Derivatives (Futures and Options) - Sharekhan.doc

8/9/2019 Derivatives (Futures and Options) - Sharekhan.doc

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Derivatives (Futures & Options)

INTRODUCTION OF DERIVATIVES

The emergence of the market for derivative products, most notably forwards,

futures and options, can be traced back to the willingness of risk-averse economic

agents to guard themselves against uncertainties arising out of fluctuations in asset

prices. By their very nature, the financial markets are marked by a very high

degree of volatility. Through the use of derivative products, it is possible to

partially or fully transfer price risks by locking-in asset Prices. As instruments of

risk management, these generally do not influence the Fluctuations in the

underlying asset prices. owever, by locking-in asset prices, !erivative products

minimi"e the impact of fluctuations in asset prices on the Profitability and cash

flow situation of risk-averse investors.

!erivatives are risk management instruments, which derive their value from

an underlying asset. The underlying asset can be bullion, inde#, share, bonds,

$urrency, interest, etc., Banks, %ecurities firms, companies and investors to hedge

risks, to gain access to cheaper money and to make profit, use derivatives.

!erivatives are likely to grow even at a faster rate in future.

DEFINITION OF DERIVATIVES

&!erivative is a product whose value is derived from the value of an underlying

asset in a contractual manner. The underlying asset can be e'uity, Fore#,

commodity or any other asset.(

%ecurities $ontract ) regulation* Act, + )%$)/* A*defines &debt

instrument, share, loan whether secured or unsecured, risk instrument or

contract for differences or any other form of security(

A contract which derives its value from the prices, or inde# of prices, of

underlying securities.

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HISTORY OF DERIVATIVES MARKETS

0arly forward contracts in the 1% addressed merchants concerns about ensuring

that there were buyers and sellers for commodities. owever &credit risk(

remained a serious problem. To deal with this problem, a group of $hicago2

businessmen formed the Chicago Board of Trad !CBOT" in 1#4#. The primary

intention of the CBOT was to provide a centrali"ed location known 3n advance for

buyers and sellers to negotiate forward contracts. 3n +4, the $B5T went one

step further and listed the first &e#change traded( derivatives $ontract in the 1%2

these contracts were called &futures contracts(. 3n ++, $hicago Butter and 0gg

Board, a spin-off $B5T was reorgani"ed to allow futures trading. 3ts name was

changed to Chicago Mrca$%i& E'cha$g !CME". The $B5T and the $60

remain the two largest organi"ed futures e#changes, indeed the two largest

&financial( e#changes of any kind in the world today.

The first stock inde# futures contract was traded at Ka$(a( Ci%) Board of

Trad. $urrently the most popular stock inde# futures contract in the world is based on S*+ ,00 i$d'- traded on $hicago 6ercantile 0#change. !uring the

6id eighties, financial futures became the most active derivative instruments

7enerating volumes many times more than the commodity futures. 3nde# futures,

futures on T-bills and 0uro-!ollar futures are the three most popular Futures

contracts traded today. 5ther popular international e#changes that trade

derivatives are .IFFE in E$g&a$d- DTB in /ra$)- S/ in Si$ga2or- TIFFEin 3a2a$, MATIF in France, Er' etc.,

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THE /RO5TH OF DERIVATIVES MARKET

5ver the last three decades, the derivatives markets have seen a phenomenal

growth. A large variety of derivative contracts have been launched at e#changes

across the world. %ome of the factors driving the growth of financial derivatives

are8

3ncreased volatility in asset prices in financial markets,

3ncreased integration of national financial markets with the

international markets,

6arked improvement in communication facilities and sharp decline in

their costs,

!evelopment of more sophisticated risk management tools, providing

economic agents a wider choice of risk management strategies, and

3nnovations in the derivatives markets, which optimally combine the

risks and returns over a large number of financial assets leading to

higher returns, reduced risk as well as transactions costs as compared

to individual financial assets.

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Ba(8%(7

Basket options are options on portfolio of underlying assets. The underlying asset

is usually a moving average of a basket of assets. 0'uity inde# options are a form

of basket options.

S6a2(7

%waps are private agreement between two parties to e#change cash flows in the

future according to a prearranged formula. They can be regarded as portfolios of

forward contracts. The two commonly used swaps are8

I$%r(% ra% (6a2(7

The entail swapping only the interest related cash flows between the parties in the

same currency.

Crr$c) (6a2(7

These entail swapping both principal and interest between the parties, with the

cashflows in one direction being in a different currency than those in the opposite

direction.

S6a2%io$(7

%waptions are options to buy or sell a swap that will become operative at the

e#piry of the options. Thus a swaption is an option on a forward swap. /ather than

have calls and puts, the swaptions market has receiver swaptions and payer

swaptions. A receiver swaption is an option to receive fi#ed and pay floating. A

payer swaption is an option to pay fi#ed and received floating.

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+ARTICI+ANTS IN THE DERRIVATIVES MARKETS

The following three broad categories of participants8

HED/ERS7edgers face risk associated with the price of an asset. They use futures or options

markets to reduce or eliminate this risk.

S+ECU.ATORS7

%peculators wish to bet on future movements in the price of an asset. Futures and

options contracts can give them an e#tra leverage2 that is, they can increase both

the potential gains and potential losses in a speculative venture.

ARBITRA/EURS7

Arbitrageurs are in business to take advantage of a discrepancy between prices in

two different markets. 3f, for e#ample they see the futures prices of an asset

getting out of line with the cash price, they will take offsetting positions in the two

markets to lock in a profit.

FUNCTIONS OF THE DERIVATIVES MARKET

3n spite of the fear and criticism with which the derivative markets are commonly

looked at, these markets perform a number of economic functions.

Price in an organi"ed derivative markets reflect the perception of market

participants about the future and lead the prices of underlying to the

perceived future level. The prices of derivatives converge with the

prices of the underlying at the

0#piration of the derivative contract. Thus derivatives help in

discovery of future as well as current prices.

The derivative markets helps to transfer risks from those who have them

but may not like them to those who have an appetite for them.

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!erivative due to their inherent nature, are linked to the underlying cash

markets.


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OB3ECTIVES OF THE STUDY

To analy"e the derivatives market in 3ndia.

To analy"e the operations of futures and options.

To find the profit=loss position of futures buyer and also

The option writer and option holder.

To study about risk management with the help of derivatives.

.IMITATIONS OF THE STUDY

The following are the limitation of this study.

The scrip chosen for analysis is OI. * NATURA. /AS

COR+ORATION .TD and the contract taken is March >00?

ending o$00?@ hence

this analysis cannot be taken universal.

