DERIVATIVE REPORT

11th AUG 2010

Nifty Sentiment Indicators Nifty August future added 18.30 lakh shares in OI, up 5.71%. NIFTY Future is
Put Call Ratio-Index Options 1.22 trading at a premium of 1point, down 0.35%at 6462. Annual volatility was at
Put Call Ratio-Stock Options 0.31 13.86.
Volume Nifty September future added 1.5 lakh shares in OI, up 6.63%. NIFTY Future
is trading at a premium of 7 points, down 0.36% at 5467.
Product 9.08.10 10.08.10 % Chg
BANKNIFTYAugust future added 0.9 lakh shares in OI, up 2.94%.
Index Futures 309829 409125 32.05%
BANKNIFT future is trading at a discount of 50 points, down 0.25% at 10473.
Stock Futures 464757 641895 38.11%
Annual volatility is at 19.19.
Index Options 1207254 1488659 23.31%
Tata steel, tata motor, icici bank, unitech and reliance were the most active
Stock Options 123133 167953 36.40%
stocks on yesterday's trade.
Total F&O 2104973 2707632 28.63% Tata steel August fut traded at a premium of 1.55 points witnessing 5.78%
increase in OI. The stock was down 0.73% at 537.55. Annual volatility is 31.16
and total deliverable percentage as on 10th Aug was 21.03%.
Index Spot Future Basis Reliance August fut traded at a premium of 6 points recording 3.77% increase
in OI. The stock was down 0.67% at 993.40. Annual volatility is 22.42 and total
BANKNIFTY 10519.95 10470 (50)
deliverable quantity is 66.50%.
CNXIT 6216 6230 14 Sbin August fut traded at a discount of 3 point recorded 5.80% increase in OI.
NIFTY 5460.7 5462 1 The stock was down 0.31% at 2623. Annual volatility is 28.10 and total
deliverable quantity is 31.19%.

Increase In OpenInterest Decrease In OpenInterest

Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price

HCC 2697 5200 92.84% 71.65 -50.14% ABAN 13001 10996 -15.42% 880.4 -4.00%
TATAMOTORS 22978 30511 32.78% 968 6.62% SUNTV 493 425 -13.79% 473 -0.16%

ADANIPOWER 714 894 25.21% 141.7 3.54% ONMOBILE 1326 1214 -8.45% 311.4 -0.27%
IBREALEST 8226 9581 16.47% 185.85 5.42% GESHIP 1012 930 -8.10% 314.2 0.53%
IVRCLINFRA 4862 5620 15.59% 169.3 -3.83% IFCI 22690 20986 -7.51% 58.05 -3.25%

Nifty Option Open Interest Distribution 12,000,000

10,000,000
open interest

Nifty july 5500 and 5600 call added 8.66 and 5.39 lakh shares from 8,000,000
CMP call
OI. On the put side nifty june 5400 put added 4.41 lakh shares in 6,000,000
OI, up 5.01% and 5300 put added 11.13 lakh in OI, up 11.40%. The 4,000,000
put
put-call ratio of stock option increased from 0.30 to 0.31 while
2,000,000
put-call ratio of index option increased from 1.16 to 1.22. On the
0
whole the put call ratio was at 1.08.
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strike price

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DERIVATIVE REPORT
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike Price Contracts Traded Open Interest
NIFTY 26-Aug-10 5500 216904 8546100 NIFTY 26-Aug-10 5400 252544 9340950
NIFTY 26-Aug-10 5400 134686 5149100 NIFTY 26-Aug-10 5300 125194 10870950
NIFTY 26-Aug-10 5500 114701 4094450
NIFTY 26-Aug-10 5600 118537 9087000
NIFTY 26-Aug-10 5200 76366 6934850
NIFTY 26-Aug-10 5700 49233 4224850
NIFTY 26-Aug-10 5100 42682 7349950
NIFTY 30-Sep-10 5600 28380 2467450
NIFTY 30-Sep-10 5200 34737 2541050
NIFTY 26-Aug-10 5800 24755 1522550
NIFTY 26-Aug-10 5000 23352 6073100
NIFTY 30-Sep-10 5500 15535 1860200
NIFTY 30-Sep-10 4900 16999 1711550
NIFTY 30-Sep-10 5700 13337 2073150
NIFTY 30-Sep-10 5100 16981 2158750
NIFTY 26-Aug-10 5300 12009 1698750 NIFTY 30-Sep-10 5400 14167 1624650
NIFTY 30-Sep-10 5800 7946 1763500

IN T R A D A Y S T R A T E G Y IN T R A D A Y S T R A T E G Y

B U Y :H D F C B A N K A U G F U T A T 2 0 9 5 S E L L :R E L C A P A U G F U T A T 7 5 6

V IE W : B U L L IS H V IE W : B E A R IS H

ST R A T E G Y : B U Y FU T U R E S T R A T E G Y :S E L L F U T U R E

TARGET: 2130 TARGET: 735

SL: 2170 SL: 770

M AR KET LOT : 150 M A R K E T L O T :5 0 0

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 10/08/10 REMARK

28/7/2010 NIFTY BUY NIFTY AUG 5300 PA @ 71.9 0.00 HOLD

SELL NIFTY TWO AUG 5000 PA @ 20.50
BOOK PROFIT
29/7/2010 ICICI BANK BUY ICICIBANK AUG 960 CA @ 13.50 9.00 AS ON
SELL ICICIBANK AUG 860 PA @9.5 4/8/2010

4/8/2010 REL IND BUY REL IND AUG1080 CA @12.20 OO HOLD

SELL TWO REL IND AUG 980 PA @ 6.55

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