Derivatives 07 July 09

black swan consultancy services

DERIVATIVES CALL www.blackswan.co.in

3rd July 2009

CNX NIFTY NSE INDEX FUTURES

CMP: 4352.9 VIEW: Cautiously Bearish Maximum Profit: Rs.19680 at 3800 Maximum Loss: Unlimited (below 3400 and above 4800) Margin Amount Required Rs. 1,49,916

Maximum Annualized Returns 150 %

PCR

1.14

Analyst 1: Hrishikesh R Email: [email protected] Phone No: 98209 34352 Analyst 2: Nirav Acharya Email: [email protected] Phone No: 98197 46424

Strategy Overview: Option Type Buy Put Sell Put Sell Calls

Number of Contract1 1 2 1

Strike Price

Option Premium

4200 3800 4800

148.9 44.9 56.7

Options Pay-Off Sheet

Nifty View: Cautiously Bearish • • • • • • •

PCR Ratio as on date stands at 1.14, which has been steadily rising for the past week Market has seen one way rally since 2550 on the NIFTY in March 2009 and is bound for a consolidation phase in the short term at least till the Union Budget Keeping these factors in mind, and viewing the probable percentage annualized returns, we suggest taking a cautiously bearish view on the NIFTY The strategy suggested will lead to linear losses beyond 4800 on the upside and 3400 on the downside The strategy attains maximum profits at 3800 and profits reduce below that till 3400 The three options being sold will also benefit from the probability of increasing implied volatilities leading up to the union budget

black swan consultancy services

Research Team Hrishikesh R. Hardik Shah Jay Thakkar Nirav Acharya

[email protected] [email protected] [email protected] [email protected]

+91 9820934352 + 91 9819178881 +91 9967994615 +91 9819746424

Black Swan Research Derivatives Call NIFTY Strip Tease Pair Trade Value Scope Macro Scope Commodity Mantra

F&O Trading Strategies NIFTY Technical Analysis Pair Trading Strategy Fundamental Bottom-up Analysis Global Macro-economic report Commodity in Focus Report

Black Swan Monthly Reports NIFTY Glance Market Pulse Global Guru

Monthly NIFTY Performance The Numbers game this month Monthly global view

This document is provided for assistance only and is not intended to be and must not alone be taken as the basis for an investment decision. Nothing in this document should be construed as investment or financial advice, and nothing in this document should be construed as an advice to buy or sell or solicitation to buy or sell the securities of companies referred to in this document. The intent of this document is not in recommendary nature Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of an investment in the securities of companies referred to in this document (including the merits and risks involved), and should consult its own advisors to determine the merits and risks of such an investment. The investment discussed or views expressed may not be suitable for all investors Black Swan Consultancy Services has not independently verified all the information given in this document. Accordingly, no representation or warranty, express or implied, is made as to the accuracy, completeness or fairness of the information and opinions contained in this document The Disclosures of Interest Statement incorporated in this document is provided solely to enhance the transparency and should not be treated as endorsement of the views expressed in the report. This information is subject to change without any prior notice. The Company reserves the right to make modifications and alternations to this statement as may be required from time to time without any prior approval Black Swan Consultancy Services, its affiliates, their directors and the employees may from time to time, effect or have effected an own account transaction in, or deal as principal or agent in or for the securities mentioned in this document. They may perform or seek to perform investment banking or other services for, or solicit investment banking or other business from, any company referred to in this report. Each of these entities functions as a separate, distinct and independent of each other. The recipient should take this into account before interpreting the document This report has been prepared on the basis of information, which is already available in publicly accessible media or developed through analysis of Black Swan Consultancy Services. The views expressed are those of analyst and the Company may or may not subscribe to all the views expressed therein Neither the Firm, not its directors, employees, agents or representatives shall be liable for any damages whether direct or indirect, incidental, special or consequential including lost revenue or lost profits that may arise from or in connection with the use of the information.

Mail us at: [email protected]

www.blackswan.co.in