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1. Price or dividend )interest*

2. %ome are internal to the firm like

• 3ndustrial policy

• 6anagement capabilities

• $onsumer9s preference

• ;abor strike, etc.,

These forces are to a large e#tent controllable and are termed as non systematic

risks. An investor can easily manage such non-systematic by having a


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small si"e relative to many common sticks. Those factors favour for the purpose

of both portfolio hedging and speculation, the introduction of a derivatives

securities that is on some broader market rather than an individual security.

/.OBA. DERIVATIVES MARKETThe global financial centers such as $hicago, ew ork, Tokyo and ;ondon

dominate the trading in derivatives. %ome of the world9s leading e#changes for the

e#change-traded derivatives are8

$hicago 6ercantile e#change )$60* and ;ondon

3nternational Financial Futures 0#change );3FF0* ) for

currency C 3nterest rate futures* Philadelphia %tock 0#change)P%0*, ;ondon %tock 0#change

);%0* C $hicago Board 5ptions 0#change )$B50* ) for

currency options*

ew ork %tock 0#change )%0* and ;ondon %tock

0#change );%0* )for e'uity derivatives*

$hicago 6ercantile 0#change)$60* and ;ondon 6etal

0#change );60* ) for $ommodities*

These e#changes account for a large portion of the trading volume in the respective

derivatives segment.

NSE( DERIVATIVES MARKET

The derivatives trading on the %0 commenced with S*+ CN Nif%) inde#

Futures on 3$ 1>- >000 The trading in inde# options commenced on 3$ 4-

>001 and trading in options on individual securities commenced on 3&) >- >001

%ingle stock futures were launched on No:r - >001. Today, both in terms of

volume and turnover, %0 is the largest derivatives e#change in 3ndia. $urrently,

the derivatives contracts have a ma#imum of


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co$%rac%( are available for trading, with 1 o$%h- > o$%h a$d o$%h e#piry.

A new contract is introduced on the $'% %radi$g da) following of the near month

contract.

RE/U.ATORY FRAME5ORK

The trading of derivatives is governed by the provisions contained in the %$)/*

A, the %0B3 Act, the rules and regulations framed there under and the rules and

bye-laws of stock e#changes.

3n this chapter we look at the broad regulatory framework for derivatives

trading and the re'uirement to become a member and an authori"ed dealer of the

FC5 segment and the position limits as they apply to various participants.

Rg&a%io$ for dri:a%i:( %radi$g7

%0B3 set up a >4


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e#change would have to regulate the sales practices of its members and

would have to obtain prior approval of %0B3 before start of trading in

any derivative contract.

The 0#change should have minimum ,0 r(

The members of an e#isting segment of the e#change would not

automatically become the members of derivative segment. The

members of the derivative segment would need to fulfill the eligibility

conditions as laid down by the .C/2%a coi%%

The clearing and settlement of derivatives trades would be through a

%0B3 approved c&ari$g cor2ora%io$Gho(. $learing

corporations=houses complying with the eligibility as laid down by the

committee have to apply to %0B3 for grant of approval.

!erivatives brokers=dealers and clearing members are re'uired to seek

registration from %0B3. This is in addition to their registration as

brokers of e#isting stock e#changes. The minimum net worth for

clearing members of the derivatives clearing corporation=house shall be

R(00 .a8h. The net worth of the member shall be computed as

follows 8

$apital E Free reserves

;ess non-allowable assets vi".,

• Fi#ed assets

• Pledged securities

• 6ember9s card

• on-allowable securities ) unlisted securities*

• Bad deliveries

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• !oubtful debts and advances

• Prepaid e#penses

• 3ntangible assets

• @> marketable securities

The minimum contact value shall not be less than

R(> .a8h. 0#changes have to submit details of the futures contract

they propose to introduce.

The initial margin re'uirement, e#posure limits linked to capital

ade'uacy and margin demands related to the risk of loss on the

position will be prescribed by %0B3 = 0#changed from time to time.

The ;.$.7upta committee report re'uires strict enforcement of

&Gnow your customer &rule and re'uires that every client shall be

registered with the derivatives broker. The members of the derivatives

segment are also re'uired to make their clients aware of the risks

involved in derivatives trading by issuing to the clients the /isk

!isclosure and obtain a copy of the same duly signed by the clients.

The trading members are re'uired to have 'ualified approved user and

sales person who have passed a certification programmed approved

by %0B3.

E.I/IBI.ITY OF ANY STOCK TO ENTER IN DERIVATIVES MARKET

on Promoter holding ) free float capitali"ation * not less than R(

?,0 Cror( from &a(% o$%h( !aily Average Trading value not less than , Cror( in last Mo$%h(

At least 0 of Trading days in &a(% o$%h(

on Promoter olding at least 0

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B0TA not more than 4 ) previous last months *

DESCRI+TION OF THE METHOD

The following are the steps involved in the study.

S&c%io$ of %h (cri27<

The scrip selection is done on a random and the scrip selected is

OI. * NATURA. /AS COR+ORATION .TD The &o% i( >>,. Profitability

position of the futures buyers and seller and also the option holder and option

writers is studied.

Da%a Co&&c%io$7<

The data of the ON/C .%d has been collected from the 9%h Eco$oic

Ti(; and the i$%r$% The data consist of the March Co$%rac% and period of

!ata collection is from >rd FEBRUARY >00? < >%h MARCH >00?

A$a&)(i(7<The analysis consist of the tabulation of the data assessing the profitability

Positions of the futures buyers and sellers and also option holder and the option


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INTRODUCTION OF FUTURES

Futures markets were designed to solve the problems that e#ist in forward

markets. A futures contract is an agreement between two parties to buy or sell an

asset at a certain time in the future at a certain price. But unlike forward contract,

the futures contracts are standardi"ed and e#change traded. To facilitate li'uidity

in the futures contract, the e#change specifies certain standard features of the

contract. 3t is standardi"ed contract with standard underlying instrument, a

standard 'uantity and 'uality of the underlying instrument that can be delivered,

)5r which can be used for reference purpose in settlement* and a standard timing

of such settlement. A futures contract may be offset prior to maturity by entering

into an e'ual and opposite transaction. 6ore than > of futures transactions are

offset this way.

The standardi"ed items in a futures contract are8

• Huantity of the underlying

• Huality of the underlying

• The date and the month of delivery

• The units of price 'uotation and minimum price change

• ;ocation of settlement

DIFINITION

A Futures contract is an agreement between two parties to buy or sell an

asset at a certain time in the future at a certain price. Futures contracts are special

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types of forward contracts in the sense that the former are standardi"ed e#change-

traded contracts.

