Derivative Report

Derivative Report

12th Oct 2010

Nifty Sentiment Indicators Put Call Ratio-Index Options 1.21 Put Call Ratio-Stock Options 0.26   Volume Product 08.10.10 11.10.10 % Chg Stock Futures 531430 327576 -38.36% Index Futures 710038 550971 -22.40% Index Options 1909606 1380137 -27.73% Stock Options 155878 122939 -21.13% Total F&O 3306952 2381623 -27.98% Index Spot Future Basis NIFTY 6136 6155               19 BANKNIFTY 12513 12545               32 CNXIT 6716.25 6743               27 NIFTY 5452.1 5456                 4   F & O HIGHLIGHTS Nifty Oct future shed 4.00 lakh shares in OI, down 1.51%. NIFTY Future is trading at a premium of 19 points, up 0.35%at 6154.80. Annual volatility was at 16.59. Nifty Nov future added 2.15 lakh shares in OI, up 11.26%. NIFTY Future is trading at a premium of 35 point, up 0.37% at 6171. BANKNIFTY Oct future added 0.30 lakh shares in OI, up 1.85%. BANKNIFT future is trading at a premium of 32 points, up 0.123% at 12545. Annual volatility is at 19.43. Tata steel, tata motors, ifci, cairn, and reliance were the most active stocks on yesterday's trade. Tata steel Oct fut traded at a premium of 5 point witnessing 0.64% down in OI. The stock was up 1.91% at 644. Annual volatility is 39.08 and total deliverable percentage was 40.81%. Reliance Oct fut traded at a premium of 2 points recording 4.07% decrease in OI. The stock was surged 1.34% at 1070.85. Annual volatility is 27.59 and total deliverable quantity was 63.49%. Tata motors Oct fut traded at a discount of 3 point, 1.68% surged in OI. The stock was up 4.46% at 1153.50. Annual volatility is 35.89 and total deliverable quantity was 36.43%.

Increase In OpenInterest & Decrease In Price  Stocks Price Change Open.Int (OI) % OI Change % OI Change EXIDEIND 834 1207 44.72% 180.3 5.84% CHAMBLFERT 3207 4232 31.96% 81.85 10.16% BANKBARODA 2765 3547 28.28% 953.2 1.96% PFC 1503 1835 22.09% 380.2 3.57% HINDZINC 1302 1585 21.74% 1214 2.69%

Increase In OpenInterest & Decrease In Price  Stocks Price Change Open.Int (OI) % OI Change % OI Change NAGARFERT 4575 4205 -8.09% 34.3 8.37% DIVISLAB 2168 2057 -5.12% 730 -0.23% GODREJIND 3879 3747 -3.40% 234.25 4.81% IFCI 24999 24229 -3.08% 74.4 0.74% CUMMINSIND 876 850 -2.97% 744 1.11%

Nifty Option Open Interest Distribution Nifty Oct 6200 call added 5.25 lakh shares in OI, up 9.38% and 6300 call added 2.60 lakh shares in OI, up 5.04%. On the put side nifty Oct 6100 put added 6.63 lakh shares in OI, up 16.36% and 6000 put shed 3.94 lakh in OI, down 4.70%. The put-call ratio of stock option decreased from 0.27 to 0.0.26 while put-call ratio of index option increased from 0.94 to 1.21. On the whole the put call ratio was at 1.08. Analyst Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK: The nifty future is likely to trade in the range of 5900-6300 level in short term as the OI is added. The trading strategy would be to create short positions if the nifty resists around 6230 levels for the target of 6150 and 6120. On the other hand, one can also create long positions if the nifty gets support around 6100 levels.

MOST ACTIVE CALLS   Symbol Expiry Date Strike Price Contracts Traded Open Interest   NIFTY 28-Oct-10 6200 201708 6392000   NIFTY 28-Oct-10 6300 126267 5463350   NIFTY 28-Oct-10 6100 78012 3079350   NIFTY 28-Oct-10 6400 77836 4549400   NIFTY 28-Oct-10 6500 46504 3215200   NIFTY 28-Oct-10 6000 14255 2885750   NIFTY 28-Oct-10 6600 13701 1445700   NIFTY 25-Nov-10 6200 7573 937550   NIFTY 28-Oct-10 5900 5950 2213400   NIFTY 25-Nov-10 6300 5718 1170850 MOST ACTIVE PUTS   Symbol Expiry Date Strike Price Contracts Traded Open Interest   NIFTY 28-Oct-10 6100 200202 4712900   NIFTY 28-Oct-10 6000 137676 8721050   NIFTY 28-Oct-10 6200 99041 2537700   NIFTY 28-Oct-10 5900 74058 4443550   NIFTY 28-Oct-10 5800 68723 4978250   NIFTY 28-Oct-10 5700 47676 4204700   NIFTY 28-Oct-10 5600 20573 3998350   NIFTY 28-Oct-10 5500 13173 3749900   NIFTY 28-Oct-10 6300 10256 806850   NIFTY 25-Nov-10 6100 9486 831600

INTRA DAY STRATEGY      BUY : ICICI BANK OCT FUT AT 1130      VIEW : BULLISH      STRATEGY: BUY FUTURE      TARGET: 1150      SL: 1120      MARKET LOT : 250          INTRA DAY STRATEGY      BUY: SYNTEX OCT FUT AT 433      VIEW : BULLISH      STRATEGY: BUY FUTURE      TARGET: 450      SL: 426      MARKET LOT : 1000

STRATEGY TRACKER     DATE OF   STRATEGY   UNDERLYING   ASSET   STRATEGY NET PROFIT/ LOSS AS ON 11/10/10 REMARK     1/10/2010   NIFTY BUY NIFTY OCT 6100 PA@170 SELL NIFTY OCT TWO 5900PA@87.5 21 POINTS BOOK FULL PROFIT     7/10/2010   NIFTY SELL NIFTY OCT 6500CA@21 SELL NIFTY OCT 5800 PA @ 18.35 19 POINTS BOOK FULL PROFIT     8/10/2010   NIFTY BUY NIFTY OCT 6200 CA@84.50 SELL NIFTY OCT TWO 6300CA@46.45 0 POINTS HOLD