Date axisbank %change hdfcbank %change hdfcbank axisbank hdfcbank ^2

23-Feb-12 742.60 0 861.05 0 0 0 0

24-Feb-12 737.50 -0.686772982066454 852.55 -0.9871668449521 -0.009920716426 -0.00689142121 9.84206144E-05
27-Feb-12 716.45 -2.85423566101695 849.50 -0.3577488760694 -0.003583903277 -0.028957610302 1.28443627E-05
28-Feb-12 719.00 0.355919876793859 843.90 -0.6592084755739 -0.006613908509 0.003552879809 4.37437858E-05
29-Feb-12 733.20 1.9749668984701 862.00 2.14480098178075 0.02122123806 0.019557174611 0.000450340945
1-Mar-12 722.75 -1.42526075135962 848.35 -1.5835294663573 -0.015962012465 -0.014355151436 0.000254785842
2-Mar-12 742.80 2.77412493946731 867.65 2.27501014274798 0.022495176999 0.027363432427 0.000506032988
3-Mar-12 755.10 1.65589501867358 885.45 2.0515170296359 0.02030756871 0.016423345702 0.000412397347
5-Mar-12 755.70 0.0794644443214822 882.55 -0.3275197877574 -0.003280573078 0.00079432888 1.07621597E-05
6-Mar-12 776.85 2.79872484638785 881.75 -0.0906450638352 -0.000906861713 0.027602762738 8.22398167E-07
7-Mar-12 785.55 1.11990889731327 870.60 -1.2645334845478 -0.012725967565 0.011136843474 0.00016195025
9-Mar-12 808.70 2.94698292325606 868.35 -0.2584424606049 -0.002587769997 0.029043940823 6.69655355E-06
12-Mar-12 802.00 -0.828491640977002 853.60 -1.6986238737456 -0.017132159683 -0.008319427074 0.000293510895
13-Mar-12 800.50 -0.187032418952618 870.25 1.95056519073754 0.01931785482 -0.00187207543 0.000373179515
14-Mar-12 814.15 1.70518725796378 885.20 1.71789853490377 0.017033095042 0.016908121252 0.000290126327
15-Mar-12 816.35 0.270214571657366 896.90 1.32173653879255 0.01313077815 0.002698501484 0.000172417335
16-Mar-12 829.85 1.65370250467184 892.10 -0.535182057259 -0.005366192866 0.016401777473 2.87960259E-05
19-Mar-12 825.85 -0.482014835896073 888.65 -0.3867225751388 -0.003874722804 -0.00483180274 1.50134768E-05
20-Mar-12 900.40 9.02706910050211 907.15 2.08180943007548 0.020604359059 0.086426005781 0.000424539612
21-Mar-12 909.45 1.00510748098336 926.30 2.11100297562247 0.020890300033 0.010000898693 0.000436404635
22-Mar-12 902.85 -0.725717292090161 925.05 -0.1349454837734 -0.001350366172 -0.007283634301 1.8234888E-06
23-Mar-12 915.15 1.36235790297015 924.40 -0.0702625813125 -0.00070287277 0.013531612412 4.94030131E-07
26-Mar-12 903.05 -1.32219151862253 907.85 -1.7903556436948 -0.018065764082 -0.01331010291 0.000326371832
27-Mar-12 906.00 0.326672060151781 908.70 0.09363176983771 0.000935879626 0.003261396462 8.75870675E-07
Average 0.85602 0.23346 0.002244269129 0.008286741526 0.000180097929

Count 24 VOLATILITY 25.2779% 41.3440% Max Spread

Beta 0.28000 hdfcbank axisbank Min Spread
Alpha -0.006226447689776 27-Mar-12 908.70 906.00 Current Spread
jAlpha 0.747454579312465 -0.049426337
Sharp 1.92536798611979 0.6862190471
Trenor 2.84292500795179 0.6195027614 cheap costly
Correlation Co-eff 0.500581122036714 hdfcbank icicibank Trade can be initiated above
axisbank hdfcbank buy sell Trade can be initiated below
jAlpha Costly Cheap
Sharp Costly Cheap
Trenor Costly Cheap
 axisbank ^2 SPREAD SPRD DIFF NOTE:
0 -118.450012 -41.86 a) Lesser the ratio higher the return
4.74916862953556E-05 -115.049988 -38.46 b) Higher volatile stock is taken as X
0.000838543194409063 -133.049988 -56.46 c) Annual volatility must not defer by more than 50%
1.26229549385162E-05 -124.900024 -48.31 When the trade will be initiated?
0.000382483078769651 -128.799988 -52.21 1. If the current spread is above or below 2% of the mean spread.
0.000206070372742065 -125.599976 -49.01 2. If the spread changed from + ve to – ve or vice versa reference to its mean.
0.000748757434187342 -124.850036 -48.26 3. If the absolute correlation is equal or greater then 0.6018
0.000269726284048975 -130.350036 -53.76 4. If the beta shows decoupling nature.
6.30958370367105E-07 -126.849976 -50.26
0.000761912510771616 -104.900024 -28.31 Investment
0.000124029282557034 -85.049988 -8.46
0.000843550498513739 -59.649964 16.94
6.92128668378035E-05 -51.599976 24.99
3.50466641465525E-06 -69.75 6.84
0.000285884564274256 -71.049988 5.54
7.28191026018657E-06 -80.5500480000001 -3.96
0.000269018304267902 -62.25 14.34
2.33463177154365E-05 -62.8000480000001 13.79 Min Spread Curr.Spread
0.00746945447530334 -6.75 69.84 -83.49 -53.79
0.00010001797467246 -16.849976 59.74 Buy side lot
5.30513286341578E-05 -22.200012 54.39 Projected Profit 125
0.000183104534462625 -9.25 67.34
0.000177158839469683 -4.79998799999999 71.79
1.06367068797868E-05 -2.70001200000002 73.89
0.000536978781033168 -76.59 Projected Loss 125
2% Boundry Diff
Max Spread -78.12 -6.75 69.84
Min Spread -75.05 -133.05 -56.46
Current Spread -22.20 -22.20 54.39