HISTORY OF FUTURES

Mr%o$ Mi&&r- the +> obel ;aureate had said that &financial futures

represent the most significant financial innovation of the last twenty years.( The

first e#change that traded financial derivatives was launched in Chicago in the

year 1?>. A division of the Chicago Mrca$%i& E'cha$g, it was called the

international monetary market )366* and traded currency futures. The brain

behind this was a man called ;eo 6elamed, acknowledged as the &father of

financial futures( who was then the $hairman of the $hicago 6ercantile

0#change. Before 366 opened in +I?, the $hicago 6ercantile 0#change sold

contracts whose value was counted in millions. By +>, the underlying value of

all contracts traded at the $hicago 6ercantile 0#change totaled > trillion dollars.

These currency futures paved the way for the successful marketing of a

di""ying array of similar products at the $hicago 6ercantile 0#change, the

$hicago Board of Trade and the $hicago Board 5ptions 0#change. By the +>s,

these e#changes were trading futures and options on everything from Asian and

American stock inde#es to interest-rate swaps, and their success transformed

$hicago almost overnight into the risk-transfer capital of the world.

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DISTINCTION BET5EEN FUTURES AND FOR5ARDS CONTRACTS

Forward contracts are often confused with futures contracts. The confusion is

primarily because both serve essentially the same economic functions of allocating

risk in the presence of futures price uncertainty. owever futures are a significant

improvement over the forward contracts as they eliminate counterparty risk and

offer more li'uidity. $omparison between two as follows8

FUTURES FOR5ARDS1.Trade on an

5rgani"ed 0#change>.%tandardi"ed

contract terms

. hence more li'uid

4. /e'uires margin

payment

,. Follows daily

%ettlement

1. 5T$ in nature

>.$ustomi"ed contract

terms

. hence less li'uid

4. o margin payment

,. %ettlement happens

at end of period

Ta& >1

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FEATURES OF FUTURES

• Futures are highly standardi"ed.

• The contracting parties need not pay any down payment.

• edging of price risks.

• They have secondary markets too.

TY+ES OF FUTURES

5n the basis of the underlying asset they derive, the futures are divided into two

types8

• %tock Futures

• 3nde# Futures

+ARTIES IN THE FUTURES CONTRACT

There are two parties in a futures contract, the buyers and the seller. The buyer

of the futures contract is one who is ;57 on the futures contract and the seller of the futures contract is who is %5/T on the futures contract.

The pay-off for the buyers and the seller of the futures of the contracts are as

follows8

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+AY1

CASE 177


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+AY>

F J F1T1/0% P/3$0

0+, 0? J %0T;060T P/3$0

CASE 177


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MAR/INS

6argins are the deposits which reduce counter party risk, arise in a futures

contract. These margins are collect in order to eliminate the counter party risk.

There are three types of margins8

I$i%ia& Margi$(7>2 the

following table shows the effect of margins on the $ontract. The contract si"e of

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57$ is +4>>. The initial margin amount is say /s. @>,>>> the maintenance

margin is of initial margin.

+RICIN/ FUTURES

Pricing of futures contract is very simple. 1sing the cost-of-carry logic, we

calculate the fair value of a future contract. 0very time the observed price deviates

from the fair value, arbitragers would enter into trades to captures the arbitrage

profit. This in turn would push the futures price back to its fair value. The cost of

carry model used for pricing futures is given below.

F SrT


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t J olding Period

FUTURES TERMINO.O/Y

S2o% 2ric7

The price at which an asset trades in the spot market.

F%r( +ric7

The price at which the futures contract trades in the futures market.

Co$%rac% c)c&7

The period over which a contract trades. The inde# futures contracts on the %0

have one-month and three-month e#piry cycles which '2ir o$ %h &a(%

Thr(da) of %h o$%h Thus a Kanuary e#piration contract e#pires on the last

Thursday of Kanuary and a February e#piration contract ceases trading on the last

Thursday of February. 5n the Friday following the last Thursday, a new contract

having a three-month e#piry is introduced for trading.

E'2ir) da%7

3t is the date specified in the futures contract. This is the last day on which the

contract will be traded, at the end of which it will cease to e#ist.

Co$%rac% (iL7

The amount of asset that has to be delivered under one contract. For instance, the

contract si"e on %09s futures markets is ?>> ifties.

Ba(i(73n the conte#t of financial futures, basis can be defined as the futures price minus

the spot price. These will be a different basis for each delivery month for each

contract. 3n a normal market, basis will be positive. This reflects that futures prices

normally e#ceed spot prices.

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Co(% of carr)7

The relationship between futures prices and spot prices can be summari"ed in

terms of what is known as the cost of carry. This measures the storage cost plus

the interest that is paid to finance the asset less the income earned on the asset.

I$i%ia& argi$7

The amount that must be deposited in the margin account at the time a futures

contract is first entered into is known as initial margin.

Mar8i$g


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either from its own clients of those of other member firms. 3f no seller could be

found, the firm would undertake to write the option itself in return for a price.

This market however suffered form two deficiencies. First, there was no

secondary market and second, there was no mechanism to guarantee that the writer

of the option would honour the contract. 3n 1?- B&ac8 , Mr%o$ and (cho&(

invented the famed B&ac8s, the number of shares underlying the option contract sold

each day e#ceeded the daily volume of shares traded on the NYSE. %ince then,

there has been no looking back.

5ption made their first ma:or mark in financial history during the %&i2


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were put writers who were unable to meet their commitments to purchase Tulip

bulbs.

+RO+ERTIES OF O+TION

5ptions have several uni'ue properties that set them apart from other securities.

The following are the properties of option8

• ;imited ;oss

• igh leverages potential

• ;imited ;ife

+ARTIES IN AN O+TION CONTRACT

There are two participants in 5ption $ontract.

B)rGHo&drGO6$r of a$ O2%io$7

The Buyer of an 5ption is the one who by paying the option premium buys the

right but not the obligation to e#ercise his option on the seller=writer.

S&&rG6ri%r of a$ O2%io$7

The writer of a call=put option is the one who receives the option premium and is

thereby obliged to sell=buy the asset if the buyer e#ercises on him.

TY+ES OF O+TIONS

The 5ptions are classified into various types on the basis of various variables. The

following are the various types of options.

1 O$ %h a(i( of %h $dr&)i$g a((%75n the basis of the underlying asset the option are divided in to two types8

I$d' o2%io$(7

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These options have the inde# as the underlying. %ome options are 0uropean

while others are American. ;ike inde# futures contracts, inde# options contracts

are also cash settled.

