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daring

derivatives
February 18, 2010

Derivatives Summary

 Nifty (February) future has turned into a discount of 7.25 points NIFTY SNAPSHOT
from a 7.25 of 9.45 points and 6.50 lakh shares were reduced Current Previous % Change
in open interest. Nifty (Curr. MTH) 4906.75 4865.2 0.85%
Nifty CoC -6.73% 7.89% -185.29%
 Total open interest in the market was Rs121,082 crore and
OI 31997950 32643600 -1.98%
Rs2,298 crore were added in open interest.
Vol 28323300 22261150 27.23%
 Nifty call option added 7.80 lakh shares in open interest, PCR(OI) 1.09 1.09 0.00%
whereas put option added 8.90 lakh shares in open interest. PCR ( VOL) 1.11 0.87 27.59%
MOST ACTIVE INDEX CALL OPTION
 Rural Electrification Corporation (36%), Crompton Greaves
Strike Curr. IV Pre. IV Curr. OI OI Chg%
(29%), Siemens India (23%), Bharat Forge (22%), and Bhushan
4900 C 22.09% 24.88% 5566900 1.46%
Steel (20%) were the top open interest gainers in the market.
5000 C 21.43% 24.00% 6411850 5.34%
 Dr Reddy’s Laboratories (-22%), Sun TV (-16%), Cummins India 5100 C 21.12% 23.91% 4070200 7.55%
(-15%), and Hindustan Zinc (-8%) were the top open interest 4800 C 23.13% 24.82% 4229550 -14.02%
losers in the market. 5200 C 22.15% 24.30% 4811850 3.24%
MOST ACTIVE INDEX PUT OPTION
Strike Curr. IV Pre. IV Curr. OI OI Chg%
Market View 4800 P 24.70% 26.10% 5973750 -5.90%
4900 P 22.61% 23.55% 4252800 16.34%
Market seesaw 4700 P 27.66% 27.93% 6187200 -4.94%
4600 P 30.13% 30.36% 5770950 -2.02%
Taking cues from buoyant market overseas, the bellwether started 4500 P 31.26% 31.94% 4567850 10.32%
the day on a cheerful note with a gap of around 40 points. The MOST ACTIVE STOCK FUTURES
market witnessed some follow-up buying in initial hour of the Strike Curr. Pre. Curr. OI OI
session thereby making a new intra-day high. However, the cover CoC CoC OI Chg%
story seemed to be stretched out in the second half, with very TATASTEEL -27.33% -9.22% 20397272 -4.02%
sharp spikes seen on both the side and the index finally ended the BHARTIARTL -2.45% 23.14% 20885500 -5.48%
session losing some gain from the high, but then to adding 58 ICICIBANK -16.82% 4.63% 10278100 -5.97%
points in its kitty at 4914. Volumes in Nifty futures were marginally
DLF 0.75% 14.40% 15089600 -4.20%
higher as compared with the previous volumes. Around 6.50 lakh
SBIN -0.23% 12.04% 3963960 -3.36%
shares were reduced in open interest with decrease in the cost of FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 16 FEB
carry, indicating profit booking at higher levels. On the option
Buy Sell Difference
front, implied volatility has decreased substantially, indicating
INDEX FUTURES 878.54 652.64 225.90
that buying may continue to emerge at lower levels.
INDEX OPTIONS 2618.12 2273.79 344.33
STOCK FUTURES 880.44 873.31 7.13
STOCK OPTIONS 0.57 6.40 -5.84
TOTAL 4377.67 3806.15 571.52
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 26.35% 30.80% 1086300 -2.50% BHARTIARTL 280 P 41.06% 52.50% 1002500 27.54%
TATASTEEL 600 C 42.89% 50.18% 1248376 -9.32% TATASTEEL 560 P 45.91% 48.91% 401864 106.27%
HINDALCO 150 C 43.27% 37.99% 1825842 -20.28% HINDALCO 150 P 42.70% 50.35% 700082 172.60%
SUZLON 75 C 54.14% 51.24% 3327000 13.86% RELIANCE 1020 P 26.94% 30.96% 196800 6.67%
JPASSOCIAT 140 C 44.70% 48.14% 2258544 157.80% ICICIBANK 800 P 38.15% 37.77% 901950 -0.85%

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