 ,8 2 9 ,0 0 0 -3 1 .1 3 %
PNB 1,206.50 -1.07% 1,273,500 21.11% GT L INFRA 4 2 .5 -0 .5 8 % 3 8 ,2 0 8 ,0 0 0 -2 0 .4 3 %
INDIANB 251.8 -2.10% 1,186,000 17.66% KFA 6 1 .1 0 -0 .4 1 % 9 ,4 0 4 ,0 0 0 -2 0 .3 6 %
JISLJALEQS 207.75 -0.07% 805,000 17.30% D A BU R 1 0 0 .5 -0 .0 5 % 2 ,2 8 4 ,0 0 0 -1 9 .9 7 %

PANTALOONR 349.1 -3.48% 2,350,000 17.09% A P O L L O T YRE 6 4 .6 5 -2 .4 9 % 1 0 ,2 8 0 ,0 0 0 -1 7 .2 6 %

Nifty Option Open Interest Distribution 10,000,000


Nifty Dec 6000 call added 1.45 lakh shares in OI, up 2.11% and 6100 call added 1.27 8,000,000
open interest

lakh shares in OI, up 1.56%. On the put side nifty Dec 5900 put added 0.09 lakh
6,000,000 c all
shares in OI, up 0.13% and 5800 put added 0.008 lakh in OI, up 0.11%. The put-call
4,000,000 put
ratio of stock option increased from 0.33 to 0.36 while put-call ratio of index option
CMP
increased from 1.03 to 1.22. On the whole the put call ratio was at 1.17. 2,000,000
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Pashupati Nath Jha
s trike pric e
Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5950-6094 level in short term as the OI is added. The trading strategy would be to create long positions if the nifty takes support
around 5950 levels for the target of 6030 and 6070. On the other hand, one can also create short positions if the nifty resists around 6090 levels.

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DERIVATIVE REPORT make more, for sure.
MOST ACTIVE CALLS MOST ACTIVE PUTS
SymbolExpiry Date Strike PriceContracts TradedOpen Interest Symbol Expiry Date Strike PriceContracts Traded
Open Interest
NIFTY 30-Dec-10 6000 375882 7042800 NIFTY 30-Dec-10 6000 473046 7582850
NIFTY 30-Dec-10 6100 311854 8260900 NIFTY 30-Dec-10 5900 255034 7585800
NIFTY 30-Dec-10 6200 93222 5209950 NIFTY 30-Dec-10 6100 152386 1703750
NIFTY 30-Dec-10 5900 72669 2959350 NIFTY 30-Dec-10 5800 86316 7835150
NIFTY 27-Jan-11 6100 35688 1885350 NIFTY 27-Jan-11 6000 57188 2582100
NIFTY 27-Jan-11 6000 24286 1967100 NIFTY 30-Dec-10 5700 45838 7620900
NIFTY 30-Dec-10 6300 23223 3350700 NIFTY 27-Jan-11 5700 35459 2908250
NIFTY 27-Jan-11 6200 20614 1788650 NIFTY 27-Jan-11 5900 32526 2163900
NIFTY 27-Jan-11 6300 20369 2145900 NIFTY 27-Jan-11 5800 29248 3313000
NIFTY 30-Dec-10 6400 11760 2297450 NIFTY 30-Dec-10 5600 20193 6358350

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 27/12/10 REMARK
BUY NIFTY DEC5800CA@183.50
BOOK FULL PROFIT
20/12/2010 NIFTY SELL TWO NIFTY DEC5900CA@111 18 POINTS
AS ON 22/12/2010
BUY NIFTY DEC6000CA@56
BUY REL IND NOV 940 PA@9.30
BOOK FULL PROFIT
30/11/2010 REL IND BUY TWO REL IND NOV 18 POINTS
AS ON 15/12/2010
1050CA@13.40
BOOK PARTIAL
BUY NIFTY DEC 6000 CA@51
13/12/2010 NIFTY 14 POINTS PROFIT AS ON
BUY NIFTY DEC 5700 PA@47.20
14/12/2010
SELL INFOSYS TCH DEC 3500 CA@8 BOOK PARTIAL
22/12/2010 INFOSYSTCH SELL INFOSYS TCH DEC 3100 6 POINTS PROFIT AS ON
PA@6.70 23/12/2010
BOOK PARTIAL
SELL GMR DEC 50 CA@0.15 PROFIT AS ON
24/12/2010 GMR INFRA 0.60 POINTS
SELL GMR DEC 40PA@0.65 27/12/2010

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Varun Gupta Head - Research varungupta@moneysukh.com
Pashupati Nath Jha Research Analyst pashupatinathjha@moneysukh.com
Vikram Singh Research Analyst vikram_research@moneysukh.com

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