S%oc8 o2%io$(7

%tock 5ptions are options on individual stocks. 5ptions currently trade on over

>> stocks in the 1nited %tates. A contract gives the holder the right to buy or sell

shares at the specified price.

> O$ %h a(i( of %h ar8% o:$%( 7

5n the basis of the market movements the option are divided into two types. They

are8

Ca&& O2%io$7

A call 5ption gives the holder the right but not the obligation to buy an asset by a

certain date for a certain price. 3t is brought by an investor when he seems that the

stock price moves upwards.

+% O2%io$7

A put option gives the holder the right but not the obligation to sell an asset by a

certain date for a certain price. 3t is bought by an investor when he seems that the

stock price moves downwards.

O$ %h a(i( of 'rci( of o2%io$7 5n the basis of the e#ercise of the 5ption, the options are classified into two

$ategories.

Arica$ O2%io$7

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American options are options that can be e#ercised at any time up to the e#piration

date. 6ost e#change Mtraded options are American.

Ero2a$ O2%io$7

0uropean options are options that can be e#ercised only on the e#piration date

itself. 0uropean options are easier to analy"e than American options, and

properties of an American option are fre'uently deduced from those of its

0uropean counterpart.

+AY

% J %trike price 3T6 J 3n the 6oney

%p J premium=loss AT6 J At the 6oney

0+ J %pot price + 5T6 J 5ut of the 6oney

0? J %pot price ?

%/ J Profit at spot price 0+

OTM

LOSS

S

PE2

R PROFIT

ITM

ATM E1

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CASE 17 )%pot Price N %trike price*As the %pot price )0+* of the underlying asset is more than strike price )%*.

The buyer gets profit of )%/*, if price increases more than 0 + then profit also

increase more than )%/*

CASE >7 )%pot Price O %trike Price*As a spot price )0?* of the underlying asset is less than strike price )%*

The buyer gets loss of )%P*2 if price goes down less than 0 ? then also his loss is

limited to his premium )%P*

+AY4

% J %trike price 3T6 J 3n the 6oney %P J Premium = profit AT6 J At The money

0+ J %pot Price + 5T6 J 5ut of the 6oney

0? J %pot Price ?

%/ J loss at spot price 0?

CASE 17 )%pot price O %trike price*

ITM

PROFIT

E

1

P

S

ATM

E2

OTM

R

LOSS

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As the spot price )0+* of the underlying is less than strike price )%*. The seller gets

the profit of )%P*, if the price decreases less than 0 + then also profit of the seller

does not e#ceed )%P*.

CASE >7 )%pot price N %trike price*As the spot price )0?* of the underlying asset is more than strike price )%* the %eller

gets loss of )%/*, if price goes more than 0? then the loss of the seller also increase

more than )%/*.

+AY, % J %trike price 3T6 J 3n the 6oney %P J Premium = loss AT6 J At the 6oney


0? J %pot price ?

%/ J Profit at spot price 0+


PROFIT

ITM

R

E1 ATM

P LOSS

OTM

E

2

S

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As the spot price )0+* of the underlying asset is less than strike price )%*. The buyer

gets the profit )%/*, if price decreases less than 0+ then profit also increases more

than )%/*.

CASE >7 )%pot price N %trike price*As the spot price )0?* of the underlying asset is more than strike price )%*,

The buyer gets loss of )%P*, if price goes more than 0 ? than the loss of the buyer is

limited to his premium )%P*.

+AY

% J %trike price 3T6 J 3n The 6oney %P J Premium=profit AT6 J At The 6oney


0? J %pot price ?

%/ J ;oss at spot price 0+


LOSS

OTM

R

S

E1

P

PROFIT

ITM

ATM

E2

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As the spot price )0+* of the underlying asset is less than strike price )%*, the seller

gets the loss of )%/*, if price decreases less than 0+ than the loss also increases

more than )%/*.

CASE >7 )%pot price N %trike price*As the spot price )0?* of the underlying asset is more than strike price )%*, the seller

gets profit of )%P*, of price goes more than 0? than the profit of seller is limited to

his premium )%P*.

FACTORS AFFECTIN/ THE +RICE OF AN O+TION

The following are the various factors that affect the price of an option they are8

S%oc8 +ric7

The pay-off from a call option is an amount by which the stock price e#ceeds the

strike price. $all options therefore become more valuable as the stock price

increases and vice versa. The pay-off from a put option is the amount2 by which

the strike price e#ceeds the stock price. Put options therefore become more

valuable as the stock price increases and vice versa.

S%ri8 2ric7

3n case of a call, as a strike price increases, the stock price has to make a larger

upward move for the option to go in-the Mmoney. Therefore, for a call, as the

strike price increases option becomes less valuable and as strike price decreases,

option become more valuable.

Ti %o '2ira%io$7

Both put and call American options become more valuable as a time to e#piration

increases.

Vo&a%i&i%)7

The volatility of a stock price is measured of uncertain about future stock price

movements. As volatility increases, the chance that the stock will do very well or

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very poor increases. The value of both calls and puts therefore increases as

volatility increase.

Ri(8< fr i$%r(% ra%7

The put option prices decline as the risk-free rate increases where as the price of

call always increases as the risk-free interest rate increases.

Di:id$d(7

!ividends have the effect of reducing the stock price on the - dividend rate. This

has a negative effect on the value of call options and a positive effect on the value

of put options.

+RICIN/ O+TIONS

An option buyer has the right but not the obligation to e#ercise on the seller.

The worst that can happen to a buyer is the loss of the premium paid by him. is

downside is limited to this premium, but his upside is potentially unlimited. This

optionality is precious and has a value, which is e#pressed in terms of the option

price. Kust like in other free markets, it is the supply and demand in the secondary

market that drives the price of an option.

There are various models which help us get close to the true price of an option.

6ost of these are variants of the celebrated Black- %choles model for pricing

0uropean options. Today most calculators and spread-sheets come with a built-in

Black- %choles options pricing formula so to price options we don9t really need to

memori"e the formula. All we need to know is the variables that go into the

model.

104


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The Black-%choles formulas for the price of 0uropean calls and puts on a non-

dividend paying stock are8

104


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Ca&& o2%io$CA SN !d1" < rT N !d>"

+% O2%io$+A < rT N !< d>" SN !< d1"

5hr d1 &$ !SG" J !r J : > G>" T :T

A$d d> d1 < :T


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E'2ira%io$ da%7

The date specified in the options contract is known as the e#piration date, the

e#ercise date, the strike date or the maturity.

