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RESEARCH

WEEKLY
DERIVATIVES REPORT
Shorting At Higher Levels Continues To
Mark 5200 As Hurdle

17th May 2010 to 22nd May 2010

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 Weekly Report Derivatives
Weekly
17th May to Commodity
22nd May 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - Nifty

Sentiment Indicator Nifty:

Particulars 14th May 2010 7th May 2010 %Change

Spot Nifty 5093.50 5018.05 +1.50

Nifty Futures May 5083.65 5019.80 +1.27

Nifty CoC (%) -5.42 +0.64 -948.39

Open Interest 30670550 31495300 -2.61

Volume 581569 709593 -18.04

Nifty Snap
Last week Nifty ended with gains of 1.50% on account of Bailout Package being announced by the Greece
Economy. The Nifty rebounded and covered some of its previous week's losses to end well above its 5000 mark
at 5093.50 levels. The Nifty touched its 5200 mark but could not sustain there. If we look onto the derivatives
desk we can see that the Nifty futures prices surged along with overall shredding of open interest and decline in
the cost of carry, this is an indication of some profit booking leaped in at higher levels. For the coming week
major Support for Nifty continues to exist at its 4980 Mark, a failure to sustain this mark can lead to further
selling pressure in the markets and in that case the next Support is seen in the range of 4846/4750 whereas on
the upside Major Resistance continues to exist at 5212 levels, a crossover above this mark will only provide
some strength to the index and if that is surpasses decisively the rally may continue towards 5265/5300 levels.

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 Weekly Report Derivatives
Weekly
17th May to Commodity
22nd May 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - Bank Nifty

Sentiment Indicator Bank Nifty:

Particulars 14th May 2010 7th May 2010 %Change
Spot Bank Nifty 9589.05 9276.10 +3.37

Bank Nifty Futures May 9573.80 9293.45 +3.01

BankNifty CoC (%) -4.46 +3.41 -230.95

Open Interest 1187600 1049000 +13.21

Volume 67233 76327 -11.91

Bank Nifty Snap

The Bank Nifty Index last week ended with gains of 3.37% at 9578.05 Mark. The index failed to cross its crucial
resistance mark of 9900 and reverted. The index after testing 9850 levels witnessed some selling pressure and
ended at 9589.05.Looking at the derivatives desk we can see that the Bank Nifty Futures prices surged along
with an overall addition of open interest but with decline in the cost of carry, this is an indication of short built
up at higher levels. For the coming week Bank Nifty Index Immediate Support is seen at its 9400 levels, a
decisive maintenance below this level can continue the selling pressure in it and the Next Supports are seen at
9240/8980 levels whereas Resistance is seen in the zone of 9700-9900.

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 Weekly Report Derivatives
Weekly
17th May to Commodity
22nd May 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - CNX IT

Sentiment Indicator CNX IT:

Particulars 14th May 2010 7th May 2010 %Change

Spot CNX IT 5839.75 5726.60 +1.97

CNX IT Futures May 5838.20 5724.25 +1.99

CNX IT CoC (%) -0.74 -0.74 -

Open Interest 24800 24550 +1.01

Volume 514 259 +98.45

CNX IT Snap
The CNX IT Index along with other indices also ended in the positive territory gaining nearly 2% at 5839.75
mark. The CNX IT Futures prices gained along with an overall addition of open interest but no change in the
cost of carry, this is an indication of some longs being built in it at lower levels. For the coming week CNX IT
Index continues to be in the sell zone until it surpasses its 5930/6060 levels on the upside whereas on the
downside supports are seen at 5700/5587 levels.

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 Weekly Report Derivatives
Weekly
17th May to Commodity
22nd May 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Options Snap

From the OI Concentration Chart (May Series) we can see that maximum addition of open interest on call
options continues to exist at 5200-5300 strike indicating it as a strong hurdle zone on the upside whereas on
the put options front we can see maximum 5000 strike indicating it as a good support on downside.

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 Weekly Report Derivatives
Weekly
17th May to Commodity
22nd May 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

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