DERIVATIVE REPORT

Nifty April future added 16.19 lakh shares in OI, up 6.42%%. NIFTY Future
April 9th 2010 premium of 6.25 points has converted into discount of 11 points, down 1.6%
at 5293. The annual volatility increased from 15.88 to 16.37.
Nifty Sentiment Indicators Nifty may future added 0.57lakh shares in OI, up 0.3.47%. NIFTY Future
Put Call Ratio-Index Options 1.23 premium of 11.35 points has converted into discount of 6 points, down 1.58%
Put Call Ratio-Stock Options 0.33 at 5298.
BANKNIFTY April future added 0.55 lakh shares in OI, up 4.37%.
Volume BANKNIFT future discount of 6 points has increased to 14.05 points, down
Product 7.04.10 7.04.10 % Chg 1.88% at 9505.95.
Stock Futures 465693 466559 -0.19 Reliance, dlf, ICICI bank, and sail were the most active stocks on yesterday's
Index Futures 565090 389460 45.10 trade.
Index Options 1515123 1235166 22.67 Reliance April fut traded at a discount of 0.1 point witnessing 1.26% growth
Stock Options 92274 87255 5.75 in OI. The stock was down 2.38% at 1105.1. Annual volatility is 29.19 and total
Total F&O 2638180 2178440 21.10 deliverable percentage as on 7th April is 41.99%.
Icici bank April fut traded a discount of 0.4 points recording 1.07% expansion
in OI. The stock was down by 2.62% at 960.20. Annual volatility is 31.65 and
total deliverable quantity is 1.07%.
Index Spot Future Basis Sail April fut traded at a discount of 0.3 points recorded 49.68% increase in OI.
BANKNIFTY 9520 9506 (14) The stock was down 7.29% at 236.7. Annual volatility is 48.56 and total
CNXIT 5950 5940 (10) deliverable quantity is 28.83%.
DLF April fut traded at a discount of 0.5 point with an OI increase of 6.11%.
NIFTY 5304 5293 (11)
The stock was up by 0.06% at 332. Annual volatility is 39.06 and total
percentage deliverable quantity is 33.01%.

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
LITL 56.80 4.12 23912240 18.46 SAIL 236.70 -7.29 7585650 49.68
ROLTA 188.45 2.14 3155400 8.88 BANKINDIA 354.55 -4.40 2314200 18.60
ESSAROIL 151.30 3.24 22409852 7.65 HINDALCO 176.85 -4.35 19349000 11.31
CESC 395.00 1.10 909700 7.40 WELGUJ 280.20 -4.48 16184000 9.23
VIDEOIND 246.35 2.67 3252032 7.18 JINDALSAW 218.30 -2.63 17705000 8.92

Nifty Option Open Interest Distribution

On the call side nifty april 5400 call added 7.56 lakh shares in OI,
10,000,000
up 11.30% while nifty april 5300 added 17.71 lakh shares in OI, up
Open Interest

8,000,000
6,000,000
44.71% meanwhile 5200 call witnessed shading in OI, it was down
CALL
4,000,000
by 16200 or 0.75%. On the put side nifty April 5300 put added 0.12
PUT
2,000,000 CMP lakh shares in OI, up 0.16% While 5200 put witnessed addition of
0 4.96 lakh shares in OI, up 5.97%.
The put-call ratio of stock option increased from 0.27 to 0.33 while
 

 
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put-call ratio of index option declined from 1.36 to 1.23. On the

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Strike Price
whole the put call ratio was at 1.15 lower than 1.24 in the previous
trading session.

Amids negative sentiments across the global market our market tank 1.31% to close at 53.04 in the cash market. Nifty April future closed at a
discount of 11 points at 9293 ending two consecutive closing at a premium. At the same time nifty april 5300 call witnessed highest addition in OI
indicating that traders are expecting further fall in nifty however addition of 4.96 lakh shares in the OI of 5200 put suggest that market may face
support around this level.

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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 5300 -126 BUY 5400 -85

39 -61 65 -35
SELL 5400 65 SELL 5300 50

BUY 5400 -65 BUY 5300 -50

61 -39 77 -23
SELL 5500 26 SELL 5200 27

BUY 5300 -126 BUY 5400 -85

100 -100 142 -58
SELL 5300 26 SELL 5200 27

PAYOFF M ATR IX
STOCK STRATEGY AS ON 9th APRIL 2010
UNDERLYING ASSET ICICIBANK 15

BUY ICICIBANK APRIL 960 PA @ 26.25 10

STRATEGY
SELL ICICIBANK APRIL 940 PA @ 17.45

PROFIT/LOSS
5

0
MAX LOSS 8.8 ABOVE 960
860 880 900 920 940 960 980 1000
-5
MAX PROFIT 11.2 BELOW 930
-10

BEP 951.2 -15

PRIC E
LOT SIZE 350

STRATEGY TRACKER
DATE OF
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW PROFIT/ LOSS AS ON 8/04/10 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) (0.20) HOLD
SELL SUZLON APRIL 85 CA @ 0.7

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