DERIVATIVE REPORT make more, for sure.

27 TH,DECEMBER 2010
F & O HIGHLIGHTS
N if ty Sentim ent I ndicato r s
Put C al l R ati o -In de x O pti o n s 1 .0 3 The 50-share S&P CNX Nifty finally settled at 6,011.60, after gaining 31.60 points or
Put C al l R ati o -Sto ck O pti o n s 0 .3 3 0.53%. Nifty December futures saw an addition of 5.43% or 1.21 million (mn) units,
taking the total outstanding open interest (OI) to 23.64 mn units. The India VIX shed
V o lum e 7.25% to 17.65 on Friday compared to its previous close of 19.03 on Thursday.
Pr o duct 23.12.10 24.12.10 % C hg
In de x F utur e s 338504 420242 24.15% For Nifty calls, 6000 strike price (SP) from the December series was the most active call
Sto ck F utur e s 659685 695306 5.40% with a contraction of 0.56 mn or 7.17%. Among Nifty puts, 6000 SP from the December
In de x O pti o n s 1888927 2509317 32.84% month expiry was the most active put with an addition of 1.81 mn or 31.17%. The
Sto ck O pti o n s 107408 124923 16.31% maximum Call OI outstanding was at 6000 SP (7.28 mn) and that for Puts at 6000 SP
To tal F & O 2994524 3749788 25.22% (7.65 mn). The Nifty Put Call Ratio (PCR) OI wise stood at 1.48 for December-month
contracts.
The top five scrips with highest PCR on OI were Bhushan Steel 4.89, Infosys 1.79, ACC
I ndex Spo t F utur e B asis 1.35, Tata Steel 1.26, Hero Honda 1.24. Among most active underlyings Tata Motors
N IF TY 6012 6041 29 witnessed an addition of 4.93% in the December month futures contract, followed by
Tata Steel which saw a contraction of 0.12% of OI in the near month contract. R Com
BA N K N IF TY 11477 11545 68 witnessed an addition of 4.52% in the near-month futures. SBI saw an addition of 0.53%
C N X IT 7353.65 7374.9 21 in the OI while Reliance witnessed an addition of 0.79% in the near month futures

Open Interest gainer Op e n In tr e st L ose r

Symbol Last price Chg (%) Open Increase Op e n In cr e a se
S ym bol L a st p r ice C hg (%)
Interest (%) In te r e st (% )
PFC 321.65 0.66% 794,000 29.11% GT L 4 2 1 .5 0 .7 3 % 4 ,3 5 0 ,0 0 0 -2 3 .1 6 %
JISLJALEQS 208.5 -2.59% 913,750 22.04% A BA N 743 -0 .8 5 % 1 ,6 5 3 ,7 5 0 -1 9 .0 2 %
LITL 62.9 0.96% 12,168,000 17.41% NHP C 2 8 .2 5 0 .3 6 % 5 0 ,6 0 0 ,0 0 0 -1 5 .1 3 %
IDEA 70.15 1.52% 15,652,000 14.58% B HA RA T FO RG 3 7 6 .9 5 0 .6 4 % 2 ,6 6 2 ,0 0 0 -1 4 .0 2 %
SRTRANSFIN 780 0.32% 190,000 12.09% L IC HSGFIN 9 4 4 .3 0 0 .5 3 % 2 ,7 6 7 ,2 5 0 -1 3 .1 3 %
Nifty Option Open Interest Distribution
10,000,000
Nifty Dec 6100 call shed 4.02 lakh shares in OI, down 4.74% and 6200 call added 2.39
open interest

lakh shares in OI, up 4.61%. On the put side nifty Dec 6000 put added 18.19 lakh 8,000,000
shares in OI, up 31.17% and 5900 put added 1.21 lakh in OI, up 1.60%. The put-call 6,000,000 c all
ratio of stock option decreased from 0.38 to 0.33 while put-call ratio of index option 4,000,000 put
decreased from 1.09 to 1.03. On the whole the put call ratio
CMP was at 0.99. 2,000,000
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Pashupati Nath Jha
s trike pric e
Pashupatinathjha@moneysukh.com

NIFTY OUTLOOK:
The nifty future is likely to trade in the range of 5863-6094 level in short term as the OI is added. The trading strategy would be to create long positions if the nifty takes support
around 5600 levels for the target of 6050 and 6070. On the other hand, one can also create short positions if the nifty resists around 6090 levels.

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 DERIVATIVE REPORT make more, for sure.
MOST ACTIVE CALLS MOST ACTIVE PUTS
SymbolExpiry Date Strike PriceContracts TradedOpen Interest Symbol Expiry Date Strike PriceContracts Traded
Open Interest
NIFTY 30-Dec-10 6000 478858 7284350 NIFTY 30-Dec-10 6000 367230 7655450
NIFTY 30-Dec-10 6100 298544 8076600 NIFTY 30-Dec-10 5900 279036 7722050
NIFTY 30-Dec-10 5900 122948 3337500 NIFTY 30-Dec-10 5800 143414 7880900
NIFTY 30-Dec-10 6200 93133 5351550 NIFTY 30-Dec-10 5700 85919 7705050
NIFTY 27-Jan-11 6100 39248 1767400 NIFTY 30-Dec-10 6100 75895 1863150
NIFTY 27-Jan-11 6000 34256 1968000 NIFTY 27-Jan-11 6000 56604 2118350
NIFTY 27-Jan-11 6200 30576 1712400 NIFTY 30-Dec-10 5600 45782 6525550
NIFTY 30-Dec-10 6300 27648 3500450 NIFTY 27-Jan-11 5900 41234 1863100
NIFTY 27-Jan-11 6300 20000 2009800 NIFTY 27-Jan-11 5800 36353 3318150
NIFTY 30-Dec-10 5800 16848 1352250 NIFTY 27-Jan-11 5700 27884 2640350

STRATEGY TRACKER
DATE OF NET PROFIT/ LOSS AS
STRATEGY UNDERLYING ASSET STRATEGY ON 24/12/10 REMARK
BUY NIFTY DEC5800CA@183.50
BOOK FULL PROFIT
20/12/2010 NIFTY SELL TWO NIFTY DEC5900CA@111 18 POINTS
AS ON 22/12/2010
BUY NIFTY DEC6000CA@56
BUY REL IND NOV 940 PA@9.30
BOOK FULL PROFIT
30/11/2010 REL IND BUY TWO REL IND NOV 18 POINTS
AS ON 15/12/2010
1050CA@13.40
BOOK PARTIAL
BUY NIFTY DEC 6000 CA@51
13/12/2010 NIFTY 14 POINTS PROFIT AS ON
BUY NIFTY DEC 5700 PA@47.20
14/12/2010
SELL INFOSYS TCH DEC 3500 CA@8 BOOK PARTIAL
22/12/2010 INFOSYSTCH SELL INFOSYS TCH DEC 3100 6 POINTS PROFIT AS ON
PA@6.70 23/12/2010
BOOK PARTIAL
SELL GMR DEC 50 CA@0.15 PROFIT AS ON
24/12/2010 GMR INFRA 0.60 POINTS
SELL GMR DEC 40PA@0.65 27/12/2010

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 make more, for sure.

NAME DESIGNATION E-MAIL

Varun Gupta Head - Research varungupta@moneysukh.com
Pashupati Nath Jha Research Analyst pashupatinathjha@moneysukh.com
Vikram Singh Research Analyst vikram_research@moneysukh.com

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