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RESEARCH

WEEKLY
DERIVATIVES REPORT
Volatility Continues: Markets Zigzag Ahead Of Expiry!

25th Oct 2010 to 30th Oct 2010

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 Weekly Report Derivatives
25th OctWeekly Commodity
to 30th Oct 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - Nifty

Sentiment Indicator Nifty:

Particulars 22nd Oct. 2010 15th Oct. 2010 %Change

Spot Nifty 6066.05 6062.65 +0.056

Nifty Futures ( Oct) 6089.75 6092.00 -0.036

Nifty CoC (%) +23.76 +13.59 +74.83

Open Interest 29546450 29946400 -1.33

Volume 509678 512380 -0.52

Nifty Snap
Last week the Nifty Index tumbled below its 6000 mark and dragged to make a low of 5966, a sharp pullback
was than seen towards the 6100 mark. On weekly basis the Nifty managed to close flat at its 6066 mark. On the
derivatives front we have seen that the Nifty Futures prices ended almost flat with a nominal shredding in open
interest and increase in the cost of carry, this is an indication that market witnessed short covering from the
lower levels. For the coming week the Nifty index continues to have strong supports in the zone of 5960-5900
and if that is breached selling pressure may continue to prevail and in that case the next support is seen at 5775
mark whereas on the upside immediate resistance for the index is seen at 6155 mark if we continue to manage
and sustain above this mark than the pull back may be seen towards the 6240/6285 mark.

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 Weekly Report Derivatives
25th OctWeekly Commodity
to 30th Oct 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - Bank Nifty

Sentiment Indicator Bank Nifty:

Particulars 22nd Oct. 2010 15th Oct. 2010 %Change
Spot Bank Nifty 12384.80 12346.45 +0.31

Bank Nifty Futures (Oct) 12424.30 12436.70 -0.099

BankNifty CoC (%) +19.40 +20.52 -5.45

Open Interest 1668875 1631075 +2.31

Volume 58347 57059 +2.25

Bank Nifty Snap

Last week the Bank Nifty Index also ended flat. It recovered from its lows of 12139 and closed at 12384.80
mark gaining 0.31%. On the derivatives front we have seen that the Bank Nifty Futures prices ended flat along
with decline in the cost of carry and addition of open interest, this is an indication of some shorts being built in it
at higher levels. For the coming week immediate resistance for the Bank Nifty Index is seen at 12565/12665
levels whereas on the downside strong support continues to exist at 11905/11878 levels, a sustenance below
the these levels can witness some selling pressure and in that case the next major support is seen at 11470
levels.

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 Weekly Report Derivatives
25th OctWeekly Commodity
to 30th Oct 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Derivative Wrap - CNX IT

Sentiment Indicator CNX IT:

Particulars 22nd Oct. 2010 15th Oct. 2010 %Change

Spot CNX IT 6777.10 6730.10 +0.69

CNX IT Futures (Oct) 6790.25 6729.80 +0.89

CNX IT CoC (%) +11.80 +0.125 +9340

Open Interest 26150 16900 +54.73

Volume 473 472 +0.21

CNX IT Snap
Last week the CNX IT index gained 0.69% and gave a weekly close at 6777.10 Mark. On the derivatives front
we have seen that the CNX IT Futures prices gained along with an overall addition of open interest and increase
in the cost of carry, this is an indication of longs being built at lower levels in the Index. For the coming week the
CNX IT Index resistance is seen at 6866/6930 levels whereas on the downside support for the index is seen at its
6600 levels.

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 Weekly Report Derivatives
25th OctWeekly Commodity
to 30th Oct 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

Options Snap

From the OI Concentration (Nov. Series) we can see that the maximum addition of open interest on the call
options front is existent at strike price of 6200 indicating it as a resistance on the upside whereas on the put
options front we have seen addition of open interest at strike price of 6000-5800 indicating it as a strong
support zone on the downside.

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 Weekly Report Derivatives
25th OctWeekly Commodity
to 30th Oct 2010 Report
1st March to 6th Mar 2010
RESEARCH
RESEARCH

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