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DERIVATIVE REPORT

MAY 6th 2010


Nifty may future added 23 lakh shares in OI, up 8.25%. NIFTY Future's
Nifty Sentiment Indicators discount of 17.8 points has converted into premium of 5points, down 0.22% at
Put Call Ratio-Index Options 1.16 5130. Annual volatility of 15.71 has increased to 16.28.
Put Call Ratio-Stock Options 0.3 Nifty June future added 1.05 lakh shares in OI, up 7.38%. NIFTY Future's
discount of 15.5 points has converted into premium og 5 points, down 0.26%
Volume at 5130.
Product 05.05.10 04.05.10 % Chg BANKNIFTY may future shed 0.45 lakh shares from OI, down 4.22%.
BANKNIFT future's discount of 7.5 points has converted into premium of 43
Stock Futures 615673 504432 22.05
points, up 0.05% at 9625. Annual volatility is at 21.37
Index Futures 714820 570849 25.22
Reliance, tata steel, sesagoa, icicibank and SBIN were the most active stocks
Index Options 2126005 1579808 34.57
on yesterday's trade.
Stock Options 105568 112958 -6.54
Reliance May fut traded at a discount of 2 point witnessing 7.3% growth in OI.
Total F&O 3562066 2768047 28.69
The stock was up 0.26% at 1019. Annual volatility is 30.25 and total
deliverable percentage as on 4th may was 29.44%.
icicibank May fut traded at a premium of 2 points recording 13.56%
Index Spot Future Basis expansion in OI. The stock was down 0.91% at 908.7. Annual volatility is 36.6
BANKNIFTY 9581.85 5913 (3,669) and total deliverable quantity is 32.35%.
Tata steel May fut traded at a premium of 1.4 point recorded 12.16% increase
CNXIT 5932 9625 3,693
in OI. The stock was up 0.03% at 578.4. Annual volatility is 42.96 and total
NIFTY 5125 5130 6 deliverable quantity is 32.60%.

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
FEDERALBNK 299.00 3.64 1028008.00 41.78 IDFC 163.50 -1.42 12572900.00 26.28
PATNI 595.00 6.21 1093300.00 39.70 JPASSOCIAT 134.60 -3.75 28292568.00 21.21
UCOBANK 75.00 6.69 13085000.00 32.17 JINDALSTEL 692.10 -3.30 5464320.00 20.67
INDIANB 235.70 6.58 2178000.00 26.60 UNITECH 78.75 -1.62 53514000.00 20.67
ANDHRABANK 138.30 6.92 5184200.00 21.51 GAIL 420.50 -1.52 3,872,250 20.56

Nifty Option Open Interest Distribution

On the call side nifty May 5200 call added 2.34 lakh shares in OI,
7,000,000
up 5.72% while nifty May 5100 call added 16.22 lakh shares in OI,
6,000,000
O p e n In te r e st

5,000,000 up 96.04% mean while 5300 call witnessed shedding in OI, down
4,000,000 CMP CALL 5.03% or 3.41 lakh shares. On the put side nifty April 5100 put
3,000,000 PUT added 5.44 lakh shares in OI, up 9.84% While 5000 put witnessed
2,000,000 addition of 10.37 lakh shares in OI, up 20.79% at the same time
1,000,000
0 4900 put witnessed highest addition in OI, up 92.65% or 31.80 lakh
shares. The put-call ratio of stock option decreased from 0.34 to
 

 
00

00

00

00

00

00

00

00

00

0.30 while put-call ratio of index option increased from 0.94 to


0.

0.

0.

0.

0.

0.

0.

0.

0.
30

50

70

90

10

30

50

70

90

1.16. On the whole the put call ratio was at 1.09 higher than 0.88 in
 4

 4

 4

 4

 5

 5

 5

 5

 5

Strike Price the previous trading session. In the next few trading session
benchmark index is likely to move in the range of 5000 to 5200.

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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 -72 BUY 5100 -95


64 -36 67 -33
SELL 5300 36 SELL 5000 62

BUY 5300 -36 BUY 5000 -62


78 -22 80 -20
SELL 5400 14 SELL 4900 42

BUY 5200 -72 BUY 5100 -95


142 -58 147 -53
SELL 5400 14 SELL 4900 42

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 5/05/10 REMARK
SELL NIFTY MAY 5500 CA @ 12
4/5/2010 NIFTY 28.00 (3.80) HOLD
SELL NIFTY MAY 4800 PA @ 16
BUY RNRL MAY 65 PA @ 4.75
5/5/2010 RNRL (9.30) 0.10 HOLD
BUY RNRL MAY 70 CA @ 4.55

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