Global Research Limited

WEEKLY
DERIVATIVES
REPORT
13th Dec - 18th Dec 2010

INDICES TANK - LONGS STUCK

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 Derivatives
13th Dec - 18th Dec, 2010

RESEARCH

Derivative Wrap - Nifty Sentiment Indicator Nifty

Particulars 10th Dec. 2010 3rd Dec. 2010 %Change

Spot Nifty 5857.35 5992.80 -2.26

Nifty Futures (Dec) 5879.60 6016.75 -2.28

Nifty CoC (%) +6.93 +5.40 +28.33

Open Interest 26342900 28404650 -7.25

Volume 558644 356553 +56.67

Last week the Nifty Index ended in the red territory at 5857.35 Mark
losing 2.26%. On the derivatives front we have seen that the Nifty
Futures prices declined along with an overall decline in open interest
but increase in the cost of carry, this is an indication of long closures at
higher levels. For the coming week, the Nifty Index is likely to face
crucial resistance in the zone of 5960/6067 whereas on the downside,
support is seen at 5740/5690 levels. A decisive sustenance of the Index
below the 5690 level can call for some more selling pressure in the
markets and in that case the next support for the Index is seen at
5640/5550 mark.

Derivative Wrap - Bank Nifty Sentiment Indicator Bank Nifty

Particulars 10th Dec. 2010 3rd Dec. 2010 %Change

Spot Bank Nifty 11447.00 12349.20 -7.30

Bank Nifty Futures (Dec) 11500.75 12408.65 -7.31

Bank Nifty CoC (%) +8.57 +6.50 +31.84

Open Interest 1302500 1271975 +2.40

Volume 82126 55721 +47.38

The Bank Nifty Index last week plunged more than seven percent and
ended in deep red at 11447. On the derivatives front we have seen that
the Bank Nifty Futures prices declined along with an overall addition of
open interest and increase in the cost of carry, this is an indication of
some longs being built at lower levels. For the coming week Bank Nifty
Index is likely to face resistance in the zone of 11700-12050 levels
whereas on the downside support for the Index is seen at 11138/10775
levels.

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 Derivatives
13th Dec - 18th Dec, 2010

RESEARCH

Derivative Wrap - CNX IT Sentiment Indicator Nifty

Particulars 10th Dec. 2010 3rd Dec. 2010 %Change

Spot CNX IT 6869.10 6856.65 +0.18

CNX IT Futures (Dec) 6901.10 6882.60 +0.27

CNX IT CoC (%) +8.50 +5.11 +66.34

Open Interest 15050 11200 +34.37

Volume 222 204 +8.82

Last week the CNX IT Index also ended in the green along with other
indices. It gained 3.64% and closed at 6856.65. On the derivatives
front we have seen that the CNX IT Futures prices surged along with an
overall addition of open interest but decline in the cost of carry, this is an
indication that some shorts have been built at higher levels. For the
coming week the Resistance for CNX IT Index is seen at 6936/7036
levels whereas on the downside support for the Index is seen at
6685/6617 levels.

Options Snap
From the OI Concentration (Dec. Series)
we can see that the maximum addition of
open interest on the call options front is
existent at strike price of 6000 and 6100
indicating this range to act as immediate
resistance on the upside whereas on the
put options front addition of open interest
is seen at strike price of 5700-5600
indicating it as the strong support zone on
the downside.

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 Derivatives
13th Dec - 18th Dec, 2010

RESEARCH

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