-20

-30

-40

-50

-60
9-Nov-13

8-Nov-13

7-Nov-13

6-Nov-13

5-Nov-13

4-Nov-13

3-Nov-13

28-Nov-13

27-Nov-13

26-Nov-13

25-Nov-13

24-Nov-13

23-Nov-13

22-Nov-13

21-Nov-13

20-Nov-13

19-Nov-13

18-Nov-13

17-Nov-13

16-Nov-13

15-Nov-13

14-Nov-13

13-Nov-13

12-Nov-13

11-Nov-13

10-Nov-13

-10
2-Nov-13

1-Nov-13

30

20

10

OTM 590

ATM 600

ITM 610

ITM 620

Symbol
Date
SUNPHARMA
1-Nov-13
SUNPHARMA
3-Nov-13
SUNPHARMA
5-Nov-13
SUNPHARMA
6-Nov-13
SUNPHARMA
7-Nov-13
SUNPHARMA
8-Nov-13
SUNPHARMA
11-Nov-13
SUNPHARMA
12-Nov-13
SUNPHARMA
13-Nov-13
SUNPHARMA
14-Nov-13
SUNPHARMA
18-Nov-13
SUNPHARMA
19-Nov-13
SUNPHARMA
20-Nov-13
SUNPHARMA
21-Nov-13
SUNPHARMA
22-Nov-13
SUNPHARMA
25-Nov-13
SUNPHARMA
26-Nov-13
SUNPHARMA
27-Nov-13
SUNPHARMA
28-Nov-13
SUNPHARMA
1-Nov-13
SUNPHARMA
3-Nov-13
SUNPHARMA
5-Nov-13
SUNPHARMA
6-Nov-13
SUNPHARMA
7-Nov-13
SUNPHARMA
8-Nov-13
SUNPHARMA
11-Nov-13
SUNPHARMA
12-Nov-13
SUNPHARMA
13-Nov-13
SUNPHARMA
14-Nov-13
SUNPHARMA
18-Nov-13
SUNPHARMA
19-Nov-13
SUNPHARMA
20-Nov-13
SUNPHARMA
21-Nov-13
SUNPHARMA
22-Nov-13
SUNPHARMA
25-Nov-13
SUNPHARMA
26-Nov-13
SUNPHARMA
27-Nov-13
SUNPHARMA
28-Nov-13
SUNPHARMA
1-Nov-13
SUNPHARMA
3-Nov-13
SUNPHARMA
5-Nov-13
SUNPHARMA
6-Nov-13
SUNPHARMA
7-Nov-13

Expiry
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13

Option
Type
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE

Strike
Price
590
590
590
590
590
590
590
590
590
590
590
590
590
590
590
590
590
590
590
600
600
600
600
600
600
600
600
600
600
600
600
600
600
600
600
600
600
600
610
610
610
610
610

Open
High
Low
Close
11.95
13.75
11.85
11.85
0
0
0
11.85
12.3
16.75
12.3
15.25
15.1
17.3
11.7
12.1
11
11
8.7
9.5
13.5
14.85
9.55
12
12.7
15
12.7
15
11.2
13.55
11
13.55
3.95
8.55
3.95
8.05
7.05
9.8
5.8
9.15
9.25
9.25
4.9
5.05
4
5.2
4
5
4.9
7.25
3.65
6.85
8.3
14
8.3
13.45
17.9
21.5
15.25
15.25
11.85
11.85
10
10
6.45
12.6
6.45
12.6
0
0
0
12.6
16
18
16
18
17.25
18
15.1
15.6
0
0
0
15.6
15
21.65
15
20.6
23.9
23.9
15.25
16.75
14
15.35
12.4
14.5
18.5
20
13.75
16.5
17.5
20.3
16.95
18.25
18
18
14.7
17.35
11.05
13.95
8
12.85
5.55
14.5
5.55
13.4
10
13.65
7
7.45
6
8.8
5.5
7.95
6.5
11.9
6.45
11.15
11.4
24
11.4
20.3
26
30.8
20
26
22.5
22.5
18.5
18.5
16
16
14
15.5
34
35
31.5
31.5
36.05
36.05
24
24
23.5
23.5
20
20
0
0
0
20
21.55
26.55
21.35
26.15
20.2
20.2
20.2
20.2
17.75
20
17.75
20

SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA
SUNPHARMA

8-Nov-13
11-Nov-13
12-Nov-13
13-Nov-13
14-Nov-13
18-Nov-13
19-Nov-13
20-Nov-13
21-Nov-13
22-Nov-13
25-Nov-13
26-Nov-13
27-Nov-13
28-Nov-13
1-Nov-13
3-Nov-13
5-Nov-13
6-Nov-13
7-Nov-13
8-Nov-13
11-Nov-13
12-Nov-13
13-Nov-13
14-Nov-13
18-Nov-13
19-Nov-13
20-Nov-13
21-Nov-13
22-Nov-13
25-Nov-13
26-Nov-13
27-Nov-13
28-Nov-13

28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13

PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE
PE

610
610
610
610
610
610
610
610
610
610
610
610
610
610
620
620
620
620
620
620
620
620
620
620
620
620
620
620
620
620
620
620
620

20
23.15
23.3
15.4
14
16
11.5
10.4
26
37.5
29.05
25
45
0
27.75
0
29.6
0
25.45
0
0
0
14.6
20.65
20.25
15.25
15.8
36.55
47
42
33
0
0

21.45
25.25
23.7
17.95
20.6
16.4
13.75
17.3
29
37.5
32.35
25
45
0
27.75
0
29.6
0
25.45
0
0
0
24
26.85
20.25
19.15
25.9
36.55
47.5
42
33
0
0

18.95
23.15
20.1
11.05
13
11.65
11.05
10.3
25
30
29.05
25
45
0
25.2
0
29.6
0
25.45
0
0
0
14.6
19.7
17.1
15.25
15.8
34
40
42
33
0
0

21.45
25.25
23.45
17.05
20.25
12.1
12.8
16.2
25
30
29.5
25
45
45
25.75
25.75
29.6
29.6
25.45
25.45
25.45
25.45
23.85
26.55
18
18.4
25.8
34
40
42
33
33
33

LTP
11.85
11.85
15
12.1
9.55
12
15
13.55
8.05
9.25
4.95
5
7.25
13.55
15.25
10
12.6
12.6
18
15.6
15.6
21.35
16.75
14.55
17
17.5
17.7
12.45
14.5
7
7.95
11.4
20.55
26
18.5
15.5
31.5
24
20
20
25.9
20.2
20

Settle
Price
No. of contracts
11.85
10.7
15.25
12.1
9.5
12
15
13.55
8.05
9.15
5.05
5
6.85
13.45
15.25
10
12.6
19.75
0
15.6
14.4
20.6
16.75
14.5
16.5
18.25
17.35
12.85
13.4
7.45
7.95
11.15
20.3
26
18.5
15.5
31.5
0
20
18.9
26.15
20.2
20

Turnover in Lacs
15
0
22
32
21
26
10
13
50
44
26
10
39
79
5
4
9
0
5
43
0
47
91
23
89
46
34
295
204
209
84
107
70
16
2
3
3
7
6
0
9
1
6

45.2
0
66.57
96.51
63.02
78.27
30.18
39.13
149.16
131.4
77.46
29.73
116.25
237.79
15.22
12.02
26.98
0
15.19
132.57
0
145.55
280.94
70.6
274.01
142.24
104.8
900.29
624.37
637.05
255.16
326.06
216.24
50.05
6.21
9.23
9.5
21.97
18.94
0
28.55
3.15
18.87

21.45
25.25
23.15
16.1
20.5
11.65
12.95
17.3
25
30
29.5
25
45
45
25.75
25.75
29.6
29.6
25.45
25.45
25.45
25.45
24
26.4
18
18.6
25.85
34
40
42
33
33
33

21.45
25.25
23.45
17.05
20.25
12.1
12.8
16.2
25
30
29.5
25
45
0
25.75
24.1
29.6
28.55
25.45
27.4
29.45
27.45
23.85
26.55
18
18.4
25.8
34
40
42
33
49.7
0

12
19
23
58
66
25
30
58
3
2
5
1
2
0
3
0
1
0
1
0
0
0
53
30
8
16
7
2
6
2
2
0
0

37.78
60.19
72.65
181.02
207.25
77.96
93.35
181.35
9.55
6.44
16.01
3.18
6.55
0
9.69
0
3.25
0
3.23
0
0
0
169.22
96.54
25.52
50.98
22.52
6.55
19.87
6.62
6.53
0
0

Q3

# Underlying value on the day of expiry (28 Nov)

# Therefore, all contracts selected on day 1 ( X = 580, 590, 600, 610, 620) becom
on 0 as can be verified from K20, K39, K58, an

Q4

Long PutPay off (X= 600)

Long Put Profit (Premium Adjusted)

Short Put loss
PUT Bull Spread Payoff (X = 600 ATM &
X =610 OTM), Both exercised.

