DERIVATIVE REPORT make more, for sure.

13TH SEPTEMBER 2010

Nifty Sentiment Indicators F & O HIGHLIGHTS

Put Call Ratio-Index Options 1.28 Nifty Sep future added 11.26 lakh shares in OI, up 3.04%. NIFTY Future is trading
Put Call Ratio-Stock Options 0.33 at a discount of 9 points, up 0.62%at 56.31. Annual volatility was at 14.48.
Nifty Oct future added 3.13 lakh shares in OI, up 12.43%. NIFTY Future is trading
Volume at a discount of 4 point, up 0.64% at 5637.
Product 08.09.10 09.09.10 % Chg BANKNIFTY Sep future added 2.41 lakh shares in OI, up 9.79%. BANKNIFT
Index Futures 520535 458424 -11.93% future is trading at a discount of 63 points, up 1.93% at 11384. Annual volatility is
Stock Futures 653689 639957 -2.10% at 22.28.
Index Options 1968859 2206274 12.06% Tata steel, sbin, icici bank, tata motor and idbi were the most active stocks on
Stock Options 138656 160305 15.61% yesterday's trade.
Total F&O 3281739 3464960 5.58% Tata steel Sep fut traded at a discount of 2 points witnessing 4.92% up in OI. The
stock was up 2.31% at 591.50. Annual volatility is 41.17 and total deliverable
percentage was 20.40%.
Tata motors Sep fut traded at a premium of 5 points recording 9.24% increase in
Index Spot Future Basis OI. The stock was down 1.69% at 1020.90. Annual volatility is 34.62 and total
NIFTY 5640.05 5631 (9) deliverable quantity was 17.68%.
Sbin Sep fut traded at a discount of 12 points, 15.18% up in OI. The stock was up
BANKNIFTY 11446.7 11384 (63)
2.76% at 2958. Annual volatility is 32.44 and total deliverable quantity was
CNXIT 6302 6291.9 (10) 32.97%.

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
VOLTAS 911 1097 20.42% 227.5 4.33% RUCHISOYA 5921 5122 -13.49% 140.9 0.54%
ASHOKLEY 2978 3484 16.99% 72.75 -2.41% OPTOCIRCUI 1163 1024 -11.95% 295.25 2.54%
CROMPGREAV 1244 1433 15.19% 305.15 -1.49% ULTRACEMCO 3482 3103 -10.88% 1019 2.74%
BANKINDIA 2791 3200 14.65% 491.9 5.57% ALBK 1748 1603 -8.30% 227.7 0.24%
GSPL 1841 2084 13.20% 115.65 -2.36% BHARATFORG 5576 5196 -6.81% 370 1.26%

Nifty Option Open Interest Distribution

Nifty Sep 5600 call added 0.39 lakh shares in OI, up 0.40% and 1 4 ,0 0 0 ,0 0 0
1 2 ,0 0 0 ,0 0 0
Openinterest

5700 call added 3.91 lakh shares in OI, up 3.38%. On the put side 1 0 ,0 0 0 ,0 0 0
nifty Sep 5500 put added 13.30 lakh shares in OI, up 14.36% and 8 ,0 0 0 ,0 0 0 c a ll
6 ,0 0 0 ,0 0 0 put
5400 put added 6.20 lakh in OI, up 4.99%. The put-call ratio of 4 ,0 0 0 ,0 0 0
stock option increased from 0.27 to 0.33 while put-call ratio of 2 ,0 0 0 ,0 0 0
CMP
index option increased from 1.16 to 1.28. On the whole the put call 0
ratio was at 1.18.
47 0

49 00

51 0

53 0

55 00

57 0

59 0

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.0

.0

.0

.0

.0
.

.
00

00

00

00

00

00

00

00
45

S tr ike p r ic e

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5400-5700 level in medium term as the OI is added. The trading strategy would be to create long
positions if the nifty takes support around 5590 levels for the target of 5650 and 5680. On the other hand, one can also create short positions if the nifty
resists around 5700 levels.

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 DERIVATIVE REPORT make more, for sure.
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 5600 293456 9579750 NIFTY 30-Sep-10 5600 297704 8783650
NIFTY 30-Sep-10 5500 257263 10050500
NIFTY 30-Sep-10 5700 227207 11944150
NIFTY 30-Sep-10 5400 174167 12962550
NIFTY 30-Sep-10 5800 112105 5178100
NIFTY 30-Sep-10 5300 80771 9464950
NIFTY 30-Sep-10 5500 80938 6102600
NIFTY 30-Sep-10 5700 60989 2047500
NIFTY 30-Sep-10 5900 43039 1462850
NIFTY 30-Sep-10 4900 44302 3848550
NIFTY 28-Oct-10 5800 36885 3177550
NIFTY 30-Sep-10 5200 44190 9029750
NIFTY 28-Oct-10 5700 30510 3227050
NIFTY 30-Sep-10 5100 39361 7084500
NIFTY 28-Oct-10 5900 30341 2151300 NIFTY 30-Sep-10 5000 38779 5336400
NIFTY 30-Sep-10 5400 23343 3369200 NIFTY 28-Oct-10 5200 22451 2802500
NIFTY 28-Oct-10 5600 18155 1953800

NIFTY STRATEGY AS ON 13th SEP 2010

PAY OFF MATRIX

UNDERLYI
200
NG ASSET NIFTY
150
CMP 5630
BUY NIFTY FUTURE AT 5630 100
STRATEGY
BUY NIFTY SEP 5600 PA @ 52 50
MAX LOSS 82 0
0 2 4 6 8 10 12
MAX PROFIT UNLIMITED -50

BEP 5682 -100

LOT SIZE 50

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 8/09/10 REMARK

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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