-1.53
ade can be initiated above -78.12
ade can be initiated below -75.05
by more than 50%

elow 2% of the mean spread.

o – ve or vice versa reference to its mean.
or greater then 0.6018

Max Spread
0 127.51

181.3 22662.5 Max Profit

-29.7 -3712.5 Max Loss

SBI
Turnover
Date Open High Low Close Settle Price Contracts (in lacs) OI
21-Feb-12 2418.65 2484 2418.65 2463.9 2463.9 18978 58476.28 3067750
22-Feb-12 2462.15 2474 2259.6 2276.9 2276.9 26445 77886.6 4187750
23-Feb-12 2270 2334.9 2266 2280 2280 28677 82505.64 4550500
24-Feb-12 2293.7 2319 2215 2230.2 2230.2 37756 106119.08 4694500
27-Feb-12 2230 2235.7 2136.75 2149.95 2149.95 29616 80430.42 4893000
28-Feb-12 2160 2281.7 2156.25 2260.8 2260.8 40899 114267.17 4826750
29-Feb-12 2289.75 2310 2238.4 2267.65 2267.65 36853 104770.51 4676000
1-Mar-12 2251.55 2257 2202.3 2235.25 2235.25 31160 86768.93 4724875
2-Mar-12 2250 2301.3 2200 2263.35 2263.35 35480 100365.59 4618125
3-Mar-12 2265.15 2275.5 2258.2 2268.5 2268.5 1764 5004.05 4606750
5-Mar-12 2248 2248.6 2177 2186.55 2186.55 26030 71728.67 4756875
6-Mar-12 2161.4 2282.7 2101.55 2164.55 2164.55 53589 148726.63 4462625
7-Mar-12 2150 2182.15 2122 2161.25 2161.25 37786 101551.04 4709000
9-Mar-12 2205 2254 2200.75 2240.45 2240.45 23520 65513.98 4636375
12-Mar-12 2315 2334.45 2285.4 2319.9 2319.9 37901 109441.98 4570125
13-Mar-12 2343.5 2358.7 2325.45 2336.95 2336.95 18194 53259.27 4560875
14-Mar-12 2377 2382.45 2340 2367.45 2367.45 24478 72161.66 4590250
15-Mar-12 2366.45 2381 2296.4 2310.4 2310.4 40303 117298.1 4455500
16-Mar-12 2311 2367.6 2223 2236.95 2236.95 56487 162393.55 4680000
19-Mar-12 2168.2
20-Mar-12 2194.15

