daring

derivatives
February 10, 2010

Derivatives Summary

z Nifty (February) future premium has reduced from 4.50 points NIFTY SNAPSHOT
to 0.70 points and 16.40 lakh shares were reduced in open Current Previous % Change
interest. Nifty (Curr. MTH) 4793.35 4764.9 0.60%
Nifty CoC 0.33% 3.45% -90.35%
z Total open interest in the market was Rs112,084 crore and
OI 31868800 33505600 -4.89%
Rs1,068 crore were added in open interest.
Vol 28375350 38148150 -25.62%
z Nifty call option shed 1.70 lakh shares in open interest, whereas PCR(OI) 1.06 1.02 3.92%
put option added 20.10 shares in open interest. PCR ( VOL) 0.84 1.04 -19.23%
MOST ACTIVE INDEX CALL OPTION
z Petronet LNG (14%), BRFL (12%), Biocon India (10%), Ranbaxy
Strike Curr. IV Pre. IV Curr. OI OI Chg%
Laboratories (9%) and Tata Communications (8%) were the top
4800 C 26.12% 26.60% 3948900 14.44%
open interest gainers in the market.
4900 C 25.60% 25.98% 5347100 -0.73%
z Opto Circuits (-15%), Crompton Greaves (-12%), Cummins India 5000 C 25.34% 25.89% 5592900 -5.73%
(-10%), and Voltas India (-9%) were the top open interest losers 5100 C 25.35% 25.80% 4276000 0.71%
in the market. 4700 C 26.87% 27.18% 2106950 -3.82%
MOST ACTIVE INDEX PUT OPTION
Strike Curr. IV Pre. IV Curr. OI OI Chg%
Market View 4700 P 27.24% 27.90% 5871000 9.06%
4800 P 26.16% 26.75% 5527850 10.52%
Pullback on cards 4600 P 29.13% 29.41% 5452200 10.28%
4500 P 30.93% 30.96% 4160600 5.81%
Starting flat, in lack of clear overseas cues, Nifty respected 4740, 4500 P 30.93% 30.96% 4160600 5.81%
which acted as a good support, and the market witnessed some MOST ACTIVE STOCK FUTURES
pullback on buying in capital goods, banking and Reliance pack Strike Curr. Pre. Curr. OI OI
stocks. The defensive stocks like Hindustan Unilever and ITC CoC CoC OI Chg%
however remained under pressure. For the second consecutive TATASTEEL -1.71% -24.58% 20870952 -1.11%
day, Nifty found it difficult to sustain above 4800 and finally settled SBIN 6.32% 3.26% 4194564 -4.02%
the extremely volatile day with handsome gains of 32 points at ICICIBANK -4.77% -2.55% 10872050 0.34%
4793. Volumes In Nifty futures were marginally lower than the
RELIANCE 7.58% -3.67% 11389800 -0.24%
previous volumes. Around 16.40 lakh shares were reduced in open
DLF 8.95% 5.46% 13958400 5.31%
interest with decrease in the cost of carry, indicating profit booking
FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 08 FEB
at higher levels. On the option front, implied volatility has
Buy Sell Difference
decreased marginally, indicating that buying may continue to
INDEX FUTURES 1391.74 1687.49 -295.75
emerge at lower levels and that 4750-4700 may act as a good
INDEX OPTIONS 5131.82 4420.83 710.99
support going forward.
STOCK FUTURES 1056.24 1060.86 -4.63
STOCK OPTIONS 0.55 5.77 -5.22
TOTAL 7580.35 7174.96 405.39
For Private Circulation only

MOST ACTIVE STOCK CALL OPTIONS MOST ACTIVE STOCK PUT OPTIONS
Strike Curr. Pre. Curr. OI Strike Curr. Pre. Curr. OI
IV (%) IV (%) OI (%) Chg % IV (%) IV (%) OI (%) Chg %
RELIANCE 1020 C 35.27% 37.90% 532500 15.94% RELIANCE 990 P 35.87% 33.53% 444000 19.55%
TATASTEEL 560 C 51.00% 36.43% 710520 6.16% JPASSOCIAT 125 P 50.94% 61.67% 1022928 877.42%
RELIANCE 1050 C 35.42% 38.19% 1112100 4.69% TATASTEEL 540 P 50.79% 71.92% 260524 34.78%
INFOSYSTCH 2500 C 26.23% 33.11% 200800 172.09% DLF 300 P 51.65% 60.91% 435200 187.83%
IFCI 55 C 57.34% 60.66% 13648160 7.71% ICICIBANK 800 P 37.29% 34.88% 838250 2.05%

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