DERIVATIVE REPORT

30th AUG 2010

Nifty Sentiment Indicators Nifty Sep future added 6.21 lakh shares in OI, up 1.97%. NIFTY Future is
Put Call Ratio-Index Options 1.31 trading at a discount of 4 points, down 1.24%at 5404. Annual volatility was at
Put Call Ratio-Stock Options 0.29 14.12.
Volume Nifty Oct future added 1.2 lakh shares in OI, up 11.83%. NIFTY Future is
trading at a premium of 1 point, down 1.19% at 5410.
Product 26.08.10 27.08.10 % Chg
BANKNIFTY Sep future added 0.20 lakh shares in OI, up 0.84%. BANKNIFT
Index Futures 861876 593213 -31.17%
future is trading at a discount of 5 points, down 2.1% at 10722. Annual
Stock Futures 1667382 584242 -64.96%
volatility is at 21.67.
Index Options 2922085 1958470 -32.98%
Tata steel, sbin, unitech, tata motor and reliance were the most active stocks
Stock Options 171569 101158 -41.04% on yesterday's trade.
Total F&O 5622912 3237083 -42.43% Tata steel Sep fut traded at a premium of 2 points witnessing 10.62% up in OI.
The stock was surged 1.2% at 510.45. Annual volatility is 31.98 and total
deliverable percentage as on 27th Aug was 29.34%.
Index Spot Future Basis Reliance Sep fut traded at a premium of 7 points recording 1.15% increase in
OI. The stock was down 0.99% at 955.90. Annual volatility is 19.42 and total
NIFTY 5408.7 5405 (4)
deliverable quantity was 49.64%.
BANKNIFTY 10727.45 10722 (5) Sbin Sep fut traded at par, 1.42% increase in OI. The stock was down 2.07% at
CNXIT 6005.9 6014 8 2787. Annual volatility is 33.58 and total deliverable quantity was 29.58%.

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

LUPIN 499 2325 365.75% 373 -80.23% BEML 795 672 -15.47% 1000.2 -1.32%
GTOFFSHORE 3005 4545 51.25% 376 -5.48% PATNI 5353 4633 -13.45% 527.65 -2.09%

PETRONET 916 1047 14.30% 109.55 -0.95% OPTOCIRCUI 930 816 -12.26% 278.4 -0.66%
ALBK 1224 1357 10.87% 204.65 -3.90% ASHOKLEY 2785 2493 -10.48% 71.6 -0.07%
ISPATIND 7401 8179 10.51% 18.8 4.44% PFC 760 693 -8.82% 338.1 0.00%

Nifty Option Open Interest Distribution 10,000,000

o p e n in te r e s t

8,000,000
Nifty aug 5500 call added 6.19 lakh shares in OI, up 10.60% and 6,000,000 call
5600 call added 4.24 lakh shares in OI, upCMP
6.30%. On the put side
4,000,000 put
nifty aug 5400 put added 15.70 lakh shares in OI, up 21.09% and
5300 put added 8.49 lakh in OI, up 15.56%. The put-call ratio of 2,000,000
stock option decreased from 0.32 to 0.29 while put-call ratio of 0
index option decreased from 1.40 to 1.31. On the whole the put
 
 
 
 
 
 
 
 
 
 
 
 
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00
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call ratio was at 1.22.

0.
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0.
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0.
70
80
90
00
10
20
30
40
50
60
70
80
 4
 4
 4
 5
 5
 5
 5
 5
 5
 5
 5
 5

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 265443 6393000 NIFTY 30-Sep-10 5400 288272 8959450
NIFTY 30-Sep-10 5600 187985 6964800 NIFTY 30-Sep-10 5500 164507 4578800
NIFTY 30-Sep-10 5700 109261 6107150 NIFTY 30-Sep-10 5300 159299 6305500
NIFTY 30-Sep-10 5400 98647 4459150 NIFTY 30-Sep-10 5200 108947 7833750
NIFTY 30-Sep-10 5800 44658 3812450 NIFTY 30-Sep-10 5100 97839 6659750
NIFTY 30-Sep-10 5300 18454 1976050 NIFTY 30-Sep-10 5000 69912 5663950
NIFTY 28-Oct-10 5700 17353 1508900 NIFTY 30-Sep-10 4900 54541 5048900
NIFTY 28-Oct-10 5800 16089 1568000 NIFTY 30-Sep-10 5600 24022 1365200
NIFTY 30-Sep-10 5900 12790 1182650 NIFTY 28-Oct-10 5200 16394 2480750
NIFTY 28-Oct-10 5600 9663 1167950 NIFTY 30-Sep-10 4800 14679 2552100

INTRA DAY STRATEGY INTRA DAY STRATEGY

BUY :BHUSHAN STEEL SEP FUT AT 1820 BUY :HINDALCO SEP FUT AT 164

VIEW : BULLISH VIEW : BULLISH

STRATEGY: BUY FUTURE STRATEGY: BUY FUTURE

TARGET: 168
TARGET: 1860

SL: 162
SL: 1800

MARKET LOT :2000

MARKET LOT : 125

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 27/08/10 REMARK

26/8/2010 NIFTY BUY NIFTY SEP 5400 PA @ 93.70 0.00 HOLD

SELL NIFTY TWO SEP 5200 PA @ 50

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