DERIVATIVE REPORT

April 7th 2010

Nifty Sentiment Indicators Nifty April future added 2.14 lakh shares in OI, up 0.84%%. NIFTY Future
Put Call Ratio-Index Options 1.2 discount of 3 points has converted into premium of 5 points, up 0.1% at 5371.
Put Call Ratio-Stock Options 0.24 The annual volatility declined stood at 16.37.
Nifty may future added 0.76 lakh shares in OI, up 4.87%. NIFTY Future
Volume premium of 3points has increased to 9 points, up 0.07% at 5375.
Product 6.04.10 5.04.10 % Chg BANKNIFTY April future added 0.86 lakh shares in OI, up 7.25%.
Stock Futures 456681 410758 11.18 BANKNIFT future discount of 6 points has converted into premium of 3
Index Futures 295910 362751 -18.43 points, up 0.46% at 9731.
Index Options 995675 1213420 -17.94 Reliance, dlf, ICICI bank, suzlon and tata steel were the most active stocks on
Stock Options 76017 68627 10.77 yesterday's trade.
Reliance April fut traded at premium of 2 points witnessing 1.82% decline in
OI. The stock was down 0.19% at 1122.9. Annual volatility is 28.26 and total
deliverable percentage as on 5th April is 66.68%.
Index Spot Future Basis Icici bank April fut traded a discount of 3.35 points recording 5.31%
BANKNIFTY 9728.2 9731 3 expansion in OI. The stock was up by 1.1% at 994.3. Annual volatility is 27.30
CNXIT 5934.8 5940 5 and total deliverable quantity is 61.73%.
suzlon April fut traded at a premium of 0.4 points recorded 5.74% increase in
NIFTY 5366 5371 5
OI. The stock was up by 2.44% at 75.55. Annual volatility is 40.09 and total
deliverable quantity is 35.25%.

Increase in Open Interest and Increase in Price Increase in Open Interest and Decrease in Price
%Price %Price
Stocks Price Change Opn. Int (OI) %OI Change Stocks Price Change Opn. Int (OI) %OI Change
ONMOBILE 424.00 5.39 474100 68.36 BEL 2012.80 -4.92 406272 41.67
PFC 274.20 4.16 841200 48.52 HCLTECH 348.05 -3.59 2042300 32.69
ANDHRABANK 119.55 3.60 3882400 28.56 MCDOWELL-N 1336.90 -3.15 1289000 31.30
VIDEOIND 243.90 3.44 2881396 22.25 CIPLA 340.20 -3.12 3097500 15.79
FEDERALBNK 282.90 5.32 565064 9.39 M&M 535.85 -2.28 4656912 6.86

Nifty Option Open Interest Distribution

On the call side nifty april 5400 call added 6.78 lakh shares in OI,
8,000,000
7,000,000
up 11.04% while nifty april 5500 added 4.73 lakh shares in OI, up
Open Interest

6,000,000 10.94% meanwhile 5300 call witnessed reduction in OI, down by

5,000,000 CALL
4,000,000 1.0 lakh shares. On the put side nifty April 5300 put added 9.35
3,000,000 PUT
2,000,000
lakh shares in OI, up 16% While 5200 put witnessed addition of 3.5
1,000,000
CMP lakh shares in OI, up 4.83%. In terms of percentage nifty 5400 put
0
added 31.72% shares in OI.
 

 
00

00

00

00

00

00

00

00

00

00

The put-call ratio of stock option and index option declined

0.

0.

0.

0.

0.

0.

0.

0.

0.

0.
10

30

50

70

90

10

30

50

70

90
 4

 4

 4

 4

 4

 5

 5

 5

 5

 5

during the day from 0.27 in the previous day trade to 0.24 and
Strike Price from 1.22 to 1.20 respectively. On the whole the put call ratio was
at 1.08 lower than 1.13 in the previous trading session.

Throughout the trading session nifty moved in the narrow rang of 5350 to 5388 after gaining smart 77 points in the previous trading session.
Nifty april future which closed at a discount in the yesterday trade closed at 5 points premium meanwhile 5300 level which acted as a crucial
resistance for the index is seen to become support for nifty. It seems that traders are now covering there short position in nifty April 5300 call, in
the last tow trading session this strike has witnessed shading in OI. on the other hand it is seen that traders are creating short position in nifty
april 5400 put option. Thus we expect the market to move in the range of 5300 and 5400 in the near term unless we get some cues from the global
market.

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DERIVATIVE REPORT
NIFTY BULLISH CALL SPREAD NIFTY BEARISH PUT SPREAD
ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS

BUY 5300 -118 BUY 5400 -91

42 -58 60 -40
SELL 5400 60 SELL 5300 51

BUY 5400 -60 BUY 5300 -51

64 -36 78 -22
SELL 5500 24 SELL 5200 29

BUY 5300 -118 BUY 5400 -91

106 -94 138 -62
SELL 5300 24 SELL 5200 29

STOCK STRATEGY AS ON 7th APRIL 2010 PAYOFF MATRIX

UNDERLYING ASSET SUZLON 10

PROFIT/LOSS
BUY SUZLON APRIL 75 CA @ 3.1
STRATEGY SELL SUZLON APRIL 85 CA @ 0.7 5

MAX LOSS 2.4 BELOW 74 0

MAX PROFIT 7.6 ABOVE 84.5 68 70 72 74 76 78 80 82 84 86 88
-5
BEP 77.4
PRICE
LOT SIZE 3000

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 6/04/10 REMARK
BUY RELIANCE APRIL 1100 CA @ 33
29/.03/2010 RELIANCE (66.00) (9.10) HOLD
BUY RELIANCE APRIL 1100 PA @ 33
SELL NIFTY APRIL 5300 CA @ 88
30/03/2010 NIFTY 170.00 21.70 HOLD
SELL NIFTY APRIL 5200 PA @ 82
BUY DLF APRIL 320 CA @ 15.20
5/4/2010 DLF (9.10) 1.15 HOLD
SELL DLF APRIL 340 CA @ 6.10

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