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WEEKLY
OPTION & DERIVATIVE REPORT

Bulls Outshine Bears - Expiry Gains Continue To Hold !!

29th March 2010 to 03rd Apr 2010
 Weekly Report Derivatives
29th March to 03rd Apr 2010
RESEARCH

Derivative Wrap

Nifty

Sentiment Indicator Nifty:

Particulars 26th Mar 25th Mar %Change

Spot Nifty 5282.00 5260.40 +0.41

Nifty Futures Mar. 5296.95 5273.00 +0.45

Nifty CoC (%) +3.03 +2.50 +21.20

Open Interest (Mar) 24736850 22875450 +8.13

Volume (Mar) 329521 324492 +1.54

Nifty Snap
The Nifty April Series started on good note. The Nifty spot kept flirting around its 5300 mark but could not cross it and
ended the session with gains of 0.40% at 5282. If we look at the derivatives data we can see that the Nifty future ended at
premium of 14.95 points as against a premium of 12.65 points with an addition of more than 8% in open interest. Thus
combining the statistical data we can interpret that the Nifty future priced ended high along with rise in the cost of carry
and addition of open interest which suggest long built at lower levels. For the coming session Nifty Resistance is seen at its
previous top of 5310 levels, a crossover above this level can continue the momentum in it and the next major Resistance is
seen at 5350/5368 levels whereas on the downside immediate Support is seen at 5260/5240/5220 levels.

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 Weekly Report Derivatives
29th March to 03rd Apr 2010
RESEARCH

Derivative Wrap

Bank Nifty

Sentiment Indicator Bank Nifty:

Particulars 26th Mar 25th Mar %Change

Spot Bank Nifty 9456.20 9318.25 +1.48

Bank Nifty Futures Mar 9487.05 9324.25 +1.74

BankNifty CoC (%) +3.50 +0.67 +422.38

Open Interest (Mar) 1047550 1002200 +4.52

Volume (Mar) 26723 16797 +59.09

Bank Nifty Snap

The Bank Nifty Index crossed its 9400 mark and managed to give a close above this level. The Bank Nifty index surged
1.48% and ended at 9456.20. The Bank Nifty futures saw a huge surge in the premium to 31 points vs. 6 points. If we
focus onto the derivatives data it suggests that prices rose along with rise in the cost of carry and addition of open interest,
this is an indication of long built up at lower levels. For the coming session Bank Nifty Resistance is seen at 9550/9630 levels
whereas on the downside Support is seen at 9340/9290 levels.

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 Weekly Report Derivatives
29th March to 03rd Apr 2010
RESEARCH

Derivative Wrap

CNX IT

Sentiment Indicator CNX IT:

Particulars 26th Mar 25th Mar %Change

Spot CNX IT 6151.90 6201.20 +0.79

CNX IT Futures Mar 9171.25 6204.60 -0.53

CNX IT CoC (%) +3.37 +0.57 +491.22

Open Interest (Mar) 32200 32600 -1.22

Volume (Mar) 100 270 -62.96

CNX IT Snap
The CNX IT Index tested its 6200 levels but could not give a close above this mark. It ended the day lower losing 0.79% and
closed at 6151.90. As per the derivatives data we can see that the prices ended lower along with an addition of open
interest but with rise in the cost of carry, this is an indication of long closure at higher levels. For the coming session
CNX IT Index may continue to face Resistance at its immediate top made at 6223.50 whereas on the downside Support is
seen at 6110/6084 levels.

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 Weekly Report Derivatives
29th March to 03rd Apr 2010
RESEARCH

Options Snap

From the OI Concentration Chart we can see that on the call options front addition of open interest is seen at strike price of
5300 and 5400 in April Series indicating these levels as the hurdle on the upside whereas on the put options front
maximum open interest addition is seen at 5200 and 5000 indicating it as the major supports on the downside.

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 Weekly Report Derivatives
29th March to 03rd Apr 2010
RESEARCH

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