DERIVATIVE REPORT make more, for sure.

4 TH,JANUARY 2011
N if ty Sentim ent I ndicato r s F & O HIGHLIGHTS
Put C al l R ati o -In de x O pti o n s 0 .9 6 The 50-share S&P CNX Nifty finally settled at 6,157.60 after gaining 23.10 points or
Put C al l R ati o -Sto ck O pti o n s 0 .2 3 0.38%. The India VIX surged 2.59% to 16.99 on Monday compared to its previous close
of 16.56 on Friday. Nifty January futures saw an addition of 6.28% or 1.22 million (mn)
V o lum e units, taking the total outstanding open interest (OI) to 20.64 mn units.
Pr o duct 31.12.10 03.01.11 % C hg For Nifty calls, 6200 strike price (SP) from the January series was the most active call
In de x F utur e s 283479 252916 -10.78% with an addition of 0.70 mn or 18.32%. Among Nifty puts, 6100 SP from the January
Sto ck F utur e s 468352 470719 0.51%
month expiry was the most active put with an addition of 0.54 mn or 14.72%. The
In de x O pti o n s 1277834 1234662 -3.38%
maximum Call OI outstanding was at 6200 SP (4.52 mn) and that for Puts at 6100 SP
Sto ck O pti o n s 78001 84296 8.07%
To tal F & O 2107666 2042593 -3.09% (4.21 mn). The Nifty Put Call Ratio (PCR) OI wise stood at 1.59 for January-month
contracts.
The top five scrips with highest PCR on OI were Hero Honda 1.63, Infosys 1.07, PNB
I ndex Spo t F utur e B asis 0.93, Wipro 0.92, HCL Tech 0.74. Among most active underlyings Tata Steel witnessed
an addition of 9.08% in the January month futures contract, followed by SBI which saw
N IF TY 6158 6181 23 an addition of 2.13% of OI in the near month contract. Tata Motors witnessed an
BA N K N IF TY 11856 11882 26 addition of 6.07% in the near-month futures, while Reliance Industries saw an addition
of 1.72% in the near month futures contract.
C N X IT 7492.45 7515 23

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 (% )
SUNTV 545.7 2.92% 215,500 73.09% O IL 1 4 1 6 .3 5 1 .0 5 % 2 9 ,5 0 0 -1 6 .9 0 %
BATAINDIA 376 3.00% 232,000 51.63% D CB 59 -0 .3 4 % 6 ,2 0 0 ,0 0 0 -6 .4 0 %
IGL 352.7 2.44% 200,000 33.33% JE T A IRW A YS 7 6 0 .8 0 -0 .9 0 % 9 6 0 ,0 0 0 -4 .9 5 %
BOSCHLTD 6,720.00 6.20% 16,875 32.35% B A JA JHL D NG 8 7 4 .1 -0 .2 7 % 1 1 9 ,7 5 0 -4 .7 7 %
HEXAWARE 128.05 9.35% 8,168,000 29.40% A P IL 7 0 4 .0 0 1 .9 3 % 4 7 1 ,5 0 0 -4 .5 5 %

Nifty Option Open Interest Distribution 7000000

Nifty Jan 6200 call added 7.00 lakh shares in OI, up 18.32% and 6300 call added 9.73 6000000
open interest

lakh shares in OI, up 23.12%. On the put side nifty Jan 6100 put added 5.41 lakh 5000000
4000000 call
shares in OI, up 14.72% and 6000 put added 2.11 lakh in OI, up 3.63%. The put-call 3000000 put
ratio of stock option increased from 0.21 to 0.23 while put-call ratio of index option 2000000
CMP
decreased from 1.29 to 0.96. On the whole the put call ratio was at 0.89. 1000000
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Pashupati Nath Jha
strike price
Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 6037-6248 level in short term as the OI is added. The trading strategy would be to create long positions if the nifty takes support
around 6140 levels for the target of 6165 and 6195. On the other hand, one can also create short positions if the nifty breaks low around 6150 levels.

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 DERIVATIVE REPORT make more, for sure.
MO ST ACTIVE CALLS M O ST A CTIV E PU TS
Expiry Strike Contracts Open Ex piry Strike Contra cts O pe n
Sym bol Sym bol
Date Price Traded Interest D a te Price T ra de d Inte re st
NIFTY 27-Jan-11 6200 171515 3940850 NIFTY 27-Jan-11 6100 151951 3678450
NIFTY 27-Jan-11 6100 115551 3189400 NIFTY 27-Jan-11 6000 128486 5810900
NIFTY 27-Jan-11 6300 102582 4122300 NIFTY 27-Jan-11 5900 125376 5451700
NIFTY 27-Jan-11 6400 56091 2447100 NIFTY 27-Jan-11 5800 77764 5153350
NIFTY 27-Jan-11 6500 26740 1597350 NIFTY 27-Jan-11 6200 50282 1132500
NIFTY 27-Jan-11 6000 19226 2155000 NIFTY 27-Jan-11 5700 50332 3426900
NIFTY 24-Feb-11 6200 6182 305750 NIFTY 27-Jan-11 5600 33132 3903200
NIFTY 27-Jan-11 6700 5237 219400 NIFTY 27-Jan-11 5500 13467 1788500
NIFTY 24-Feb-11 6500 5302 343500 NIFTY 27-Jan-11 5200 13247 1254800
NIFTY 27-Jan-11 6600 4488 464450 NIFTY 27-Jan-11 5400 8806 1382900

S T R A T E G Y T R A C KE R
UN D E R LYIN G IN / O UT N E T P R O F IT / LO S S
D A TE OF S TR A TEGY R EM A R K
A S S ET F LO W A S O N 0 3 / 0 1/ 11
S TR A TEGY
31/12/2010 NIFTY B UY NIFTY JA N 6200CA @69 106.8 P OINTS (2) P OINTS HOLD
B UY NIFTY JA N 5900P A @37.80
B UY NIFTY 6000 CA @204
3/1/2011 NIFTY SELL NIFTY TWO 6100CA @135 (13) P OINTS 03 P OINTS HOLD
B UY NIFTY 6200CA @79

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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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