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					daring derivatives
November 20, 2009

Derivatives Summary
Nifty (November) has turned into a discount of 2.40 points from a premium of 0.35 points and 11,250 shares were reduced in open interest. Total open interest in the market was Rs114,706 crore and Rs2,214 crore were reduced in open interest. Nifty call option added 8.30 lakh shares in open interest, whereas put option shed 24.50 lakh shares in open interest. Orchid Chemicals & Pharmaceuticals (25%), Bank Of India (20%), HDIL (19%), ACC (18%) and Great Offshore (15%) were the top open interest gainers in the market. Ashok Leyland (-12%), Shree Renuka Sugars (-12%), Hindalco Industries (-10%) and IDFC (-10%) were the top open interest losers in the market.
NIFTY SNAPSHOT Current Nifty (Curr. MTH) Nifty CoC OI Vol PCR(OI) PCR ( VOL) Strike 5000 C 5100 C 4900 C 5100 DEC C 5000 DEC C Strike 5000 P 4900 P 4800 P 5100 P 4700 P Strike SUZLON JSWSTEEL TATASTEEL SBIN Curr. IV 23.34% 22.51% 23.71% 24.66% 25.07% Curr. IV 23.54% 26.17% 29.23% 21.52% 30.63% 4986.6 -2.51% 29890600 28397750 1.47 1.32 Pre. IV 21.46% 20.50% 23.20% 23.24% 23.96% Pre. IV 22.67% 25.50% 28.30% 20.01% 30.61% Previous 5055.05 0.32% 29901850 22371700 1.54 1.5 % Change -1.35% -893.99% -0.04% 26.94% -4.55% -12.00%

MOST ACTIVE INDEX CALL OPTION Curr. OI OI Chg% 4578300 4817700 2706650 1015700 1313400 12.10% 10.32% 10.08% 3.44% 9.67%

MOST ACTIVE INDEX PUT OPTION Curr. OI OI Chg% 4320950 5479300 7230450 1718450 5514150 -21.03% -10.00% -4.62% -17.47% 1.36% OI Chg% 3.42%

Market View
Jittery session after strong days After holding high for couple of days, Nifty had an edgy session today. Opening 20 points lower, Nifty remained listless with selling coming on every rise. Twice the bulls tried to push the market beyond 5050, but aggressive selling in metal, banking and realty stocks failed them and pulled the market down. After making a series of lower top and lower bottom, Nifty at opening bell was 66 points lower at 4989. Volume in Nifty future was significantly higher than the average due to high intra-day volatility. Around 11,250 shares were added in open interest with decrease in the cost of carry, indicating traders unwillingness to hold positions at higher levels, thereby booking profits. On the option front, implied volatility has increased by around 150-200 basis points, indicating lack of clarity and uncertainty at higher levels.

MOST ACTIVE STOCK FUTURES Curr. Pre. Curr. OI CoC CoC OI 0.00% 0.54% -22.81% -12.46% 3.11% -4.49% 1.67% -1.96% 57276000

2749688 -16.75% 7911984 -16.95% 3113484 -11.43%

RELIANCE -7.26% 9.45% 5487600 -1.60% FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 18 NOV Buy INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL 1513.51 3304.99 2054.20 51.46 6924.16 Sell Difference 1130.84 2457.69 1953.67 9.94 5552.15 382.67 847.29 100.52 41.53 1372.01
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Strike SUZLON 75 C

MOST ACTIVE STOCK CALL OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 70.00% 29.83% 43.53% 42.95% 63.30% 69.06% 31.74% 42.33% 48.27% 62.00% 2175000 618600 708992 995500 2241000

OI Chg % -28.57% 9.77% 42.33% 2.95% 43.10%


MOST ACTIVE STOCK PUT OPTIONS Curr. Pre. Curr. IV (%) IV (%) OI (%) 29.27% 74.88% 42.01% 29.02% 40.39% 31.65% 71.83% 42.64% 27.96% 44.06% 205800 2328000 262816 900 167650

OI Chg % 2.46% 57.40% -3.10% -40.00% -25.04%



Derivative Calls
Date 17-Nov-09 Scrips DLF Call 390 Buy/Sell Buy Initiation Range 9.9 Stoploss 7 (Closing Basis) Target 20 Remark Expiry Close @ 5.80

Derivative Portfolio
Date 19-Nov-09 11-Nov-09 10-Nov-09 Scrips Nifty RNRL CALL 80 IDFC CALL 165 Buy/sell Sell Buy Buy Initiation Range 5027 2.8 5.2 Stop loss Target Time frame 1-2 Days 3-4 Days 6-7 Days Remark Open @ 4984 Close @ 0.80 Book Profits @ 12.60 5050 ® 4960-4900 5 14 ®

Strategy Tracker
Date 13-Nov-09 13-Nov-09 Scrips Nifty Call 5000 Nifty Call 5100 Buy/Sell Buy Sell Initiation Range 91 48 Stoploss Target Timeframe Expiry Expiry Remark Open @ 56.50 Open @ 21

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