HDFC
Turnover
Date Open High Low Close Settle Price Contracts (in lacs) OI
21-Feb-12 532.95 540 527 538.9 538.9 7754 20706.02 7392500
22-Feb-12 536.8 545.5 533.8 538.05 538.05 10360 27950.54 10676000
23-Feb-12 534.7 540.55 532.5 538.05 538.05 8732 23468.63 11022500
24-Feb-12 533.8 539.4 521.05 530.7 530.7 10021 26570.09 11446500
27-Feb-12 531.3 536.05 517.1 520.15 520.15 10967 28907.23 12078500
28-Feb-12 521.35 540.85 518.8 538.25 538.25 9576 25355.21 12100500
29-Feb-12 539.35 547.45 521.05 523.7 523.7 10109 26864.46 12237500
1-Mar-12 524.05 528 510.55 519.95 519.95 7547 19513.47 12183000
2-Mar-12 519.25 530.75 513.35 522.9 522.9 7290 19014.22 11818500
3-Mar-12 523.65 526.3 523 524.45 524.45 368 965.22 11832000
5-Mar-12 522.45 523.4 509.55 515.1 515.1 5817 14953.84 11840500
6-Mar-12 513.05 526 506.3 509.7 509.7 10110 26087.77 11989000
7-Mar-12 507.95 522.9 501.35 520.4 520.4 6779 17354.38 11965500
9-Mar-12 525.9 531.8 523.15 527.9 527.9 5674 14952.15 11899500
12-Mar-12 534 536.1 520.1 523.8 523.8 6840 17924.14 12030500
13-Mar-12 526.85 531.95 524.6 528.95 528.95 5016 13262.56 12345500
14-Mar-12 524 535.4 431 533.2 533.2 7708 20467.27 13500500
15-Mar-12 532.8 534.7 513.5 515.05 515.05 8114 21177.49 14474000
16-Mar-12 515.5 529 507.7 511 511 11402 29641.2 14666000
19-Mar-12 500.3
20-Mar-12 507.55
ICICI
Turnover
Date Open High Low Close Settle Price Contracts (in lacs) OI
21-Feb-12 988.3 1009 988.3 1002.3 1002.3 12745 31813.66 5077500
22-Feb-12 997.85 999.2 962 966.2 966.2 18926 46329.16 7383250
23-Feb-12 961.4 968.9 941 955 955 22973 54916.94 8807500
24-Feb-12 945.1 951.35 925.25 940.15 940.15 20494 47966.79 9316750
27-Feb-12 941 941 895.1 899.35 899.35 19962 45356.49 9771500
28-Feb-12 906.3 933 905 924.4 924.4 21441 49475.71 10172250
29-Feb-12 922.45 932.35 906.85 915.35 915.35 21419 49281.2 10534000
1-Mar-12 911.05 911.05 878.2 892.75 892.75 20638 45971.55 10816250
2-Mar-12 898.4 924 883.5 910.4 910.4 23775 53968.43 10664250
3-Mar-12 911 916.55 911 913.65 913.65 1181 2699.65 10615250
5-Mar-12 905 905.35 876.45 879.3 879.3 19712 43716.76 10562000
6-Mar-12 874.4 899.7 856.95 861.05 861.05 36026 79146.2 10596000
7-Mar-12 856.35 876.9 851.6 869.75 869.75 24124 52053.76 11069500
9-Mar-12 884.65 920.75 883.75 918.8 918.8 26557 60346.02 10463500
12-Mar-12 937.55 948.8 921.15 933.25 933.25 21227 49527.51 10096000
13-Mar-12 939.6 947 935 938 938 13403 31515.93 10452250
14-Mar-12 951.15 966.3 950.35 962.75 962.75 22798 54659.88 10969250
15-Mar-12 960 962.5 929.9 936.75 936.75 21306 50201.44 10848500
16-Mar-12 942 959.65 915.55 921.8 921.8 28665 67314.06 10440500
19-Mar-12 912.5
20-Mar-12 913.85

Axis
Turnover
Date Open High Low Close Settle Price Contracts (in lacs) OI
21-Feb-12 1265 1301 1260.35 1279.8 1279.8 12319 39647.77 3678000
22-Feb-12 1279.1 1283 1192.9 1204.5 1204.5 16700 51940.81 4894250
23-Feb-12 1209.65 1243.8 1185.5 1216.8 1216.8 12104 36808.38 5551250
24-Feb-12 1208 1241.5 1170.15 1180.15 1180.15 16576 49529.05 5766000
27-Feb-12 1182.55 1182.55 1113.6 1121.75 1121.75 13898 39510.21 5679000
28-Feb-12 1128.8 1197.75 1125.8 1180.55 1180.55 17076 49763.98 5499000
29-Feb-12 1194.95 1215.6 1160 1178.55 1178.55 15386 45600.06 5379750
1-Mar-12 1172.5 1176 1136.55 1155.2 1155.2 10471 30199.16 5346500
2-Mar-12 1161.6 1206 1142.95 1169.2 1169.2 17473 51465.06 5468500
3-Mar-12 1169.55 1176 1167 1170.95 1170.95 658 1926.74 5445500
5-Mar-12 1168.8 1171 1141.7 1146.05 1146.05 8237 23657.29 5534500
6-Mar-12 1147.1 1202 1105 1152.4 1152.4 30430 88900.98 6326250
7-Mar-12 1142.15 1174.2 1135.5 1170.1 1170.1 15365 44521.85 6541000
9-Mar-12 1191 1218.8 1186 1213.5 1213.5 13263 39960.49 6533250
12-Mar-12 1236.5 1257.95 1205.1 1223.95 1223.95 13372 40977.17 6611750
13-Mar-12 1222 1249.5 1222 1243.85 1243.85 8950 27791.04 6541500
14-Mar-12 1257.9 1291.6 1257.9 1280.75 1280.75 15415 49172.92 6304500
15-Mar-12 1274.6 1278.9 1232.6 1241.15 1241.15 14121 44164.37 6078750
16-Mar-12 1243 1281.2 1206 1216.05 1216.05 17992 55993.77 6130750
19-Mar-12 1204.4
20-Mar-12 1191.5