S%ri8 2ric7The price specified in the option contract is known as the strike price or the

e#ercise price.

I$


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The option premium can be broken down into two components- intrinsic value and

time value. The intrinsic value of a call is the amount the option is 3T6, if it is

3T6. 3f the call is 5T6, its intrinsic value is "ero.

Ti :a& of a$ o2%io$7The time value of an option is the difference between its premium and its intrinsic

value. Both calls and puts have time value. An option that is 5T6 or AT6 has

only time value. 1sually, the ma#imum time value e#ists when the option is AT6.

The longer the time to e#piration, the greater is an option9s time value, all else

e'ual. At e#piration, an option should have no time value.

DISTINCTION BET5EEN FUTURES AND O+TIONS

Ta& >

CA.. O+TION

PREMIUM

FUTURES O+TIONS+. 0#change traded,

with ovation

?. 0#change defines the

product

@. Price is "ero, strike

price moves

D. Price is Qero

. ;inear payoff

. Both long and short

at risk

+. %ame as futures

?. %ame as futures

@. %trike price is fi#ed,

price movesD. Price is always positive

. onlinear payoff

. 5nly short at risk

104


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STRIKE PRICE

CONTRACTINTRINSIC

VALUE

TIME

VALUE

TOTAL

VALUE

560540520

000

2510

2510

OUT OF

THE

MONEY

500 0 15 15 AT THEMONEY

480460440

204060

1052

304562

IN THE

MONEY

Ta& >4

+UT O+TION

STRIKE PRICE

PREMIUMCONTRACTINTRINSIC

VALUE

TIME

VALUE

TOTAL

VALUE

560540520

604020

2510

624530

IN THE

MONEY

500 0 15 15AT THE

MONEY

480460440

000

1052

1052

OUT OF

THE

MONEY

Ta& >,+REMIUM INTRINSIC VA.UE J TIME VA.UE

Th diffr$c %6$ (%ri8 :a&( i( ca&&d i$%r:a&

TRADIN/ INTRODUCTION

104


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The futures C 5ptions trading system of %0, called 0AT-FC5 trading

system, provides a fully automated screen-based trading for ifty futures C

options and stock futures C 5ptions on a nationwide basis as well as an online

monitoring and surveillance mechanism. 3t supports an order driven market and

provides complete transparency of trading operations. 3t is similar to that of trading

of e'uities in the cash market segment.

The software for the FC5 market has been developed to facilitate efficient and

transparent trading in futures and options instruments. Geeping in view the

familiarity of trading members with the current capital market trading system,

modifications have been performed in the e#isting capital market trading system so

as to make it suitable for trading futures and options.

5n starting 0AT )ational 0#change for Automatic Trading* Application, the

log on )Pass


42/126


ation wide-online-fully Automated %creen Based Trading %ystem )%BT%*

• Price priority

• Time Priority

ote8- +* 0AT system provides open electronic consolidated limit orders book

)50$;5B*

?* ;imit order means8 %tated Huantity and stated price

Bfor O2$i$g %h ar8%

1ser allowed to set 1p +* 6arket


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T2orar) (ig$ off7 - market up date )temporary sign off, after minutes

Automatically Activate*

E'i%7


44/126


• Final !ecision is taken by %0 )to accept or re:ect*

?* /e'uest for Trade $ancellation Allowed with same as Above $onditions )A*.

O% S%a$di$g Ordr Scr$

5ut standing 5rder %creen show, %tatus out %tanding 5rder enter by 1ser for a

particular security )/.;. 5rder C %; 5rder* it Allows 8- 5rder 6odification C

5rders $ancellation.

Ac%i:i%) .og Scr$

Activity logon screen show, all Activities performed on any order by the 1ser, in

/eversal chronological 5rder

B Buying S %elling 5rders

OC $ancellation of 5rder

OM 6odifying 5rder

TC B1 5rder C %ell 5rder, 3nvolving in

Trade are $ancelled

TM By 5rder C %ell 5rders, involving Trade is

6odified

3t is very useful to a corporate manager to view all the activities that have been

performed on any order )or* all ordered under his Branches C !ealers

Ordr (%a%( Scr$

5rder %tatus %creen %hows, $urrent status of &dealers( own %pecified 5rders

SNA+ =o% Sho6(

3nstantaneous 3nformation About a particular %ecurity can be shown on 6arket

watch window )which is not set up in market


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Mar8% I$ir)

6arket 3n'uiry %creen %hows 6arket %tatistics for Particular 6arket, for a

particular %ecurity.

3t shows information about8-

/; 6arket )/egular lot 6arket*

/! 6arket )/etail !ebt 6arket*

5; 6arket )5dd lot 6arket*

3t shows Following %tatistics8 - 5pen Price, igh Price, ;ow Price, ;ast Traded

Price, Traded Huantity, ?


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3t %elect the Format for conformation slips

Ao% 5i$do6

This window displays %oftware related version numbers details and copy right

information.

Mo(% Ac%i:i%) Scri%i( Scr$

3t shows most active securities, based on the total traded value during the day

R2or% S&c%io$ 5i$do6

3t facilitates to print each copy of report at any time. These /eports are

1" O2$ ordr r2or% 7" Ordr &og r2or%7>

?* $lient place the order through brokers on order routing system

5A+ !5ir&(( A22&ica%io$ +ro%oco&"

+* %0.3T ;aunches the from ovember ?>>>

?* +st %tep-getting the permission from e#change for , Addr(( chc8

.? Address check, is performed in the 0AT system, when the user log on into

the 0AT, system C during report down load re'uest.

FT+ !Fi& Tra$(fr 2ro%oco&"

104


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+* %0 Provide for each member a separate directory )File* to know their trading

!ATA, clear !ATA, bill trade /eport.

?* %0 Provide in Addition a &$ommon( directory also, to know circulars,

$F6 C Bhava $opy information.

@* FTP is connected to each member through L%AT, leased line and internet.

D* L%AT )F/56 D8+P6 to 8@>A6*, 3nternet )?D ours*.

Bha:a Co2) Da%a Ba(

Bhava copy data provides summary information about each security, for each day

)only last I days bhava $opy file are stored in report directory.*

ote8 - !etails in Bhava copy-open price, high and low prices, closing prices

traded value, traded volume and o. of transactions.

S$a2 Sho% Da%a Ba(

%nap shot data base provides %nap shot of the limit order book at many time points

in a day.

I$d' Da%a Ba(

3nde# !ata Base provides information about stock market inde#es.

Trad Da%a Ba(Trade !ata Base provides a data base of every single traded order, take place in

e#change.

