DERIVATIVE REPORT

April 22th 2010

Nifty Sentiment Indicators Nifty April future added 20.09 lakh shares in OI, up 7.58%%. NIFTY Future
Put Call Ratio-Index Options 1.07 premium of 2 point has converted into discount of 3 points, up 0.28% at 5241.
Put Call Ratio-Stock Options 0.32 The annual volatility has decreased from 15.63 to 15.24.
Nifty may future added 4.69 lakh shares in OI, up 15.48%. NIFTY Future
Volume premium of 4.05 points has converted into discount of 1 point, up 0.27% at
Product 21.04.10 20.04.10 % Chg 5243.
BANKNIFTY April future added 0.60 lakh shares in OI, up 5.5%. BANKNIFT
Stock Futures 527547 557760 -5.42
future premium of 14 points has decreased to 1 point, up 1.09% at 9556.
Index Futures 390511 586094 -33.37
Reliance, sbin, unitech, icicibank and tata motors were the most active stocks
Index Options 1367550 1869506 -26.85
on yesterday's trade.
Stock Options 95037 105801 -10.17
Reliance April fut traded at a premium of 4 point witnessing 6.84% growth in
Total F&O 2380645 3119161 -23.68
OI. The stock was up 0.36% at 1059.25. Annual volatility is 29.32 and total
deliverable percentage as on 20nd April is 45.32%.
Unitech April fut traded at a premium of 0.2 points recording 12.37%
Index Spot Future Basis expansion in OI. The stock was up by 2.15% at 85.40. Annual volatility is 39.38
BANKNIFTY 9555.3 9556 1 and total deliverable quantity is 20.75%.
Icicibank April fut traded at a premium of 1 point recorded 8.96% increase in
CNXIT 6004.6 6019 14
OI. The stock was up 1.8% at 950. Annual volatility is 32.03 and total
NIFTY 5245 5241 (4) deliverable quantity is 34.87%.

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
HCLTECH 372.85 8.18 3474900.00 41.73 LUPIN 1656.90 -1.42 439250.00 21.84
CONCOR 1465.00 5.13 18250.00 32.73 PATELENG 453.00 -1.04 559000.00 8.54
AXISBANK 1241.85 4.50 5461200.00 29.60 SUNPHARMA 1750.00 -2.59 341100.00 12.38
PANTALOONR 433.50 4.91 1701700.00 26.39 CHENNPETRO 281.50 -1.28 765000.00 7.87
GODREJIND 169.25 5.95 1054300.00 26.32 BHEL 2464.00 -1.29 1974750.00 6.63

Nifty Option Open Interest Distribution

On the call side nifty april 5300 call shed 0.1 lakh shares in OI,
10,000,000
down 0.14% while nifty april 5200 call added 1.88 lakh shares in
Ope n In te re st

8,000,000
OI, up 3.47% while 5400 call witnessed decline in OI, down 1.48
6,000,000 CALL lakh share or 1.75%. On the put side nifty April 5200 put added
CMP
4,000,000 PUT 3.54 lakh shares from OI, up 3.97% While 5100 put witnessed
2,000,000 addition of 5.20 lakh shares in OI, up 9.87%. The put-call ratio of
0 stock option increased from 0.30 to 0.32 while put-call ratio of
index option increased from 1.01 to 1.07. On the whole the put call
 

 
00

00

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00

00

00

00

00

00

00
0.

0.

0.

0.

0.

0.

0.

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0.

ratio was at 1higher than 0.95 in the previous trading session. In

10

30

50

70

90

10

30

50

70

90
 4

 4

 4

 4

 4

 5

 5

 5

 5

 5

the next few trading session market is likely to move in the range
Strike Price of 5200 to 5300.

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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 5200 -74 BUY 5300 -84

51 -49 52 -48
SELL 5300 25 SELL 5200 36

BUY 5300 -25 BUY 5200 -36

80 -20 77 -23
SELL 5400 5 SELL 5100 13

BUY 5200 -74 BUY 5300 -84

131 -69 129 -71
SELL 5400 5 SELL 5100 13

STOCK STRATEGY AS ON 22nd APRIL 2010 PAY O FF M AT RIX

UNDERLYING ASSET UNITECH

1 .5
CMP 85.2 1

PROFIT/LOSS
SELL UNITECH APRIL 90 CA @ 0.75 0 .5
STRATEGY
SELL UNITECH APRIL 80 PA @ 0.5 0
-0 .5 7 8 80 82 84 86 88 90 92
MAX LOSS UNLIMITED BELOW 78.25 AND ABOVE 91.75
-1
MAX PROFIT 1.25 -1 .5
-2
BEP 78.25/91.75
PR ICE
LOT SIZE 4500

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 20/04/10 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) (1.50) EXIT
SELL SUZLON APRIL 85 CA @ 0.7
BUY ICICIBANK APRIL 960 PA @ 26.25
9/4/2010 ICICIBANK (8.80) 7.55 BOOK PROFIT
SELL ICICIBANK APRIL 940 PA @ 17.45
SELL TATAMOTORS APRIL 820 CA @ 7.85
13/4/2010 TATAMOTORS 16.10 4.00 BOOK PROFIT
SELL TATAMOTORS APRIL 740 PA @ 8.25
SELL NIFTY APRIL 5500 CE @ 15
14/4/2010 NIFTY 36.00 14.20 BOOK PROFIT
SELL NIFTY APRIL 5100 PE @ 21
SELL INFOSYSTCH APRIL 2900 CA @ 13
16/4/2010 INFOSYSTCH 22.50 7.30 BOOK PROFIT
SELL INFOSYSTCH APRIL 2650 PA @ 9.5
SELL ICICIBANK APRIL 980 CA @ 5
20/4/2010 ICICIBANK 14.00 5.45 BOOK PROFIT
SELL ICICIBANK APRIL 880 PA @ 9

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