Open Int
5000
5000
6500
8000
11500
12000
11500
15500
16500
17500
18500
18500
24000
15500
14000
14000
15500
15500
15000
22500
22500
19000
30000
27500
52000
48500
52000
59000
45000
57500
54000
48000
36000
34500
34500
34500
33500
30500
4000
4000
4500
4000
3500

Change in
OI
Underlying Value
1500
604.6
0
609.9
1500
591.85
1500
602.4
3500
605.8
500
601.45
-500
596.1
4000
597.95
1000
608.1
1000
598.75
1000
610.75
0
606.15
5500
597.15
-8500
581.15
-1500
574.95
0
580.85
1500
572.9
0
570.15
-500
570.8
6000
604.6
0
609.9
-3500
591.85
11000
602.4
-2500
605.8
24500
601.45
-3500
596.1
3500
597.95
7000
608.1
-14000
598.75
12500
610.75
-3500
606.15
-6000
597.15
-12000
581.15
-1500
574.95
0
580.85
0
572.9
-1000
570.15
-3000
570.8
500
604.6
0
609.9
500
591.85
-500
602.4
-500
605.8

Type as on
day 1 of
expiry
series
Intrinsic Value Time Value
OTM
0
11.85
OTM
0
10.7
OTM
0
15.25
OTM
0
12.1
OTM
0
9.5
OTM
0
12
OTM
0
15
OTM
0
13.55
OTM
0
8.05
OTM
0
9.15
OTM
0
5.05
OTM
0
5
OTM
0
6.85
OTM
8.85
4.6
OTM
15.05
0.2
OTM
9.15
0.85
OTM
17.1
-4.5
OTM
19.85
-0.1
OTM
19.2
-19.2
ATM
0
15.6
ATM
0
14.4
ATM
8.15
12.45
ATM
0
16.75
ATM
0
14.5
ATM
0
16.5
ATM
3.9
14.35
ATM
2.05
15.3
ATM
0
12.85
ATM
1.25
12.15
ATM
0
7.45
ATM
0
7.95
ATM
2.85
8.3
ATM
18.85
1.45
ATM
25.05
0.95
ATM
19.15
-0.65
ATM
27.1
-11.6
ATM
29.85
1.65
ATM
29.2
-29.2
ITM
5.4
14.6
ITM
0.1
18.8
ITM
18.15
8
ITM
7.6
12.6
ITM
4.2
15.8

6000
11500
17500
9500
27000
26500
27000
15500
15500
14500
12500
12000
11000
11000
1500
1500
1500
1500
1500
1500
1500
1500
8000
7500
9500
9000
9000
8500
6500
6500
6500
6500
6500

2500
5500
6000
-8000
17500
-500
500
-11500
0
-1000
-2000
-500
-1000
0
0
0
0
0
0
0
0
0
6500
-500
2000
-500
0
-500
-2000
0
0
0
0

601.45
596.1
597.95
608.1
598.75
610.75
606.15
597.15
581.15
574.95
580.85
572.9
570.15
570.8
604.6
609.9
591.85
602.4
605.8
601.45
596.1
597.95
608.1
598.75
610.75
606.15
597.15
581.15
574.95
580.85
572.9
570.15
570.8

ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM

# Underlying value on the day of expiry (28 Nov) = 570.8

cted on day 1 ( X = 580, 590, 600, 610, 620) become OTM on 28th Nov and hence trade
on 0 as can be verified from K20, K39, K58, and K77

1960

8.55
13.9
12.05
1.9
11.25
0
3.85
12.85
28.85
35.05
29.15
37.1
39.85
39.2
15.4
10.1
28.15
17.6
14.2
18.55
23.9
22.05
11.9
21.25
9.25
13.85
22.85
38.85
45.05
39.15
47.1
49.85
49.2

12.9
11.35
11.4
15.15
9
12.1
8.95
3.35
-3.85
-5.05
0.35
-12.1
5.15
-39.2
10.35
14
1.45
10.95
11.25
8.85
5.55
5.4
11.95
5.3
8.75
4.55
2.95
-4.85
-5.05
2.85
-14.1
-0.15
-49.2

785
-785
3347.5