DERIVATIVE REPORT

FRIDAY 3RD SEP 2010

Nifty Sentiment Indicators Nifty Sep future added 10.61 lakh shares in OI, up 3.23%. NIFTY Future is
Put Call Ratio-Index Options 1.15 trading at a discount of 3 points, up 0.10%at 5483.45. Annual volatility was at
Put Call Ratio-Stock Options 0.24 13.86.
Volume Nifty Oct future added 0.77 lakh shares in OI, up 4.76%. NIFTY Future is
Product 01.09.10 02.09.10 % Chg trading at a premium of 3 point, up 0.14% at 5489.
BANKNIFTY Sep future shed 1.27 lakh shares in OI, up 5.45%. BANKNIFT
Index Futures 557777 463206 -16.95%
future is trading at a discount of 26 points, up 0.57% at 10955. Annual
Stock Futures 596177 584760 -1.92%
volatility is at 20.42.
Index Options 2076961 1858163 -10.53%
Tata steel, sbin, suzlon, tata motor and reliance were the most active stocks on
Stock Options 113499 112357 -1.01%
yesterday's trade.
Total F&O 3344414 3018486 -9.75%
Tata steel Sep fut traded at a premium of 1 points witnessing 1.82% down in
OI. The stock was up 0.72% at 544. Annual volatility is 36.22 and total
deliverable percentage was 37.01%.
Index Spot Future Basis Reliance Sep fut traded at a premium of 5 points recording 0.23% decrease in
NIFTY 5486.15 5483 (3) OI. The stock was down 0.04% at 942.10. Annual volatility is 23.18 and total
deliverable quantity was 63.75%.
BANKNIFTY 10980.6 10955 (26)
Tata motor Sep fut traded at a premium of 7 points, 3.45% up in OI. The stock
CNXIT 6055.2 6055 (0) was up 0.83% at 1020.95. Annual volatility is 38.72 and total deliverable

Increase In OpenInterest Decrease In OpenInterest

Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price Symbol Prev OI Curr OI %Chg OI Curr Price %Chg Price
BEML 630 850 34.92% 1072.05 5.21% SUNTV 755 685 -9.27% 491.55 1.72%
INDIANB 409 523 27.87% 256.7 2.25% CROMPGREAV 1250 1181 -5.52% 302.4 0.00%

APOLLOTYRE 2424 3089 27.43% 82.45 10.97% HOTELEELA 688 652 -5.23% 52.55 -0.28%
ADANIPOWER 1758 2169 23.38% 133.65 -3.85% PETRONET 1142 1092 -4.38% 112.35 -0.04%
IOB 840 1018 21.19% 133.85 6.02% CESC 1085 1047 -3.50% 387.7 0.90%

Nifty Option Open Interest Distribution

14,000,000
12,000,000
open interest

Nifty Sep 5500 call added 7.14 lakh shares in OI, up 9.65% and 10,000,000 call
5600 call added 7.05 lakh shares in OI, upCMP
8.37%. On the put side 8,000,000
6,000,000 put
nifty Sep 5400 put added 6.91 lakh shares in OI, up 6.58% and 5300
4,000,000
put shed 4.04 lakh in OI, down 5.22%. The put-call ratio of stock
2,000,000
option decreased from 0.26 to 0.24 while put-call ratio of index 0
option decreased from 1.22 to 1.15. On the whole the put call ratio
47 0

49 0

51 0

53 0

55 0

57 0

59 0

61 0

was at 1.06.
.0

.0

.0

.0

.0

.0

.0

.0

.0
00

00

00

00

00

00

00

00

00
45

strike price

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DERIVATIVE REPORT
MOST ACTIVE CALLS MOST ACTIVE PUTS
Symbol Expiry Date Strike Price Contracts Traded Open Interest Symbol Expiry Date Strike Price Contracts Traded Open Interest
NIFTY 30-Sep-10 5500 272920 8461950 NIFTY 30-Sep-10 5400 229017 11492500
NIFTY 30-Sep-10 5600 197117 9122250 NIFTY 30-Sep-10 5500 218618 5714950
NIFTY 30-Sep-10 5400 128867 5548950 NIFTY 30-Sep-10 5300 143516 8185300
NIFTY 30-Sep-10 5700 103951 8342350 NIFTY 30-Sep-10 5100 97598 7372450
NIFTY 30-Sep-10 5800 34473 4082300 NIFTY 30-Sep-10 5200 87729 9020800
NIFTY 28-Oct-10 5700 13595 1994550 NIFTY 30-Sep-10 5000 41944 6182250
NIFTY 28-Oct-10 5800 13116 1708550 NIFTY 30-Sep-10 5600 28154 1242450
NIFTY 28-Oct-10 5600 12268 1576100 NIFTY 30-Sep-10 4900 26150 5955500
NIFTY 28-Oct-10 5500 10111 1236950 NIFTY 28-Oct-10 5000 13012 2268850
NIFTY 30-Sep-10 5300 9702 2225250 NIFTY 28-Oct-10 5100 12750 1917250

INTRA DAY STRATEGY INTRA DAY STRATEGY

BUY : HDFC BANK SEP FUT AT 2180

SELL : ONGC SEP FUT BELOW 1305

VIEW : BULLISH
VIEW : BEARISH

STRATEGY: BUY FUTURE

STRATEGY: SELL FUTURE

TARGET: 2220
TARGET: 1280

SL: 2160
SL: 1320

MARKET LOT :125

MARKET LOT :250

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 2/09/10 REMARK

26/8/2010 NIFTY BUY NIFTY SEP 5400 PA @ 93.70 10 POINTS HOLD

SELL NIFTY TWO SEP 5200 PA @ 50

2/9/2010 TATA STEEL BUY TATASTL SEP 560 CA @ 11.40 2 POINTS HOLD
SELL TATASTL TWO SEP 500 PA @ 5.05

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