DERIVATIVE REPORT make more, for sure.

31 ST,DECEMBER 2010
F & O HIGHLIGHTS
N if ty Sentim ent I ndicato r s
Put C al l R ati o -In de x O pti o n s 1 .0 3 Nifty Jan future added 57.50 lakh shares in OI, up 41.33%. NIFTY Future is trading
Put C al l R ati o -Sto ck O pti o n s 0 .3 1 at a premium of 25 points, up 0.32%at 6127. Annual volatility was at 19.70.
Nifty Feb future added 0.59 lakh shares in OI, up 10%. NIFTY Future is trading at a
V o lum e
premium of 50 points, up 0.29% at 6152.
Pr o duct 29.12.10 30.12.10 % C hg BANKNIFTY Jan future added 1.49 lakh shares in OI, up 12.03%. BANKNIFT future is
In de x F utur e s 1045691 631788 -39.58% trading at a premium of 27 points, down 0.30% at 11656. Annual volatility is at 32.29.
Sto ck F utur e s 2541180 1266875 -50.15% Tata steel, icici bank, tata motors, sbi, and reliance were the most active stocks on
In de x O pti o n s 104157 3675878 3429.17% yesterday's trade.
Sto ck O pti o n s 4256807 139473 -96.72% Tata steel Jan fut traded at a premium of 3 points, witnessing 8.80% up in OI. The stock
To tal F & O 565779 5714014 909.94% was up 0.22% at 674.10. Annual volatility is 35.85 and total deliverable percentage was
26.42%.
Reliance Jan fut traded at a premium of 13 points recording 24.34% increase in OI. The
I ndex Spo t F utur e B asis stock was up 0.04% at 1059. Annual volatility is 28.17 and total deliverable quantity
was 67.70%.
N IF TY 6102 6127 25
Sbi Jan fut traded at a premium of 23 point, 36.76% up in OI. The stock was down
BA N K N IF TY 11629 11656 27 0.26% at 2771. Annual volatility is 38.64 and total deliverable quantity was 22.61%.
C N X IT 7503.65 7525 21 .

Open Interest gainer Op e n In tr e st L ose r

Symbol Last price Chg (%) Open Increase Op e n In cr e a se
S ym bol L a st p r ice C hg (%)
Interest (%) In te r e st (% )
LICHSGFIN 195.75 -79.60% 16,081,250 509.89% RNRL 4 2 .2 5 6 .5 6 % 9 6 ,0 0 0 0 .0 0 %
AREVAT&D 322.90 0.09% 983,000 108.70% GL A XO 2333 1 .8 1 % 2 3 6 ,2 5 0 1 .1 2 %
SOBHA 324 2.21% 169,000 94.25% SU NP HA RMA 4 8 5 .5 5 0 .2 6 % 1 ,6 1 0 ,0 0 0 2 .1 8 %
HINDZINC 1,353.85 0.87% 240,500 82.20% GT L 4 2 5 .7 5 1 .4 7 % 6 ,2 9 9 ,0 0 0 3 .7 0 %
VOLTAS 216.5 -0.53% 1,354,000 80.53% FSL 2 4 .8 5 1 .2 2 % 3 4 ,1 5 2 ,0 0 0 4 .1 7 %

Nifty Option Open Interest Distribution 1 4 ,0 0 0 ,0 0 0

Nifty Jan 6100 call added 8.94 lakh shares in OI, up 39.05% and 6200 call added 5.09 1 2 ,0 0 0 ,0 0 0
openinterest

lakh shares in OI, up 19.34%. On the put side nifty Jan 6000 put added 9.92 lakh 1 0 ,0 0 0 ,0 0 0
shares in OI, up 24.87% and 5900 put added 1.98 lakh in OI, up 6.70%. The put-call 8 ,0 0 0 ,0 0 0 c a ll
6 ,0 0 0 ,0 0 0 put
ratio of stock option decreased from 0.39 to 0.31 while put-call ratio of index option
CMP
decreased from 1.11 to 1.03. On the whole the put call ratio was at 1.00.
4 ,0 0 0 ,0 0 0
2 ,0 0 0 ,0 0 0
0
70  

90  

10  

30  

50  

70  

90  

10  

30  

50  

70  

90  

 
 4 .00

 4 .00

 5 .00

 5 .00

 5 .00

 5 .00

 5 .00

 6 .00

 6 .00

 6 .00

 6 .00

 6 .00

00
Analyst

0.
0

0
50

Pashupati Nath Jha

 4

s tr ike p r ic e
Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5900-6200 level in short term as the OI is added. The trading strategy would be to create long positions if the nifty takes support
around 6070 levels for the target of 6100 and 6150. On the other hand, one can also create short positions if the nifty resists around 6150 levels.

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 DERIVATIVE REPORT make more, for sure.
MOST ACTIVE CALLS MOST ACTIVE PUTS
SymbolExpiry Date Strike PriceContracts TradedOpen Interest Symbol Expiry Date Strike PriceContracts Traded
Open Interest
NIFTY 30-Dec-10 6100 929687 8505400 MINIFTY 30-Dec-10 6000 79 2060
NIFTY 30-Dec-10 6000 341380 2805400 MINIFTY 30-Dec-10 6100 28 320
NIFTY 27-Jan-11 6100 95059 3183200 MINIFTY 30-Dec-10 5900 29 4340
NIFTY 30-Dec-10 6200 85887 5212900 MINIFTY 27-Jan-11 6000 23 1080
NIFTY 27-Jan-11 6200 83824 3140800 MINIFTY 27-Jan-11 6100 21 300
NIFTY 27-Jan-11 6300 45421 2842250 MINIFTY 27-Jan-11 5800 22 600
NIFTY 30-Dec-10 5900 36151 1335300 MINIFTY 27-Jan-11 5900 19 820
NIFTY 27-Jan-11 6400 25911 1861400 MINIFTY 30-Dec-10 5800 7 5100
NIFTY 27-Jan-11 6000 24232 2129850 MINIFTY 30-Dec-10 5600 4 2340
NIFTY 27-Jan-11 6500 18719 1069700 MINIFTY 30-Dec-10 6300 1 20

INDEX STRATEGY AS ON 31 ST DEC 2010 P AY O FF MATR IX

200
UNDERLYING
ASSET NIFTY 150

CMP 6127 100

BUY NIFTY JAN 6200 CA @ 69 50

STRATEGY
BUY NIFTY DEC 5900 PA @ 37.80 0
0 5 10 15 20
-5 0
MAX LOSS 106.8
-1 0 0
MAX PROFIT UNLIMITED -1 5 0
LOT SIZE 50

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 28/12/10 REMARK

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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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