DERIVATIVE REPORT

JUNE 11th 2010

Nifty Sentiment Indicators Nifty june future added 11.50 lakh shares in OI, up 0.37%. NIFTY Future is
Put Call Ratio-Index Options 1.13 trading at premium of 11 points, up 2.01% at 5090. Annual volatility was at 27.
Put Call Ratio-Stock Options 0.42 Nifty July future added 0.47 lakh shares in OI, up 3.8%. NIFTY Future is
trading at a premium of 6 points, up 1.96% at 5085.
Volume BANKNIFTY june future added 1.06 lakh shares in OI, up 7.76%. BANKNIFT
Product 09.06.10 10.06.10 % Chg future is trading at discount of 13.45 points, up 2.098% at 9333. Annual
Stock Futures 504417 469706 -6.88% volatility is at 31.23.
Index Futures 875409 749067 -14.43% Tata steel, hindalco, tata motors, state bank of india and bhartiartel were the
Index Options 2137872 2074972 -2.94% most active stocks on yesterday's trade.
Stock Options 94968 100870 6.21% tatamotors June fut traded at a discount of 0.6 points witnessing 10.07%
Total F&O 3612666 3394615 -6.04% decline in OI. The stock was up 4.36% at 762.5. Annual volatility is 60.21 and
total deliverable percentage as on 9th June was 17.13%.
Tata steel June fut traded at a premium of 0.58 points recording 3.67%
addition in OI. The stock was up 2.19% at 473.5. Annual volatility is 51.04 and
Index Spot Future Basis total deliverable quantity is 16.57%.
BANKNIFTY 9346.45 9333 (13) Hindalco June fut traded at a premium of 0.6 point recorded 26.73% increase
CNXIT 5735.1 5730 (5) in OI. The stock was up 4.3% at 139.6. Annual volatility is 63.33 and total
NIFTY 5079 5091 12 deliverable quantity is 26%.

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
HINDALCO 134.90 1.62 10868.00 22.87% ABAN 642.95 -1.90 8742.00 12.70%
DRREDDY 1472.25 5.09 3559.00 21.59% YESBANK 280.35 -0.78 2555.00 11.57%
ASIANPAINT 2286.00 1.91 170.00 16.44% WIPRO 627.50 -1.90 4541.00 11.52%
VOLTAS 191.00 3.10 683.00 15.76% TCS 724.40 -1.74 10503.00 11.15%
PFC 303.60 3.27 355.00 15.64% TATAPOWER 1211.05 -1.73 10999.00 6.67%

Nifty Option Open Interest Distribution

On the call side nifty june 5100 call added 1.05 lakh shares in OI, up
1.73% meanwhile 5000 and 5200 call witnessed 17.05%and 0.64 9,000,000
8,000,000
decline in OI. On the put side nifty june 4900 put added 2.03 lakh
7,000,000
shares in OI, up 2.76% While 5000 put added 16.59 lakh shares in OI,
Open Interest

6,000,000
up 25.46%. The put-call ratio of stock option increased from 0.37 to 5,000,000 CALL
CMP
0.42 while put-call ratio of index option increased from 1.09 to 1.13. 4,000,000 PUT
On the whole the put call ratio was at 1.08 higher than 1.04 in the 3,000,000
previous trading session. in the second half of yesterday's trade our 2,000,000
benchmark index closed firmly at a premium of 11 points, traders 1,000,000
0
covered their short position at 5000 call during the trade indicating
 

short term support around these level on the upside 5200 still
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70

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remains crucial resistance for the market.

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 5

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 5

Strike Price

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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 5100 -85 BUY 5100 -94

55 -45 68 -32
SELL 5200 40 SELL 5000 62

BUY 5200 -40 BUY 5000 -62

75 -25 80 -20
SELL 5300 15 SELL 4900 42

BUY 5100 -85 BUY 5000 -94

130 -70 148 -52
SELL 5300 15 SELL 4800 42

STRATEGY TRACKER
DATE OF PROFIT/ LOSS AS ON
STRATEGY UNDERLYING ASSET STRATEGY NET OUTFLOW/INFLOW 10/06/10 REMARK
SELL IFCI 57.5 JUNE CA @ 1.25
1/6/2010 IFCI 1.60 0.35 BOOK PROFIT
SELL IFCI JUNE 47.5 PA @ 0.35
BUY TATA STEEL JUNE 480 PA @ 27
2/6/2010 TATA STEEL (16.00) 1.75 BOOK PROFIT
SELL TATASTEEL JUNE 440 PA @ 11
BUY RELIANCE JUNE 1040 CE @ 22
3/6/2010 RELIANCE IND (11.00) (1.25) HOLD
SELL RELIANCE JUNE 1080 CE @ 11

9/6/2010 HINDALCO SELL HINDALCO JUNE 150 CA @ 1.7 3.60 0.70 HOLD
SELL HINDALCO JUNE 120 PA @ 1.9

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