1. DAILY DERIVATIVE REPORT
26 MARCH 2015
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 Indices continued to slip with the market exhibiting sluggish movement throughout the day. Key indices swung
between zones albeit a very tight range. The Sensex slipped 50 points, and Nifty declined 12 points; Lupin scales
new life-time high, while NMDC, Tata Steel drop to 52-week lows.
 The NSE Nifty moved in a range of 57 points. The Nifty from a high of 8,574, slipped to a low of 8,516, and fi-
nally settled with a loss of 12 points at 8,531.The India VIX (Volatility) index plunged nearly 4 per cent to
13.1425.
 Post a flat start, there was no respite for Call option buyers as the market continued to slide throughout the day.
The Nifty finally ended 40 points lower on the future segment. The Nifty future premium declined and settled at
4 point. India VIX fell 3.87% and settled at 13.14
 FIIs bought 813 crore while DIIs bought 97 crore in the cash segment. FIIs sold 1387 crore in index futures and
bought 1538 crore in index options. In stock futures, they sold 187 crore
 The highest Put base stands at the 8500 strike with 58 lakh shares while the highest Call base is at the 8600 strike
with 51 lakh shares. The 8600 and 8700 Calls saw additions of 22.81 and 3.65 lakh shares, respectively. The 8600
and 8700 Put strikes saw reduction of 10.33 and 3.80 lakh shares, respectively
 Nifty Future: The Nifty is likely to open gap down on the back of weak global cues. It is likely to trade in the
range of 8470-8550.
 Bank Nifty Future: Weakness continued in the Bank Nifty as rollover activity has not picked up on Wednes-
day. As there are still notable positions left for the rollover, choppiness and volatility may remain high today.
NIFTY SNAPSHOT & PIVOT POINTS
SPOT FUTURE
COST OF
CARRY
TOTAL FUT OI PCR OI PCR VOL ATM IV
CURRENT 8531 8535 17.97 26394775 0.85 0.85 13.06
PREVIOUS 8543 8574 66.01 27160275 0.89 0.89 13.55
CHANGE(%) -0.14% -0.45% - -2.82% - - -
PIVOT LEVELS S3 S2 S1 PIVOT R1 R2 R3
NIFTY FUTURE 8416 8482 8509 8548 8575 8614 8680
F&O HIGHLIGHTS
INDEX OUTLOOK
MARKET ROUNDUP

2. DAILY DERIVATIVE REPORT
26 MARCH 2015
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INTRADAY STRATEGY
i) DLF LIMITED Ii) NTPC LIMITED
Buy Dlf future in range of 168-169 Sell Ntpc future in range of 147-146
View : Bullish View :Bearish
Strategy : Buy Future Strategy : Sell Future
Target1 : 170.50 Target 2 : 172 Target 1 : 144.50 Target 2 : 143
Stop loss : 166.50 Stop loss : 149.50
Market Lot : 2000 CMP : 164.95 Market Lot : 2000 CMP : 147.70
STOCK ANALYSIS
OPEN INTEREST ACTIVITY
LONG BUILD UP SHORT BUILD UP
SYMBOL
OI
(LOTS)
%
CHNG
PRICE %CHNG SYMBOL OI (LOTS) %CHNG PRICE %CHNG
TATAMTRDVR 10180000 1.35 316.50 0.83 BANKBARODA 461250 87.31 168.00 2.33
HEXAWARE 6246000 6.19 292.40 2.96 BANKINDIA 766000 15.19 207.75 0.43
RANBAXY 8679500 2.52 832.00 1.57 SBIN 1050000 3.96 273.25 0.31
ARVIND 5201000 2.99 257.90 0.33 RPOWER 272000 13.33 56.70 1.31
CIPLA 5471500 1.41 715.40 0.36 PNB 716250 2.50 163.05 0.21
 OI addition : We saw long built up in Apollo hospital, Tatamtrdvr, Irb, Hexaware, Dabur while short built
up was seen in Havells, Lichousing fin, Divislab, Asian paint,Pnb
 OI Shedding : We saw short cover Godrej Ind, Justdial, Upl, Jswenergy, Hcltech and long unwinding was
seen in Ibrealest, Ntpc, Reliance, Techm