BASKET TRADIN/ SYSTEM

+* Taking advantage for easy arbitration between future market and C cash market

difference, %0 introduce basket trading system by off setting positions through

off line-order-entry facility.

?* 5rders are created for a selected portfolio to the ratio of their market

$apitali"ation from + lake to @> crores.

104


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@* Off&i$


49/126


Figr >?

+ar%ici2a$%( i$ Scri%) Mar8%

NSE MAIN FRAME

HUB ANTENNA SATELLITE

BROKER’S PREMISES

104


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+* %tock 0#change )registered in %0B3*-> %tock 0#changes?* !epositaries !NSD.-CDS."-? !epositaries@* ;isted %ecurities--41D* /egistered Brokers--,1* F33s-,0>

High(% I$:(%or +o2&a%io$

Ta& >

I$:(%or Edca%io$ * 2ro%c%io$ F$d

This fund used to educate C develop the awareness of the 3nvestors.

The following funds credited to 30 C PF

+* 1npaid dividends

?* !ue for refund )application money received for allotment*

@* 6atured deposits C debentures with company.

D* 7overnment donations.

State Total No. Investors % o Investors in In!ia

"a#arastra $.11 a#s 28.50

'u(arat 5.36 a#s 16.)5

Del#i 3.25 a#s

10.10%

Ta*ilna!u 2.30 a#s ).205

+est ,an-al 2.14 a#s 6.)5%

n!#ra /ra!es# 1.$4 a#s 6.05%

104


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co2a$)

SHAREKHAN

%%G3, a veteran e'uities solutions company with over 4 decades of e#perience

in the 3ndian stock markets. The %%G3 7roup comparies of institutional Broking and

$orporate Finance. The institutional broking division caters to domestic and foreign

institutional investors, while the $orporate Finance !ivision focuses on ninche areas

such as infrastructure, telecom and media, %%G3 has been voted as the Top !omestic

Brokerage ouse in the research category, by the 0uro 6oney survey and Asia 6oney

survey.

%hare khan is also about focus. %harekhan does not claim e#pertise in too

many things. %harekhan9s e#oertise lies in stocks and that9s what he talks about withauthority.%o when he says that investing in stocks shouldnot be confused with trading

in stocks or a portfolio-based strategy is better than betting on a single horse, it is

some thing that is spoken with years of focused learning and e#perience in the stock

markets. And these beliefs are reflected in everything %harekhan does for you

%hare khan 3ndia9s leading stockbroker is the retail arm of %%G3, An

organi"ation with over eighty years e#perience in the stock market. share shops in ++>.

$ities, and 3ndia9s premier online trading destinations-www.sharekhan.com,

ours customer en:oy multi-channel access at the stock markets, share khan offer u

trade e#ecution facilities for cash as well as derivaties on the B%0 C%0 and most

importunity we bring you investment advice tempered by eighty years of broking

e#perience.

Through our portal %harekhan.com, we9ve been providing investors a powerful

online trading platform, the latest news, research and other knowledge-based tools for

over years now.


52/126


1 E'2ri$c7

%%G3 has more than eight decades of trust and credibility in the 3ndian stock

market. 3n the Asia 6oney Broker9s poll held recently, %%G3 won the R3ndia9s best

broking division in February ?>>>, it has been providing institutional-level research

and broking services to individual investors.

> Tch$o&og)7

share shops across ++> cities in 3ndia where you can get personali"ed

services.

4 K$o6&dg73n a business where the right information at the right time can translate into

direct profit, you get access to wide range of information on our content- rich portal,

%harekhan.com. ou will also get a useful set of knowledge-based tools that will

empower you to take informed decisions.

, Co$:$i$c7

ou can all our !ial-n-Trade number to get investment and e#ecute your

transaction.


53/126


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ANA.YSIS

The 5b:ective of this analysis is to evaluate the profit=loss position futures and

options. This analysis is based on sample data taken of NT+C %crip. This analysisconsidered the 3ANUARY contract of NT+C. The lot %i"e of NT+C is 1>,, thetime period in which this analysis done is from 01


56/126


/RA+H ON +RICE MOVEMENTS OF NT+C FUTURES

FUTURE MARKET

B10/ %0;;0/

+=+=?>>)buying* 162.25 +?.?

+I=?=?>> )$losing period* 177.25 +II.?

Profit +.>> ;oss +.>>

Profit + # +?J ?D@I, ;oss + # +? J ?D@I

Because buyer future price will increase so, profit also increases, seller future price

also increase so, and he can get loss. 3ncase seller future will decrease, he can get

profit.

The closing price of TP$ at the end of the contract period is +II.? and this is

considered as settlement price.

The following table e#plains the market price and premiums of calls.

The first column e#plains T/A!37 !AT0.

%econd column e#plains the %P5T 6A/G0T P/3$0 in cash segmenton that date.

The fifth column e#plains the F1T1/0 6A/G0T P/3$0 in cash

segment on that date.

104


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CA.. +RICES

PRICES

PRIMIU

M

DATESPOTP!CE

"#T#EP!CE 1$% 15% 16% 17% 175

20-Jan-09 176.1 185.95 45 21.45 11 13.75

21-Jan-09 182.7 179.95 * * * 15.55 *

22-Jan-09 182 178.55 * * * 12 *

23-Jan-09 178 179.85 * * 17.95 12 *

24-Jan-09 * * * * *

25-Jan-09 * * * * *

26-Jan-09 * * * * *

27-Jan-09 180.55 190.1 * 35 24 13.25 *

28-Jan-09 190.1 191.25 * * 28 22.8 *

29-Jan-09 189.9 190.25 * * * 20 *

30-Jan-09 187.4 189.65 49 34.75 28.9 18.25 *

31-Jan-09 * * * * *

1-Feb-09 * * * * *

2-Feb-09 188.5 181.2 43 29 19.05 *

3-Feb-09 182 176.9 * * 22 16 *

4-Feb-09 177 176.85 * * 22.5 14 *

5-Feb-09 177 176.85 * * 18.85 11 7.2

6-Feb-09 180 180.35 * * * 12 9.6

7-Feb-09 * * * * *

8-Feb-09 * * * * *

9-Feb-09 182 182.95 * * 23 12.5 *

10-Feb-09 183.9 180.3 * * * 15.5 *

11-Feb-09 178.1 180.45 * * * 15 7.05

12-Feb-09 179 179.85 * * * 12.65 *

13-Feb-09 180.7 182.95 * * * 14.5 *

14-Feb-09 * * * * *

15-Feb-09 * * * * *

16-Feb-09 184.5 182.95 * * * 9.7 7.35

17-Feb-09 177.05 180.3 26 * 9 5

18-Feb-09 172 180.45 0 27 6.5 2.85

104


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OBSERVATION AND FINDIN/S

+UT O+TION

BUYERS +AY OFF7

Those who have purchase put option at a strike price of +I>, the premium

payable is +>

5n the e#piry date the spot market price enclosed at +I?

