DERIVATIVE REPORT

Nifty April future added 24.44 lakh shares in OI, up 9.79%%. NIFTY Future is
April 13th 2010 trading at premium of 9.3 point, down 0.29% at 5349. The annual volatility is
16.82.
Nifty Sentiment Indicators Nifty may future added 1.42 lakh shares in OI, up 7.85%. NIFTY Future is
Put Call Ratio-Index Options 1.35 trading at premium of 2.3 points, down 0.3% at 9557.45.
Put Call Ratio-Stock Options 0.27 BANKNIFTY April future added 0.44 lakh shares in OI, up 3.6%. BANKNIFT
future is trading at discount of 2.5 points, down 0.96% at 9572.5.
Volume Reliance, unitech, ICICI bank, tata motors and tata steel were the most active
Product 12.04.10 9.04.10 % Chg stocks on yesterday's trade.
Stock Futures 366307 412676 -11.24 Reliance April fut traded at a discount of 0.8 point witnessing 2.31% growth
Index Futures 433844 471399 -7.97 in OI. The stock was up 0.14% at 111127.95. Annual volatility is 30 and total
Index Options 1437655 1401164 2.60 deliverable percentage as on 12th April is 44.24%.
Stock Options 70669 83652 -15.52 Tata motors April fut traded a discount of 2.55 points recording 3.06%
Total F&O 2308475 2368891 -2.55 expansion in OI. The stock was down by 1.63% at 777.50. Annual volatility is
48.52 and total deliverable quantity is 28.66%.
Tata steel April fut traded at a discount of 04.75 points recorded 2.98%
increase in OI. The stock was up 0.68% at 679.50. Annual volatility is 38.24 and
Index Spot Future Basis total deliverable quantity is 27.01%.
BANKNIFTY 9571.65 9573 1 Unitech April fut traded at a discount of 0.3 point with an OI increase of
CNXIT 5972.95 5990 17 7.88%. The stock was up by 2.20% at 78.45. Annual volatility is 32.02 and total
percentage deliverable quantity is 38.61%.
NIFTY 5342 5349 7

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
VOLTAS 190.00 1.69 1833300 18.09 GAIL 412.65 -3.08 5412375 21.43
ZEEL 291.90 4.01 5076400 13.14 LT 1614.35 -2.02 2938000 13.24
ORIENTBANK 336.85 1.63 1189200 9.26 MCLEODRUSS 253.95 -1.89 3180600 12.12
UNITECH 78.45 2.89 64975500 7.88 DRREDDY 1206.60 -3.25 831200 10.77
SUNPHARMA 1802.00 1.38 297900 6.09 SESAGOA 449.30 -2.86 19048500 10.23

Nifty Option Open Interest Distribution

On the call side nifty april 5400 call added 19.02 lakh shares in OI,
12,000,000 up 26.79% while nifty april 5500 added 4.88 lakh shares in OI, up
9.29% meanwhile 5300 call witnessed addition of 9.73 lakh shares
Open Interest

10,000,000
8,000,000
6,000,000
CALL in OI, up 22.99%. On the put side nifty April 5300 put added 2.82
4,000,000 PUT lakh shares in OI, up 3.03% While 5200 put witnessed shading of
2,000,000
CMP 2.48 lakh shares in OI, down 2.53% and at the same time 5400 put
0
witnessed addition of 6.83 lakh share in OI, up 16.48%.
 

 
00

00

00

00

00

00

00

00

00

00

The put-call ratio of stock option declined from 0.34 to 0.27 while
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

put-call ratio of index option increased from 1.20 to 1.35. On the

Strike Price
whole the put call ratio was at 1.26 higher than 1.13 in the previous
trading session.
In the yesterday market remained choppy throughout the trading session and finally closed 22 point down at 5339. F&O indicator suggest that
market may move in the range of 5200 to 5400 with a positive bias. Traders are creating short position in 5400 indicating immediate resistance for
the index meanwhile covering of short postion in 5200 put indicates support around this level in the near term.

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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 5400 -53 BUY 5300 -64

67 -33 75 -25
SELL 5500 20 SELL 5200 39

BUY 5500 -20 BUY 5200 -39

86 -14 83 -17
SELL 5600 6 SELL 5100 22

BUY 5400 -53 BUY 5300 -64

153 -47 158 -42
SELL 5600 6 SELL 5100 22

STOCK STRATEGY AS ON 13th APRIL 2010 PAYO F F M ATR IX

UNDERLYING ASSET TATAMOTORS

20
CMP 780 10

PROFIT/LOSS
SELL TATAMOTORS APRIL 820 CA @ 7.85 0
STRATEGY
SELL TATAMOTORS APRIL 740 PA @ 8.25
-10 690 710 730 750 770 790 810 830 850 870

MAX LOSS UNLIMITED BELOW 723.9 AND ABOVE 836.1 -20

MAX PROFIT 16.1 -30

-40
BEP 723.9/836.1
PRIC E
LOT SIZE 850

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 12/04/10 REMARK
BUY RELIANCE APRIL 1100 CA @ 33
29/.03/2010 RELIANCE (66.00) (12.10) EXIT
BUY RELIANCE APRIL 1100 PA @ 33
SELL NIFTY APRIL 5300 CA @ 88
30/03/2010 NIFTY 170.00 28.00 BOOK PROFIT
SELL NIFTY APRIL 5200 PA @ 82
BUY DLF APRIL 320 CA @ 15.20
5/4/2010 DLF (9.10) 1.85 BOOK PROFIT
SELL DLF APRIL 340 CA @ 6.10
BUY SUZLON APRIL 75 CA @ 3.1
6/4/2010 SUZLON (2.40) (0.65) HOLD
SELL SUZLON APRIL 85 CA @ 0.7
BUY ICICIBANK APRIL 960 PA @ 26.25
9/4/2010 ICICIBANK (8.80) (1.80)
SELL ICICIBANK APRIL 940 PA @ 17.45 HOLD

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