3. DAILY DERIVATIVE REPORT
26 MARCH 2015
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OI Chart Analysis: From the OI Chart we can see that in March Series addition of open interest on
the calls front is existent in the band at strike price of 8800-8600 indicating it as resistance on the up-
side whereas on the put options front we can see that addition of open interest is existent at strike
price of 8500-8400 indicating it as immediate support zone on the downside
F&O TURNOVER
INSTRUMENT NO. OF CONTRACTS TURNOVER(CR) PUT /CALL RATION
INDEX FUTURES 9,84,631 24,695.50 -
STOCK FUTURES 19,73,588 59,728.05 -
INDEX OPTIONS 1,11,65,411 2,62,920.95 0.84
STOCK OPTIONS 3,20,119 10,566.68 0.56
F&O TOTAL 1,44,43,749 3,57,911.18 0.83
NIFTY OPTION OI DISTRIBUTION
0
1000000
2000000
3000000
4000000
5000000
6000000
7000000
9400 9300 9200 9100 9000 8900 8800 8700 8600 8500 8400
OpenInterest
Strike Price
OI Concentration Chart
Call OI (MARCH) PutOI (MARCH)

4. DAILY DERIVATIVE REPORT
26 MARCH 2015
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Instrument
Type
Symbol Expiry
Date
Option
Type
Strike
Price
LTP Traded
Volume
(Contracts)
Traded
Value
(Lakhs)
OPTSTK SBIN 26MAR2015 CE 270 0.70 5,081 17,246.18
OPTSTK AXIS BANK 26MAR2015 CE 570 1.50 3,257 9,323.16
OPTSTK JINDAL STEEL 26MAR2015 CE 160 1.25 2,828 4,570.05
OPTSTK TATA STEEL 26MAR2015 CE 330 0.45 2,687 4,450.88
OPTSTK SUNPHARMA 26MAR2015 CE 1,060 8.35 2,391 6,398.38
MOST ACTIVE CALLS
MOST ACTIVE PUTS
Instrument
Type
Symbol Expiry
Date
Option
Type
Strike
Price
LTP Traded
Volume
(Contracts)
Traded
Value
(Lakhs)
OPTSTK TATAMOTORS 26MAR2015 PE 530 1.15 3,059 8,139.69
OPTSTK AXISBANK 26MAR2015 PE 560 3.25 2,977 8,393.65
OPTSTK SBIN 26MAR2015 PE 270 4.50 2,859 9,742.04
OPTSTK RELIANCE 26MAR2015 PE 840 3.20 2,784 5,874.31
OPTSTK JINDALSTEEL 26MAR2015 PE 150 1.40 2,096 3,164.54
FII ACTIVITY (IN RS. CRORE)
BUY SELL OPEN INTEREST AT THE
END OF THE DATE
DERIVATIVE
PRODUCT
NO.OF
CON-
TRACTS
AMOUNT
IN CRORES
NO.OF
COTRACTS
AMOUNT
IN CRORES
NO. OF
CONTRACTS
AMOUNT
IN CRORES
INDEX FUTURE
273067 6276.97 337401 7663.67 911719 21745.32
INDEX OPTION
886320 22269.74 821607 20686.96 2530517 66717.14
STOCK FUTURE 568746 17009.48 572141 17196.00 2073604 60804.58
STOCK OPTION 26173 807.05 25448 800.41 103062 3028.16

5. DAILY DERIVATIVE REPORT
26 MARCH 2015
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DATE SCRIP STRAT-
EGY LOT ENTRY LEVEL TARGET SL REMARK PROFIT/
LOSS
03/24/2015 HEXAWARE LONG 2000 288-289 290.50-292 286.50 2NDTGT 6000
03/24/2015 ARVIND SHORT 1000 256-255 252-249 259 SL -3000
PRICE VOLUME OI MARKET
RISING UP UP STRONG
RISING DOWN DOWN WEAK
DECLINING UP UP WEAK
DECLINING DOWN DOWN STRONG
GENERAL RULES FOR OPEN INTEREST & VOLUME
PERFORMANCE UPDATE