daring derivatives May 17, 2007

Derivatives Summary

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Nifty (May) futures’ premium increased to 19.25 from 10.2 and shed around 13.8 lakh shares in open interest.

NIFTY SNAPSHOT

The total open interest in the market stood at 56,404 crore and added around 732 crore in open interest. Nifty calls shed 3,950 shares and puts added 3.3 lakh shares in open interest. Nagarjuna Construction (29%), Andhra Bank (27%), Crompton Greaves (21%), M&M (21%) and Dr Reddy’s (15%) were the top interest gainers in the market. Reliance Capital (-14%), Bank of India (-14%), Canara Bank (-14%), Nagarjuna Fertilizer (-14%) and UTI Bank (-13%) were the top open interest losers in the market. IFCI (93%), JP Hydro (90%), TTML (88%) and Essar Oil (86%) are very close to their market wide position limits.

Market View The market opened on a positive note and some weakness was seen in the first half of the trading session. The market took a dip into the red in the afternoon session but witnessed a strong recovery from 4113 levels during the latter part of the day. It made an intraday high of 4181 before finally settling at 4170.95 with a handsome gain of 50.65 points. Buying was seen across the board and Nifty futures shed around 13 lakh shares toward short covering with good volumes, indicating that the move should be sustainable and continue. On the option front, not much activity was seen and volatility reduced to an extent of around 2% in different strike prices, indicating positive sentiments in the market. The market is likely to open on a positive note and should continue its rally to touch the all-time high. The key support levels for the Nifty are 4140 and 4120 whereas resistance will be around 4240.

Current

Previous

Nifty (Mar)

4195.35

4130.5

1.57%

Nifty CoC

17.55%

5.65%

210.85%

OI

33106600

34490200

-4.01%

Vol

29.67%

24690100

19040000

PCR(OI)

1.22

1.19

2.52%

PCR ( VOL)

0.86

0.93

-7.53%

MOST ACTIVE INDEX CALL OPTION Strike

Curr. IV

Pre. IV

Curr. OI OI Chg%

4200 C

21.89%

23.00%

2954100

3.76%

4100 C

23.67%

24.33%

3561900

-0.99%

4150 C

22.88%

23.96%

920050

-5.90%

4250 C

20.79%

21.60%

1397550

2.26%

4000 C

26.07%

26.27%

1414650

0.27%

MOST ACTIVE INDEX PUT OPTION Strike

Curr. IV Pre. IV

4100 P

23.13% 24.40%

3097950

1.81%

4000 P

24.84% 26.41%

3772800

-0.83%

4200 P

21.40% 23.38%

622800

21.84%

4150 P

22.67% 24.30%

1240300

5.64%

28.84% 28.01%

1586150

0.40%

3900 P

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

OI Chg %

Curr. OI OI Chg%

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

Strike

OI Chg%

RELIANCE

34.15% -17.67%

7059150

0.15%

SBI

27.07% 59.15%

7218750

0.75%

RCOM

19.58% -15.35% 14420700

-1.11%

INFOSYS

32.39% -17.72%

5440500 13.91%

CENTURY

26.66% 40.03%

6132750

-6.82%

FII'S FUTURE & OPTIONS ACTIVITY (IN CRS) 15 MAY Buy

Sell

Difference

INDEX FUTURES

820.02

706.72

113.30

INDEX OPTIONS

113.28

41.49

71.79

STOCK FUTURES

494.75

787.73

-292.98

STOCK OPTIONS

0.73

6.1

-5.37

1428.78 1542.04

-113.26

TOTAL

Strike

% Change

Strike

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

OI Chg %

RELIANCE 1620 C

31.75%

20.95%

482700

-14.96%

RELIANCE 1620 P

15.79%

30.65%

114400

23.68%

SBIN 1260 C

44.40%

46.57%

152500

174.77%

SBIN 1200 P

37.13%

21.49%

145250

29.98%

TATASTEEL 600 C

39.43%

38.97%

872100

41.98%

TATASTEEL 580 P

32.36%

39.50%

241650

11.88%

IDBI 100 C

48.11%

48.17%

2932800

13.57%

IDBI 100 P

46.25%

52.40%

451200

54.10%

INFOSYS 2010 C

35.06%

24.38%

178600

30.75%

SAIL 135 P

35.37%

33.71%

1582200

-1.01%

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Daring Derivatives — May 17, 2007 — 1

For Private Circulation only

z

Recommendation Tracker Date

Scrips

Buy/sell

Initiation Range

Stoploss

Target

Timeframe

16-May-07

Remark

Nifty

Buy

4145

4120

4180-4210

1-2 days

1 Tgt achieved

16-May-07

Reliance

Buy

1614-1615

1600

1640-1660

3-4 Days

1 Tgt achieved

16-May-07

Century Text.

Buy

597-598

591

610-615

5-6 Days

Tgts achieved

15-May-07

NDTV

Buy

382-383

377.5

390-395

1-2 days

Tgts achieved

11-May-07

IDBI 95 Call

Buy

3.5-4

-

8--10

8-10 Days

Profit Booked

11-May-07

Syndicate Bk 80 Call

Buy

3

-

6--7

5-6 Days

Open

For Private Circulation only

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2 — Daring Derivatives — May 17, 2007

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derivatives daring -

Tgts achieved. 15-May-07 NDTV. Buy. 382-383. 377.5. 390-395. 1-2 days. Tgts achieved. 11-May-07 IDBI 95 Call. Buy. 3.5-4. -. 8--10. 8-10 Days. Profit Booked.

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