Derivative Pricing Strategy On Futures And Options

F & O HIGHLIGHTS
Nifty March 2011 futures closed at 5,343.05, at a premium of 9.80 over spot closing of 5,333.25, while Nifty April 2011 futures were at 5,357.00, at a premium of 23.75 points over spot closing. The near month March 2011 derivatives contract expire on Thursday, March 31, 2011. Nifty March futures saw an addition of 17.96% or 3.87 million (mn) units, taking the total outstanding open interest (OI) to 25.46 mn units.
From the most active underlying, Tata Motors March 2011 futures closed at a discount of 3.05 points at 1076.65 compared with spot closing of 1079.70. The number of contracts traded was 59,392.
SBI’s March 2011 futures were at a discount of 8.60 points at 2634.50 compared with spot closing of 2643.10. The number of contracts traded was 43,000.
ICICI Bank March 2011 futures were at a premium of 5.85 points at 978.85 compared with spot closing of 973.00. The number of contracts traded was 42,091.
Hindalco March 2011 futures were at a premium of 0.30 points at 202.00 compared with spot closing of 201.70. The number of contracts traded was 20,716.
Reliance Industries March 2011 futures were at a premium of 3.40 points at 965.10 compared with spot closing of 961.70. The number of contracts traded was 33,338.

Nifty Option Open Interest Distribution
Nifty March 5400 call added 7.53 lakh shares in OI, up 21.29% and 5500 call added 4.67 lakh shares in OI, up 10.14%. On the put side nifty March 5300 put added 9.20 lakh shares in OI, up 15.01% and 5200 put added 9.78 lakh in OI, up 19.45%. The put-call ratio of stock option increased from 0.35 to 0.37 while put-call ratio of index option decreased from 0.85 to 0.99. On the whole the put call ratio was at 0.97.

Analyst
Pashupatinathjha@moneysukh.com

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F & O HIGHLIGHTS

Nifty February 2011 futures closed at 5,455.20, at a discount of 0.80 over spot closing of 5,456.00, while Nifty March 2011 futures were at 5,477.95, at a premium of 21.95 points over spot closing. The near month February 2011 derivatives contracts expire on Thursday, February 24, 2011. Nifty February futures saw an addition of 11.08% or 2.89 million (mn) units, taking the total outstanding open interest (OI) to 29.04 mn units.
From the most active underlying, Tata Motor's February 2011 futures closed at a discount of 6.35 points at 1,203.00 compared with spot closing of 1,209.35. The number of contracts traded was 38,075.
SBI's February 2011 futures were at a discount of 8.85 points at 2688.15 compared with spot closing of 2697.00. The number of contracts traded was 28,994.
Reliance Industries February 2011 futures were at a premium of 0.55 points at 915.65 compared with spot closing of 915.10. The number of contracts traded was 33,934.
Hindalco February 2011 futures were at a premium of 0.30 points at 219.70 compared with spot closing of 219.40. The number of contracts traded was 16,941.
Tata Steel February 2011 futures were at a discount of 0.20 points at 622.35 compared with spot closing of 622.55. The number of contracts traded was 23,580.

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