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daring derivatives May 24, 2010

Derivatives Summary z

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Nifty (May) future discount has narrowed down to 2.75 points from 6.55 points and 24 lakh shares were added in open interest. Total open interest in the market was Rs143,710 crore and Rs3,184 crore were added in open interest. Nifty call option added 20.81 lakh shares in open interest, whereas put option added 17.05 lakh shares in open interest. ITC (48%), GAIL India (14%), Sterlite Industries (13%), Tata Power (13%) and Ashok Leyland (13%) were the top open interest gainers in the market. Indian Oil Corporation (-16%), BGR Energy (-15%), Maruti Suzuki India (-14%) and Jain Irrigation Systems (-11%) were the top open interest losers in the market.

NIFTY SNAPSHOT Current

Previous

Nifty (Curr. MTH)

% Change

4928.4

4941.05

-0.26%

Nifty CoC

-3.39%

-6.90%

50.85%

OI

36845550

34445550

6.97%

Vol

39187650

34539950

13.46%

PCR(OI)

1.02

1.03

-0.97%

PCR ( VOL)

0.96

1.13

-15.04%

MOST ACTIVE INDEX CALL OPTION Strike

Pre. IV

Curr. OI OI Chg%

4900 C

Curr. IV 25.83%

25.66%

3076700

7.35%

5000 C

25.09%

25.01%

5296550

-8.43%

5100 C

22.86%

23.51%

7580900

9.06%

5200 C

24.74%

22.44%

7493700

-6.52%

4800 C

25.55%

26.38%

1433600

273.28%

MOST ACTIVE INDEX PUT OPTION

Smart rebound On weak cues from US markets overnight and Asian markets this morning, the Indian market opened on a negative note and made an intra-day low of 4851 in the initial trades itself. It staged a strong rebound all along, bar a falter in the second half, to close at 4931 with a marginal loss of 16.45 points. Specific stocks gained in spite of the market depth being deep in red. Volumes in Nifty future were marginally higher than the previous volumes. Around 24 lakh shares were added in open interest with increase in the cost of carry, indicating significant long position were taken at lower levels. On the option front, implied volatility remained almost flat, indicating that buying may emerge at lower levels.

Curr. IV

Pre. IV

Curr. OI OI Chg%

4900 P

26.53%

27.23%

6227050 -14.62%

4800 P

28.58%

28.90%

7919400

5000 P

24.59%

25.77%

5517150 -12.02%

4700 Jun P

32.76%

32.38%

3194300

32.24%

4800 Jun P

31.10%

31.24%

2768650

9.97%

MOST ACTIVE STOCK FUTURES Curr. Pre. Curr. OI CoC CoC OI

OI Chg%

Strike PIRHEALTH

-2.42%

29.73%

TATASTEEL

13.14%

1.54%

MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%)

OI Chg %

10229500 -10.65% 20776980

-2.59%

TATAMOTORS 27.42%

9.89%

10833250

2.29%

ITC

5.96%

16416000

22.60%

10.09%

SBIN -18.75% -12.76% 3228324 0.95% FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 20 MAY Buy

Sell Difference

INDEX FUTURES

3514.41

4295.47

-781.06

INDEX OPTIONS

5448.42

5798.38

-349.96

STOCK FUTURES

3552.03

2664.26

887.77

STOCK OPTIONS

283.58

261.94

21.64

12798.44 13020.05

-221.61

TOTAL

Strike

15.62%

Strike

MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%)

RELIANCE 1000 C

30.87%

31.51%

715500

29.55%

SBIN 2200 P

TATASTEEL 500 C

55.96%

54.62%

367484

77.49%

TATASTEEL 500 P

54.90%

55.89%

624952

18.04%

UNITECH 70 C

55.21%

54.40%

3123000

28.28%

HINDALCO 150 P

46.80%

51.03%

1618280

-26.75%

PIRHEALTH 600 C

95.25%

107.79%

168000

46.09%

RELIANCE 980 P

30.50%

32.39%

179100

-6.43%

ITC 270 C

27.40%

39.61%

763875

-1.02%

ONGC 1100 P

28.42%

35.70%

159975

77.75%

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35.05%

35.52%

225192

OI Chg % 7.70%

Daring Derivatives — May 24, 2010 — 1

For Private Circulation only

Market View

Strike


Derivative Calls Date

Scrips

Buy/Sell

Initiation Range

Stoploss

Target

Remark

19-May-10

Unitech

Sell

74.2

73.50 ®

71-69

Booked @ 68

18-May-10

Yes Bank

Buy

274.8

268

285-295

Close @ 671

Derivative Ideas Date

Scrips

Buy/Sell

Initiation Range

Stoploss

Target

Time Frame

Remark

20-May-10

Reliance

Sell

1004.7

1015

980

2-3 Days

Book Profits @ 999.80

19-May-10

Relcapital

Sell

664

675

630

1-2 Days

Book Profits @ 639

19-May-10

Maruti

Buy

1252

1235

1280

1-2 Days

Stopped Out

19-May-10

Nifty

Sell

5000

5030

-

1-2 Days

Book Profits @ 4922

Pair Trade Date 13-May-10

Scrips

Buy/Sell

Initiation Range

CMP

Lot Size

Adj Shares (Cash)

Remark

Rel infra

Buy

1022.5

989

Rel Capital

Sell

702

631

276

-

Targets

276

-

Achieved

Strategy Tracker Date

Scrips

Buy/Sell

Initiation Range

Stoploss

Target

Time Frame

Remark

19-May-10

Nifty PE 4900

Buy

74.5

-

-

Expiry

Open @ 49

19-May-10

Nifty PE 4800

Sell

42

-

-

Expiry

Open @ 23.70

19-May-10

Nifty PE 4700

Sell

22

-

-

Expiry

Open @ 10

For Private Circulation only

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2 — Daring Derivatives — May 24, 2010

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Daring derivatives May 24  

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