daring+derivatives-Sept25 by mudgalbharat

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									daring derivatives
September 25, 2008

Derivatives Summary
Nifty (September) future premium has increased from 16.45 points to 18.70 points and around 3.35 lakh shares were shed in open interest. Total open interest in the market was Rs87,287 crore and Rs1,842 crore were added in open interest. Nifty call option added 12.20 lakh shares in open interest, whereas put option added 8.22 lakh shares in open interest. Kotak Mahindra Bank (86%), Canara Bank (30%), GVK Power and Infrastructure (12%), National Aluminum (11%) and Rolta India (10%) were the top open interest gainers in the market. Great Offshore (-38%), Akruti City (-20%), Ballarpur Industries (-16%) and Essar Oil (-10%) were the top open interest losers in the market.
NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) 4179.95 164.03% 41020050 46047300 0.94 0.81 Previous 4143.35 72.75% 41355600 51107300 0.95 0.98 % Change 0.88% 125.48% -0.81% -9.90% -1.05% -17.35%

MOST ACTIVE INDEX CALL OPTION Strike 4200 C 4100 C 4300 C 4500 OCT C 4400 OCT C Curr. IV 40.31% 41.48% 44.47% 34.07% 34.39% Pre. IV 42.47% 43.31% 44.35% 35.49% 35.90% Curr. OI OI Chg% 2472650 1486150 3488350 1148850 887500 11.77% 6.51% -6.04% 50.41% 44.49%

MOST ACTIVE INDEX PUT OPTION Strike 4100 P 4200 P Curr. IV Pre. IV 48.76% 47.45% 40.49% 42.78% 41.07% 36.23% 53.92% 51.09% 38.72% 39.46% Curr. OI OI Chg% 2822700 3066800 3021350 2036050 29.50% -0.76% -2.35% 9.09% OI Chg%

Market View
The market opened on an optimistic note on account of positive cues from global markets and remained in the wide range of 4,1354,200 with very high volatility all through the day. The index ended the session with a gain of 34 points at 4,161. Volumes in Nifty futures were marginally lower than the average trading volumes. Around 3.35 lakh shares were reduced in open interest with an increase in the cost of carry, indicating short covering at lower levels. On the option front, implied volatility has decreased marginally indicating positive bias for the market.

4300 P 4000 P 4000 OCT P Strike

2044650 -26.52%

MOST ACTIVE STOCK FUTURES Curr. Pre. Curr. OI CoC CoC OI 85.63% 80.04% 69.68% -82.02% 42.89% 71.64% 132.24% 9.11%

RELIANCE ICICIBANK RELCAPITAL SBIN

4965150 -15.34% 6246450 -26.60% 1943040 -30.26% 3302376 -19.33%

STER 138.40% 95.43% 4416354 -25.86% FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 23 SEPT Buy INDEX FUTURES STOCK FUTURES STOCK OPTIONS TOTAL 4391.89 3855.70 1.36 9277.72 INDEX OPTIONS 1028.77 Sell Difference 5194.83 391.96 3936.46 29.47 9552.72 -802.94 636.81 -80.76 -28.11 -275.00
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Strike

MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 47.27% 87.80% 53.12% 42.62% 50.94% 66.45% 70.98% 57.90% 66600 8800 566000 23750 195125

OI Chg % -9.11% 0.00% 3.19% 31.94% -1.24%

Strike

MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 49.21% 63.85% 53.47% 82.29% 51.96% 63.17% 98.10% 55.18% 87.47% 293175 141900 572700 849225 86400

OI Chg % -6.44% 3.27% 21.17% -14.21% 3.85%

RELIANCE 2040 C TATAPOWER 1110 C RPOWER 160 C BHARTIARTL 820 C ICICIBANK 600 C

RELIANCE 2100 P SBIN 1500 P RPL 150 P DLF 400 P

CHAMBLFERT 60 P 111.87%

1219.01% 838.15%

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Daring Derivatives — September 25, 2008 — 1

Recommendation Tracker
Date 24-Sep-08 24-Sep-08 23-Sep-08 23-Sep-08 23-Sep-08 23-Sep-08 22-Sep-08 22-Sep-08 Scrips Reliance Capital Nifty Nifty PE 4200 Axis Bank BankNifty Renuka Sugar BankNifty Nifty Buy/sell Sell Sell Buy Sell Sell Buy Sell Sell Initiation Range 1235-1238 4174-4178 61-64 703-705 6230-6240 108-109 6275-6280 4280-4282 Stop loss 1262 4225 ® 35 ® 707 ® 6330 107.50 ® 6380 4290 ® Target 1200-1180 100-125 685-670 6100-6050 114 6160-6100 4210-4180 Time frame 1-2 Days 1-2 Days Expiry 1-2 Days 1-2 Days Intraday Intraday 1-2 Days Remark Open @ 1245 Stopped Out Stopped Out Book profit @ 696 Book Profit @ 6147 Book Profit @ 110 Close @ 6295-6300 Book Profit @ 4228

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2 — Daring Derivatives — September 25, 2008

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