DERIVATIVE REPORT make more, for sure.

20 TH,DECEMBER 2010
F & O HIGHLIGHTS
Nifty Sentiment Indicators Nifty December futures saw an addition of 4.61% or 1.12 million (mn) units,
Put Call Ratio-Index Options 0.93 taking the total outstanding open interest (OI) to 25.48 mn units. The India
Put Call Ratio-Stock Options 0.4 VIX lost 5.50% to 20.24 on Thursday compared to its previous close of 21.42
on Wednesday. For Nifty calls, 6000 strike price (SP) from the December
Volume series was the most active call with a contraction of 0.69 mn or 8.44%.
Product 15.12.10 16.12.10 % Chg Among Nifty puts, 5900 SP from the December month expiry was the most
Index Futures 581005 666154 14.66% active put with an addition of 1.45 mn or 37.26%. The maximum Call OI
Stock Futures 662156 682569 3.08% outstanding was at 6000 SP (7.52 mn) and that for Puts at 5900 SP (5.37 mn).
Index Options 2272651 2904043 27.78% The Nifty Put Call Ratio (PCR) OI wise stood at 1.30 for December-month
contracts. The top five scrips with highest PCR on OI were Dr Reddy 2.62,
Stock Options 149268 155999 4.51%
ACC 1.61, Infosys 1.36, PNB 1.18 and Kotak Bank 1.10.
Total F&O 3665080 4408765 20.29% Among most active underlyings SBI witnessed a contraction of 1.51% in the
December month futures contract, followed by Tata Steel which saw an
addition of 6.18% of OI in the near month contract. Tata Motors witnessed an
Index Spot Future Basis addition of 8.96% in the near-month futures. ICICI Bank saw an addition of
NIFTY 5949 5960 11 1.81% in the OI while R witnessed an addition of 1.24% in the near month
futures contract.
BANK NIFTY 11424 11456 32
CNXIT 7211.8 7239.95 28

Open Interest gainer Open Intrest Loser

Symbol Last price Chg (%) Open Increase Open Increase
Symbol Last price Chg (%)
Interest (%) Interest (%)
IGL 340 -0.40% 151,000 36.04% INDIACEM 106.40 -0.84% 10,288,000 -10.18%
COREPROTEC 292.6 4.33% 11,230,000 30.82% CONCOR 1260 -1.65% 19,000 -7.32%
IDEA 67.5 -3.16% 16,460,000 25.46% MTNL 53.7 0.75% 22,896,000 -5.96%
ABGSHIP 392.40 -0.73% 3,567,000 24.81%
STRTECH 71.2 2.96% 3,200,000 -4.53%
SINTEX 182.9 -2.27% 1,484,000 18.53%
OPTOCIRCUI 282 0.23% 615,000 -4.50%
Nifty Option Open Interest Distribution
9,000,000
Nifty Dec 6000 call shed 6.94 lakh shares in OI, down 8.44% and 6100 8,000,000
OPEN INTEREST

call added 1.39 lakh shares in OI, up 2.28%. On the put side nifty Dec 7,000,000
6,000,000
5900 put added 14.59 lakh shares in OI, up 37.26% and 5800 put added 5,000,000 OI IN CALL
7.37 lakh in OI, up 9.66%. The put-call ratio of stock option increased 4,000,000 OI IN PUT
3,000,000
from 0.38 to 0.40 while put-call ratio of index
CMP option decreased from 2,000,000
1.20 to 0.93. On the whole the put call ratio was at 0.89. 1,000,000
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Pashupati Nath Jha

STRIKE PRICES
Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5796-6040 level in short term as the OI is added. The trading strategy would be to create long positions if
the nifty takes support around 5900 levels for the target of 5950 and 6000. On the other hand, one can also create short positions if the nifty resists
around 6030 levels.

For any information or suggestion, please send your query at research@moneysukh.com

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DERIVATIVE REPORT make more, for sure.
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike PriceContracts TradedOpen Interest
NIFTY 30-Dec-10 6000 494244 7525250 NIFTY 30-Dec-10 5900 390850 5375800
NIFTY 30-Dec-10 5900 407296 3947950 NIFTY 30-Dec-10 5800 310212 8556950
NIFTY 30-Dec-10 6100 234549 6286900 NIFTY 30-Dec-10 5700 181165 8262500
NIFTY 30-Dec-10 6200 128707 5845700 NIFTY 30-Dec-10 6000 130589 4609750
NIFTY 30-Dec-10 5800 67070 2880700 NIFTY 30-Dec-10 5600 120519 6779500
NIFTY 30-Dec-10 6300 36830 4320950 NIFTY 30-Dec-10 5500 57253 4721900
NIFTY 27-Jan-11 6000 21788 1466650 NIFTY 27-Jan-11 5800 35413 2194950
NIFTY 27-Jan-11 6100 16298 888250 NIFTY 27-Jan-11 5900 25510 1105100
NIFTY 27-Jan-11 5900 15899 709250 NIFTY 27-Jan-11 5700 20892 1690750
NIFTY 27-Jan-11 6200 11789 1092800 NIFTY 30-Dec-10 5400 21125 3193950

P A Y O F F M A T R IX

INDEX STRATEGY AS ON 20 TH DEC 2010

UNDERLYING 120

ASSET NIFTY
100
CMP 5967
80
BUY NIFTY DEC 5800 CA @ 183.50
STRATEGY SELL TWO NIFTY DEC 5900 CA@111
60

BUY NIFTY DEC 6000 PA @ 56 40

MAX LOSS 0 20

MAX PROFIT 102.5 0

1 3 5 7 9 11 13 15 17
LOT SIZE 50

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 15/12/10 REMARK

BUY NIFTY NOV 6000CA@50.25 BOOK PARTIAL PROFIT

29/11/2010 NIFTY 25 POINTS
BUY NIFTY NOC 5500 PA@55 AS ON 02/12/2010
BUY REL IND NOV 940 PA@9.30
BOOK FULL PROFIT AS
30/11/2010 REL IND BUY TWO REL IND NOV 18 POINTS
ON 15/12/2010
1050CA@13.40
BUY NIFTY DEC 6200 CA@34.30 BOOK PARTIAL PROFIT
6/12/2010 NIFTY 56 POINTS
BUY NIFTY DEC 5800 PA@37.50 AS ON 10/12/2010

BUY NIFTY DEC 6000 CA@51 BOOK PARTIAL PROFIT

13/12/2010 NIFTY 14 POINTS
BUY NIFTY DEC 5700 PA@47.20 AS ON 14/12/2010

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 make more, for sure.

NAME DESIGNATION E-MAIL

Varun Gupta Head - Research varungupta@moneysukh.com
Pashupati Nath Jha Research Analyst pashupatinathjha@moneysukh.com
Vikram Singh Research Analyst vikram_research@moneysukh.com

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