DERIVATIVE REPORT

April 27th 2010

Nifty Sentiment Indicators Nifty April future added 13.74lakh shares in OI, up 5.53%%. NIFTY Future is
Put Call Ratio-Index Options 0.99 trading at discount of 2.15 point, up 0.28% at 5319.85. The annual volatility is
Put Call Ratio-Stock Options 0.31 14.85.
Nifty may future added 23.58 lakh shares in OI, up 47.27%. NIFTY Future is
Volume trading at a premium of 1.95 points, up 0.30% at 5323.95.
Product 26.04.10 23.04.10 % Chg BANKNIFTY April future added 0.86 lakh shares in OI, up 6.58%.
BANKNIFT future is trading at a premium of 2.2 points, up 0.5% at 9841.2.
Stock Futures 766821 626286 22.44
Banknifty may future added 1.56 lakh shares in OI up 80.95%.
Index Futures 421027 610284 -31.01
Reliance, tata steel, icicibank, sterlite ind and maruti were the most active
Index Options 1522109 2236398 -31.94
stocks on yesterday's trade.
Stock Options 97637 122528 -20.31
Reliance April fut traded at a premium of 1.05 point witnessing 1.43% growth
Total F&O 2807594 3595496 -21.91
in OI. The stock was down 1.93% at 1069.05. Annual volatility is 29.03 and
total deliverable percentage as on 23rd April was 47.28%.
Icici bank April fut traded at a premium of 2.9 points recording 8.12%
Index Spot Future Basis expansion in OI. The stock was down by 1.21% at 962.9. Annual volatility is
BANKNIFTY 9839.15 9841 2 34.54 and total deliverable quantity is 39.28%.
Tata steel April fut traded at a premium of 2 point recorded 4.62% increase in
CNXIT 6040 6035 (5)
OI. The stock was up 1.24% at 658. Annual volatility is 35.72 and total
NIFTY 5322 5320 (3) deliverable quantity is 28.03%.

Increase in Open Interest and Increase in Price Increase in Open Interest and Decrease in Price
%Price %Price
Stocks Price Change Opn. Int (OI) %OI Change Stocks Price Change Opn. Int (OI) %OI Change
PFC 281.55 2.55 543600.00 17.97 SUNPHARMA 1611.00 -4.74 460575.00 17.24
STER 843.60 5.95 5600268.00 15.80 ICICIBANK 962.90 -1.21 12507600.00 8.12
YESBANK 282.15 4.02 4358200.00 13.26 FORTIS 165.00 -1.67 8568300.00 7.64
LICHSGFIN 908.00 2.51 1484100.00 11.85 HDIL 273.00 -2.80 11901798.00 6.02
OPTOCIRCUI 234.85 2.73 1164840.00 10.87 POLARIS 183.70 -1.21 1985200.00 5.98

Nifty Option Open Interest Distribution

On the call side nifty april 5300 call added 2.45 lakh shares in OI,
12,000,000 up 3.79% while nifty april 5400 call added 7.95 lakh shares in OI,
10,000,000
Open Interest

up 11.55% On the put side nifty April 5300 put added 9.28 lakh
8,000,000
CMP CALL shares in OI, up 17.93% While 5200 put witnessed addition of 3.53
6,000,000
4,000,000 PUT lakh shares in OI, up 4.87%. The put-call ratio of stock option
2,000,000 decreased from 0.32 to 0.31 while put-call ratio of index option
0 increased from 0.98 to 0.99. On the whole the put call ratio was at
0.93 at par with 0.93 in the previous trading session. 5400 and
 

 
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5500 may call option witnessed 17.90% and 18.67% growth in OI

10

30

50

70

90

10

30

50

70

90
 4

 4

 4

 4

 4

 5

 5

 5

 5

 5

suggest index has cap around 5500 while 5300 and 5200 may put
Strike Price option registered 44.32% and 6.18% addition in OI indicating that
investors are eyeing 5200 as crucial support for nifty in the near
term.

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DERIVATIVE REPORT
NIFTY BULLISH CALL SPREAD NIFTY BEARISH PUT SPREAD
ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS ACTION STRIKE PRICE PREMIUM MAX PROFIT MAX LOSS

BUY 5200 -123 BUY 5400 -84

20 -80 41 -59
SELL 5300 43 SELL 5300 25

BUY 5300 -43 BUY 5300 -25

64 -36 81 -19
SELL 5400 7 SELL 5200 6

BUY 5200 -123 BUY 5400 -84

84 -116 122 -78
SELL 5400 7 SELL 5200 6

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 26/04/10 REMARK
BUY RELIANCE APRIL 1100 CA @ 33
29/.03/2010 RELIANCE (66.00) (12.10) EXIT
BUY RELIANCE APRIL 1100 PA @ 33
SELL NIFTY APRIL 5300 CA @ 88
30/03/2010 NIFTY 170.00 28.00 BOOK PROFIT
SELL NIFTY APRIL 5200 PA @ 82
BUY DLF APRIL 320 CA @ 15.20
5/4/2010 DLF (9.10) 1.85 BOOK PROFIT
SELL DLF APRIL 340 CA @ 6.10
BUY SUZLON APRIL 75 CA @ 3.1
6/4/2010 SUZLON (2.40) (1.50) EXIT
SELL SUZLON APRIL 85 CA @ 0.7
BUY ICICIBANK APRIL 960 PA @ 26.25
9/4/2010 ICICIBANK (8.80) 7.55 BOOK PROFIT
SELL ICICIBANK APRIL 940 PA @ 17.45
SELL TATAMOTORS APRIL 820 CA @ 7.85
13/4/2010 TATAMOTORS 16.10 4.00 BOOK PROFIT
SELL TATAMOTORS APRIL 740 PA @ 8.25
SELL NIFTY APRIL 5500 CE @ 15
14/4/2010 NIFTY 36.00 14.20 BOOK PROFIT
SELL NIFTY APRIL 5100 PE @ 21
SELL INFOSYSTCH APRIL 2900 CA @ 13
16/4/2010 INFOSYSTCH 22.50 7.30 BOOK PROFIT
SELL INFOSYSTCH APRIL 2650 PA @ 9.5
SELL ICICIBANK APRIL 980 CA @ 5
20/4/2010 ICICIBANK 14.00 5.45 BOOK PROFIT
SELL ICICIBANK APRIL 880 PA @ 9
SELL UNITECH APRIL 90 CA @ 0.75
22/4/2010 UNITECH 1.25 0.85 BOOK PROFIT
SELL UNITECH APRIL 80 PA @ 0.5

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