daring

derivatives
May 06, 2011
Derivatives Summary

z Nifty (May) futures turned into a discount of 1.45 points NIFTY SNAPSHOT
from a premium of 0.90 points over spot Nifty and Current Previous % Change
around 12.20 lakh shares were added in open interest. Nifty (Curr. MTH) 5458.4 5538.05 -1.44%

z Total open interest in the market was Rs129,461 crore Nifty CoC -0.46% 0.27% -271.17%
and Rs1,865 crore were added in open interest. OI 29361350 28142350 4.33%

z Nifty call options added 48.60 lakh shares in open Vol 22663150 23051750 -1.69%
interest, whereas put options added 7.50 lakh shares PCR(OI) 0.91 0.97 -6.19%
in open interest. PCR ( VOL) 0.80 0.83 -3.61%

z Tata Power (26%), Maruti Suzuki (14%), Great Eastern MOST ACTIVE INDEX CALL OPTION
Shipping (14%), Power Finance Corporation (13%) and Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %
Wipro (10%) were the top open interest gainers in the 5600 C 18.77% 18.44% 5552550 14.86% 1.78%
market. 5500 C 18.76% 18.78% 4366350 50.25% -0.09%
z HDFC (-13%), Bank Of India (-12%), Development Credit 5700 C 18.97% 18.26% 6177600 5.73% 3.72%
Bank (-10%) and Voltas India (-10%) were the top open 5800 C 19.44% 18.26% 7013250 8.07% 6.07%
interest losers in the market. 5900 C 20.46% 18.60% 5981550 0.25% 9.11%
Average IV 19.28% 18.47% - - 4.22%
MOST ACTIVE INDEX PUT OPTION
Market View
Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %
5600 C 18.77% 18.44% 5552550 14.86% 1.78%
Bears roar
5500 C 18.76% 18.78% 4366350 50.25% -0.09%
Taking cues from weak global markets, the Nifty started 5700 C 18.97% 18.26% 6177600 5.73% 3.72%
the day on a flat to negative note; it witnessed some 5800 C 19.44% 18.26% 7013250 8.07% 6.07%
good buying in the initial hour of the session. However, 5900 C 20.46% 18.60% 5981550 0.25% 9.11%
the bulls were unable to carry on the momentum. The Average IV 19.28% 18.47% - - 4.22%
bears came into action and took control of the market MOST ACTIVE STOCK FUTURES
for the rest of the day. The major sectoral indices closed Strike Curr. Pre Curr Chg. OI
in the red although some stock specific rally was seen in oC CoC OI %
Hero-Honda, Kotak Bank and Bank of India. The Nifty ICICIBANK 2.95% 3.06% 9080250 -5.23%
finally wrapped the session at 5,460, losing a further 77 RELIANCE 3.48% -4.73% 15660000 -7.10%
points from its kitty. Volumes in Nifty futures were lower SBIN 4.47% 6.41% 3538000 -4.61%
compared to previous trading volumes. Around 12.20 lakh TATAMOTORS -1.99% -2.86% 7904750 0.21%
shares were added in open interest with a significant LT 1.36% 8.55% 4058375 -2.08%
decrease in the cost of carry, indicating short positions FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 04 MAY 2011
continue to build at every rise. On the options front, Buy Sell Difference
implied volatility increased by around 100-200 basis INDEX FUTURES 1996.75 2608.22 -611.47
points indicating uncertainty in the coming days and that INDEX OPTIONS 9315.22 8795.24 519.97
the market will continue to face selling pressure going STOCK FUTURES 1438.56 1610.41 -171.84
forward. STOCK OPTIONS 267.72 254.47 13.25
TOTAL 13018.25 13268.34 -250.09
For Private Circulation only

MOST ACTIVE STOCK CALL OPTIONS MOST ACTIVE STOCK PUT OPTIONS
Strike Curr. Pre. Curr. OI IV Strike Curr. Pre. Curr. OI IV
IV (%) IV (%) OI (%) Chg % Chg % IV (%) IV (%) OI (%) Chg % Chg %
RELIANCE 980 C 24.69% 25.37% 593000 -0.71% -2.78% RELIANCE 940 P 23.72% 23.19% 481500 -3.26% 2.23%
IFCI 55 C 39.81% 37.03% 9392000 -1.72% 6.97% BHARTIARTL 360 P 29.17% 33.43% 240000 -16.08% -14.60%
SBIN 2700 C 30.93% 30.94% 224250 13.26% -0.03% SBIN 2500 P 31.03% 31.36% 119250 21.07% -1.05%
BHARTIARTL 380 C 29.84% 31.70% 393000 35.05% -6.22% HDIL 140 P 53.12% 47.99% 162000 70.53% 9.66%
TATAMOTORS 1200 C 37.47% 37.31% 253250 6.41% 0.42% UNITECH 35 P 64.42% 63.34% 3312000 11.74% 1.68%

visit us at sharekhan.com Daring Derivatives — May 06, 2011 — 1

 Derivative Calls
Date Scrips Buy/Sell Initiation Range Stoploss Target Remark
5-May-2011 Sesa Goa Buy 304 299 310-314 Close @ 303

Derivative Ideas

Date Scrips Buy/Sell Initiation Range Stoploss Target Time Frame Remark
5-May-2011 Nifty Buy 5559-5561 5530 5590-5615 1-2 Days Stopped Out

2-May-2011 Infosys Buy 2920-2922 2895 2970 1-2 Days Book Profits @ 2929.50

For Private Circulation only

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