black swan consultancy services

DERIVATIVES CALL
www.blackswan.co.in
Analyst 1: Hrishikesh R
Email: hpr@blackswan.co.in
Phone No: 98209 34352
3rd July 2009
Analyst 2: Nirav Acharya
Email: nirav.acharya@blackswan.co.in
CNX NIFTY Phone No: 98197 46424
NSE INDEX FUTURES

CMP: 4352.9

VIEW: Cautiously Bearish

Maximum Profit: Rs.19680 at 3800

Maximum Loss: Unlimited (below 3400 and above 4800)

Margin Maximum PCR

Amount Annualized
Required Returns
Rs. 1,49,916 150 % 1.14
 Strategy Overview:

Option Type Number of Strike Price Option Premium

Contract1
Buy Put 1 4200 148.9
Sell Put 2 3800 44.9
Sell Calls 1 4800 56.7

Options Pay-Off Sheet

Nifty View: Cautiously Bearish

• PCR Ratio as on date stands at 1.14, which has been steadily rising for the past week
• Market has seen one way rally since 2550 on the NIFTY in March 2009 and is bound for a
consolidation phase in the short term at least till the Union Budget
• Keeping these factors in mind, and viewing the probable percentage annualized returns, we
suggest taking a cautiously bearish view on the NIFTY
• The strategy suggested will lead to linear losses beyond 4800 on the upside and 3400 on the
downside
• The strategy attains maximum profits at 3800 and profits reduce below that till 3400
• The three options being sold will also benefit from the probability of increasing implied
volatilities leading up to the union budget
•
 black swan consultancy services

Research Team
Hrishikesh R. hps@blackswan.co.in +91 9820934352
Hardik Shah hbs@blackswan.co.in + 91 9819178881
Jay Thakkar jay.thakkar@blackswan.co.in +91 9967994615
Nirav Acharya nirav.acharya@blackswan.co.in +91 9819746424

Black Swan Research

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Black Swan Monthly Reports

NIFTY Glance Monthly NIFTY Performance

Market Pulse The Numbers game this month
Global Guru Monthly global view

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