DERIVATIVE REPORT

26th AUG 2010

Nifty Sentiment Indicators Nifty August 2010 futures were at 5464.95, at a slight premium over spot
Put Call Ratio-Index Options 1.29 closing of 5462.35. Nifty September 2010 futures were at 5469.30, at a
Put Call Ratio-Stock Options 0.37 premium of 6.95 points over spot closing of 5462.35. The near-month
Volume August 2010 derivatives contracts expire on Thursday, 26 August 2010.
Product 24.08.10 25.08.10 % Chg Turnover on NSE's futures & options segment rose to Rs 139650.18 crore
Index Futures 873805 899134 2.90% from Rs 132277.27 crore on Tuesday, 24 August 2010, as traders rolled
Stock Futures 1228155 1360855 10.80% over positions from the near-month August 2010 series to the September
Index Options 2493012 2621503 5.15% 2010 series.
Stock Options 144375 137994 -4.42% Tata Motors August 2010 futures were near spot price at 993.80 compared
Total F&O 4739347 5019486 5.91% to the spot closing of 992.30.
Reliance Industries August 2010 futures were at premium at 969.35
compared to the spot closing of 966.80.
State Bank of India August 2010 futures were at premium at 2824.15
Index Spot Future Basis
compared to the spot closing of 2821.05.
NIFTY 5462.35 5465 3 In the spot market, the 50-unit S&P CNX Nifty lost 42.75 points or 0.78%
BANKNIFTY 10937.85 10950 12 to 5,462.35, as concerns over the pace of the global economic recovery
CNXIT 6109.95 6106 (4) continued to hurt sentiment across global equities.

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

GRASIM 2897 4158 43.53% 2071.5 -0.35% CROMPGREAV 748 524 -29.95% 287.95 0.96%
AMBUJACEM 8532 10292 20.63% 121.3 0.29% BRFL 3446 2441 -29.16% 255 -1.45%

MCDOWELL-N 2528 3040 20.25% 1378.9 -1.55% WELCORP 7732 5613 -27.41% 240 -2.79%
IDEA 4007 4612 15.10% 69.2 2.22% CUMMINSIND 572 435 -23.95% 696.25 -0.80%
LICHSGFIN 7902 9008 14.00% 1221.25 -0.82% FSL 3175 2461 -22.49% 25.9 -2.08%

Nifty Option Open Interest Distribution 14,000,000

12,000,000
open interes t

Nifty aug 5500 call added 13.02 lakh shares in OI, up 20.46% and 10,000,000
5600 call added 0.06 lakh shares in OI, upCMP
0.07%. On the put side 8,000,000 call
nifty aug 5400 put added 1.19 lakh shares in OI, up 0.99% and 5300 6,000,000 put
put added 3.27 lakh in OI, up 2.67%. The put-call ratio of stock 4,000,000
option increased from 0.32 to 0.37 while put-call ratio of index 2,000,000
option decreased from 1.49 to 1.29. On the whole the put call ratio 0
was at 1.21.
 

 
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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 26-Aug-10 5500 507253 7668600 NIFTY 26-Aug-10 5500 492852 7150000
NIFTY 26-Aug-10 5600 144711 9917050 NIFTY 26-Aug-10 5400 322657 12181400
NIFTY 26-Aug-10 5400 141887 2404850 NIFTY 26-Aug-10 5300 82809 12590450
NIFTY 30-Sep-10 5600 83183 5644050 NIFTY 30-Sep-10 5400 78168 6305600
NIFTY 30-Sep-10 5500 77398 4939200 NIFTY 30-Sep-10 5500 67360 3958200
NIFTY 30-Sep-10 5700 54087 4634850 NIFTY 30-Sep-10 5300 66290 5202650
NIFTY 30-Sep-10 5800 34131 3497600 NIFTY 30-Sep-10 5200 51042 6137250
NIFTY 30-Sep-10 5400 23259 3051950
NIFTY 26-Aug-10 5600 43758 712750
NIFTY 26-Aug-10 5300 10357 693350
NIFTY 30-Sep-10 5100 43579 5267150
NIFTY 30-Sep-10 5900 8517 1030350
NIFTY 30-Sep-10 5000 36949 3877300

NIFTY STRATEGY AS ON 26th AUG 2010 PAYOFF MATRIX

UNDERLYI
NG ASSET NIFTY 250

CMP 5465 200

BUY NIFTY SEP 5400 PA @ 93.70
STRATEGY
SELL NIFTY TWO SEP 5200 PA @ 50 150
MAX LOSS ZERO
100
MAX PROFIT 206.3
50
STOP LOSS BELOW 5200

LOT SIZE 50 0
0 2 4 6 8 10 12

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 25/08/10 REMARK

28/7/2010 NIFTY BUY NIFTY AUG 5300 PA @ 71.9 0.00 HOLD

SELL NIFTY TWO AUG 5000 PA @ 20.50

4/8/2010 REL IND BUY REL IND AUG1080 CA @12.20 0.00 HOLD
SELL TWO REL IND AUG 980 PA @ 6.55
BUY TISCO AUG 500 PA @ 11.20
11/8/2010 TISCO 6.00 PROFIT
SELL TISCO TWO AUG 480 PA @ 5.90
SELL NIFTY AUG 5600 CA @6.20
23/8/2010 NIFTY 10.00 PROFIT
SELL NIFTY AUG 5400 PA @ 6.10

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