%trike Price +I>.>>

%pot Price +I?.>>

et pay off - >?.>> # +? J @?> JJJJJ

Already Premium paid +>

%o, it can get loss is @?>

Because it is negative, o% of %h Mo$) contract, ence buyer gets more loss,incase %pot price decrease in below strike price, buyer get profit in premium level.

SE..ERS +AY OFF7

As %eller is entitled only for premium so, if he is in profit and also seller has

to borne total profit.

%pot price +I?.>>

%trike price +I>.>>

et pay off >?.>> # +? J @?>

JJJJJJ

Already Premium received +>

%o, it can get profit is @?>

Because it is positive, i$ %h Mo$) $ontract, ence %eller gets more profit,incase %pot price decrease in below strike price %eller can get loss in premium

level.

104


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DATA OF NT+C < THE FUTURES AND O+TIONS OF THE 3AN


62/126


OBSERVATIONS AND FINDIN/S

The future price of 57$ is moving along with the market price.

3f the buy price of the future is less than the settlement price, than the buyer

of a future gets profit.

3f the selling price of the future is less than the settlement price, than the

seller incur losses.

TRADIN/ STRATE/IES INVO.VIN/ O+TIONS

104


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S+READS7 A spread trading strategies are most popular tools2 these are used

when there is a grate chance to go up=down these spreads are used. %preads are twotypes Bullish and Bearish %preads.

BU.. S+READS7 5ne of the most popular types spreads is a bull spread. This

can be created by buying a call option on a stock with a certain strike price and

selling a call option on the same stock with a higher strike price. Both options have

the same e#piration date. The strategy is illustrated in figure. The profit from the

whole strategy is the sum of the profits given by both long and short call. Because

a call price always decreases as the strike price increases, the value of the optionsold is always less than the value of the option bought. A bull spread, when created

from calls, therefore re'uires an initial investment.

F371/0: Profit from bull spread created using call option

G+ G? %t

3f the stock price does well and is greater than the higher strike price, the payoff is

the difference between the two strike prices, or k?-k+. 3f the stock price, on the

104


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e#piration date lies between the two strike prices, the payoff is %UT-G+. 3f the stock

price on the e#piration dates below the lower strike price, the payoffs "ero. The

profit is calculated by subtracting the initial investment from the pay off.

%tock price Pay off from long

call option

Payoff from short

call option

Total payoff

%t V G? %t-G+ -)%T-G?* G?-G+

G+O %t O G? %t-G+ > %T-G+

%tW G+ > > >

A bull spread strategy limits the investors upside as well as down side risk. The

strategy can be described by saying that the investor has a call option with strike

price e'ual to G+ and has chosen to give up some upside potential by selling a call

option with strike price G?)G?NG+*. 3n return for giving upside potential, the

investor gets the price of the option with strike priceG?.

F371/0 8 Profit from bull spread created using put options

Profit

104


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G? k+ %t

B0A/ %P/0A!%8 An investor who enters into a bull spread is hoping that the

stock price will increase. By contrast, an investor who enters into a bear spread is

hopping that the stock price will decline. Bear spreads can be created by buying a

put with one strike price and selling a put with another strike price. The strike price

of the option purchased is grater than the strike price of the option sold. ) this is in

contrast to a bull spread, where the strike price of the option purchased is always

less than the strike price of the option sold.*

%tock price Payoff from long

put option

Payoff from short

put option

Total payoff

%t V G? > > >

G+O %t O G? G? M %t > G? M %t%tW G+ G? - %t - )G+ - %t* G? M k+

3n figure the profit from the spread is shown by the solid line. A bear spread

created from puts involves an initial cash outflow because the piece of the put

purchased. 3n essence, the investor has bought a put with certain strike price and

chosen to give up some of the profit potential by selling a put with a lower strike

price. 3n return for the profit given up, the investor gets the price of the option sold.

104


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F371/08 Profit from bear spread created using put option.

Profit

G+ G? %t

Assume that the strike prices are G+ and G?. Table shows the payoff that will be

reali"ed from a bear spread in different circumstances. 3f the stock price is grater

than G?, the payoff is "ero. 3f the stock price is less than G+, the payoff is G? M

G+. 3f the stock price is between G+ and G?, the payoff is G? M%t. The profit is

calculated by subtracting the initial cost from the payoff.

F371/0: Profit from bear spread created using call option.

104


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Profit

G+ G?

104


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T0$3$A; AA;%3% B 1%37 65L37 AL0/A70%8

Price Crosses Moving Average:

D(cri2%io$

A moving average is an indicator that shows the average value of a securityXs price

over a period of time. This type of Technical 0ventY occurs when the price crosses

a moving average. Three moving averages are supported8 ?+, > and ?>> price

bars. A price cross of a longer moving average indicates a longer term signal, in

that the security may take a longer period of time to move in the anticipated

direction.

A bullish signal is generated when the securityXs price rises above its moving

average and a bearish signal is generated when the securityXs price falls below its

moving average.

After a crossover is identified, it is considered Znot yet confirmedZ. Then additional

confirmation is sought by watching the slope of the moving average. A bullish

event is ZconfirmedZ if the moving average turns upward within XX price bars,

where XX is the period of the moving average. For a bearish event, the moving

average must turn downward as confirmation. 3n some cases, the moving average

does not slope in the desired direction soon enough after the crossover, in which

case the event is considered Znever confirmedZ.

These events are based on simple moving averages. A simple moving average is

one where e'ual weight is given to each price over the calculation period. For

e#ample, a ?+-day simple moving average is calculated by taking the sum of the

last ?+ days of a stockXs close price and then dividing by ?+. 5ther types of moving

averages, which are not supported here, are weighted averages and e#ponentially

smoothed averages.

104


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Tradi$g Co$(idra%io$(

6oving averages are lagging indicators because they use historical information.

1sing them as indicators will not get you in at the bottom and out at the top butwill get you in and out somewhere in between.

They work best in trending price patterns, where an uptrend or downtrend is firmly

in place.

3n trending markets, moving averages can provide a very simple and effective

method of identifying trends.

6oving averages also act as support areas. ou will often see a stock in an uptrend

rise well above its ?+ day moving average, return to it and then rise again.

