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WEEKLY
OPTION & DERIVATIVE REPORT

Index Futures Flat, In Discount To Spot !!

01st February 2010 to 06th Feb 2010
 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

Derivative Wrap
Current Close Weekly Change %Change

Spot Nifty 4882.05 -152.05 3.02%

Nifty Futures 4875.65 -120.35 2.40%

Bank Nifty Futures 8630.05 -99.95 1.49%

K H ey ighlight
The 30-share BSE Sensex closed at 16,357.96, up 51.09 points and the 50-share NSE Nifty rose 14.80 points to end
at 4,882.05. These indices lost 3% this week.

The benchmark Nifty saw a significant recovery in the last couple of hours and closed marginally in the green. After
the initial jolt from a 75 bps cash reserve ratio hike in the credit policy, the Nifty recovered over 100 points from the
day's lows and the Sensex over 350 points to close at 4882 and 16357 respectively. The markets completely
discounted the 75 bps CRR hike by Reserve Bank of India (RBI) while banks also ruled out the rate hike post the RBI
move.

The RBI hiked the CRR by 75 bps to 5.75% from 5%. The move will be implemented in two stages; 50 bps hike w.e.f
February 13 and 25 bps hike w.e.f February 27. This CRR hike will absorb Rs 36,000 crore of excess liquidity from the
markets. However, the RBI kept repo and reverse repo rate unchanged. The revision in GDP forecast to 7.5% from 6%
was a surprised for the markets.

G lobal I ndices
Current Close Weekly Change %Change

Dow Jones 10067.33 -53.13 -0.52%

FTSE 5188.50 +42.78 +0.83%

CAC 4012.91 -106 0.03%

Nikkei 10198.04 -216.25 -2.08%

G lobal M arket N ews

The surge in U.S. economic growth in the fourth quarter depended on more than manufacturing and
investment. Households also played their part.

U.S. stocks fell, while the dollar and Treasuries rose, as concern over the outlook for technology
company earnings overshadowed data showing the U.S. economy grew at the fastest pace in six
years. Oil slid for a fourth day.

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 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

Derivative Wrap

First Citizens Bancshares Inc., the North Carolina-based lender with $18.5 billion in assets, expanded its
West Coast operations as the number of U.S. bank collapses climbed to 180 since 2007.

Japan's five-year notes rose for a third week as a government report showing deflation extended to a
10th month boosted the appeal of government debt.

India's central bank Governor Duvvuri Subbarao sought to assure investors that he will restrain
inflation, while refraining from raising interest rates to support a rebound in Asia's third-largest
economy.

U.S. stocks fell, while the dollar and Treasuries rose, as concern over the outlook for technology
company earnings overshadowed data showing the U.S. economy grew at the fastest pace in six years.
Oil slid for a fourth day.

The euro recorded its biggest monthly drop in a year against the yen and fell versus the dollar as concern
Greece won't be able to meet its debt obligations spurred a retreat from riskier assets.

U.S. dealers who sell Toyota Motor Corp.'s namesake brand may lose as much as $2.47 billion in
combined monthly revenue because of the halt of sales of eight models, including the popular Camry
and Corolla sedans.

Indian interest rates are set to rise this year as inflation is a “serious concern” in Asia's third-biggest
economy, Standard & Poor's said

Source: Bloomberg

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 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

Option Strategy Corner

NIFTY (Lot Size / Expiry Date - 50 / February 25, 2010)

Outlook : BULLISH

Strategy : LONG CALL

Risk: Limited to the premium. (Maximum loss if market expires at or below the option strike price).
Reward: Unlimited

Breakeven: Strike Price + Premium

MAXIMUM STOPLOSS
INDEX PRICE STRIKE PRICE PREMIUM
PROFIT
4882.05 BUY 4900 FEB LONG CALL UNLIMITED 60
CALL PREMIUM 121

PAY OFF TABLE

ON EXPIRY NIFTY CLOSES AT NET PAY OFF FROM CALL OPTION

4700 -121.00

4800 -121.00

4900 00.00

5000 -21.00

5100 79.00

5200 179.00

5300 279.00

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 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

TECHNICAL PICTURE

Technical View Weekly Levels

NIFTY HAS BROKEN THE VITAL SUPPORT BASE & MADE Properties Values
CLOSING BELOW AS WELL.IN THIS WEEK WE HAD SEEN HIGH
VOLATILIY IN MARKET. NOW WE COULD EXPECT THAT Support 1 4750
MARKET COULD TRY TO HOLD THE TRADING RANGE OF 4800
TO 4950.TECHNICALLY NIFTY IS LOOKING IN BEAR ZONE Support 2 4550
UNITLL IT MADE CLOSE ABOVE 5000 LEVEL.WE RECOMMEND Resistance 1 5000
THAT TRADERS SHOULD LOOK FOR SELL ON HIGHER LEVEL
STRATEGY IN NIFTY FUTURE & THEY SHOULD BOOK THE Resistance 2 5175
PROFIT AROUND 4800 LEVEL. BUT CLOSING ABOVE 4950
MAY CHANGE THE TREND TOWARDS LONG SIDE.

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 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

Index Futures and Index Options:

Index futures saw a trading volume of Rs.23342.47 crores arising out of 979284 contracts and Index options saw 1791021
contracts getting traded at a notional value of Rs.44293.30 crores. The total turnover of the Futures & Options segment of the
Exchange was around Rs.92503.91 crores.

Instrument wise summary :

Index Future
No of Contracts Traded Quantity Total Traded Value Open Interest (Qty)
Symbol Traded (RS. in CR.) as at End of Trading Hrs

NIFTY 817828 40891400 19735.62 30908350

MINI NIFTY 98849 1976980 953.96 1367940

BANK NIFTY 62033 3101650 2621.34 1211100

CN XIT 574 57400 31.55 45700

Index Option
No of Contracts Traded Quantity Total Traded Value Open Interest (Qty)
Symbol Traded (RS. in CR.) as at End of Trading Hrs

NIFTY 1789164 89458200 44231.49 79981950

MINI NIFTY 573 11460 5.78 12020

BANK NIFTY 1284 64200 56.03 137250

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 Weekly Report Derivatives
01st February to 06th Feb 2010
RESEARCH

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