6oving averages also act as resistance areas. > day moving average.

104


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Do& Mo:i$g A:rag Cro((o:r7

D(cri2%io$

A moving average is an indicator that shows the average value of a securityXs price

over a period of time. This type of Technical 0ventY occurs when a shorter and

longer moving average cross each other. The supported crossovers are ?+ crossing

> )a short term signal* and > crossing ?>> )a long term signal*.

A bullish signal is generated when the shorter moving average crosses above the

longer moving average. A bearish signal is generated when the shorter moving

average crosses below the longer moving average.

These events are based on simple moving averages. A simple moving average is

one where e'ual weight is given to each price over the calculation period. For

e#ample, a ?+-day simple moving average is calculated by taking the sum of the

last ?+ days of a stockXs close price and then dividing by ?+. 5ther types of moving

averages, which are not supported here, are weighted averages and e#ponentially

smoothed averages.

104


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72/126


The future prices at %0;; and B1;; %ignals8

CASE18The price at sell signal ?DD>

The price at buy signal +@

Profit J selling price M buying price

J ?DD> M +@

JIII

ow,

the total profit J ;ot si"e S Profit J I S III

TOTA. +ROFIT,#>?,

CASE>7 The price at sell signal +

The price at buy signal +@


104


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J +-+@

J?

ow,

the total profit J ;ot si"e S Profit J I S ? TOTA. +ROFIT1,0

CASE The price at sell signal +

The price at buy signal +@ID


J + - +@ID J?+

ow,

the total profit J ;ot si"e S Profit J I S ?+

TOTA. +ROFIT>1#>,

CASE4 The price at sell signal +D

The price at buy signal +@ID


J +D - +@ID

JI+

ow,

the total profit J ;ot si"e S Profit J I S I+

TOTA. +ROFIT4>#>,

104


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The price at buy signal +D


J ?+4D - +D

J4

ow,

the total profit J ;ot si"e S Profit J I S 4

TOTA. +ROFIT,1?,

CASE>7 The price at sell signal +I

The price at buy signal +D


J +I - +D

J?

ow,

the total profit J ;ot si"e S Profit J I S ?

TOTA. +ROFIT>>>00

ANNEURE 17

1 UNITECH7

DATE rd 3a$ >014

I$:(%$% >4002G& >> ?D>> >

104


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13T0$ D-Kan-+D 4 .? . D>>> ??D>> -D>>>

13T0$ -Kan-+D .4 D.@ D.4 D>>> ?D>> -I>>>

13T0$ -Kan-+D . +.? +. D>>> ?DD>> -?>>>>13T0$ I-Kan-+D ?. +.> +.D D>>> ?D>> -?>4>>

13T0$ +>-Kan-+D ?. 4.4 .@ D>>> ?@I?>> -??>>

13T0$ ++-Kan-+D .4 D.D .@ D>>> ??+D>> -D>>>13T0$ +?-Kan-+D .D D.+ 4. D>>> ?@4>> -@>>>

13T0$ +@-Kan-+D +. I. .4 D>>> ?@?>> -?I?>>

13T0$ +D-Kan-+D >. .4 I.D D>>> ??4>> -@>>13T0$ +I-Kan-+D 4.4 . . D>>> ??I>> -@44>>

13T0$ +4-Kan-+D 4.+ . I. D>>> ?@>D>> -@>>>

13T0$ +-Kan-+D . .? .> D>>> ?@?>> -@>?>>

13T0$ ?>-Kan-+D .+ . I. D>>> ?@+>> -@D4>>13T0$ ?+-Kan-+D 4. . I.+ D>>> ??4>> -@I4>>

13T0$ ?D-Kan-+D 4.? .I I. D>>> ?@+>> -@D4>>

13T0$ ?-Kan-+D 4. .I . D>>> ??@4>> -D?>>

13T0$ ?I-Kan-+D I ?. @.@ D>>> ?+@?>> -@?>>13T0$ ?4-Kan-+D @.D D4. +.> D>>> ?>D?>> -??>>

13T0$ @+-Kan-+D >. D. D4.> D>>> +??>> -ID?>>13T0$ +-Feb-+D D D?.@ D@.> D>>> +I??>> -D?>>

13T0$ ?-Feb-+D DI.> DD D.+ D>>> +4>>> -44>>

13T0$ @-Feb-+D D.I DD.@ D.D D>>> +44>> -4>>>13T0$ D-Feb-+D D.@ D?. D@.+ D>>> +I?D>> -D>>>

13T0$ I-Feb-+D D [email protected] DD.? D>>> +II>>> -4D>>

A$a&)(i( 7

As on @rd

Kanuary, the amount invested in the shares of 13T0$ was ?D>> by purchasing the D>>> 'uantity of shares at close price of /s..

)D>>> # . J ?D>>*

But on Ith February the price of the shares of the company fell down to /s.DD.?

Thus by selling the shares after holding it till I th February , the total loss is

/s.4D>> was observed.

;oss on + share by selling the shares on Ith February . -DD.? J??.@

ence, total loss by selling D>>> shares J D>>> # ??.@ J4D>>.

a Shor% f%r 7

3nvestment 8 ?D>>

Profit= ;oss 8 -I?>>>

0#piry date 8 ?D-Feb-?>+D

104


77/126


SHORT FUTURE>4

SYMBO. DATE HI/H+RICE.O5+RICE

C.OSE+RICE =TY

TOTA.VA.UE +G.

13T0$ -Kan-+D .? ?.> ?.D D>>> ?D>> >

13T0$ I-Kan-+D @.D +. +. D>>> ?DI>> -?>>>

13T0$ +>-Kan-+D @ .D .I D>>> ?@>>> -+>>>13T0$ ++-Kan-+D >.+ . D>>> ??@>> -?>>>

13T0$ +?-Kan-+D .4 D. . D>>> ?@4D>> -++?>>

13T0$ +@-Kan-+D ? 4.> >.? D>>> ?D+>>> -4>>13T0$ +D-Kan-+D +.D I. 4.> D>>> ?@??>> -+ID>>

13T0$ +I-Kan-+D . I.? D>>> ??>>> -?>>>13T0$ +4-Kan-+D 4.D .> 4.+ D>>> ?@?D>> -+I?>>

13T0$ +-Kan-+D . .4 .@ D>>> ?@I?>> -+?D>>13T0$ ?>-Kan-+D .D I.D 4. D>>> ?@D>>> -+>>

13T0$ ?+-Kan-+D .@ I.? I.I D>>> ?@+>>> -+4>>

13T0$ ?D-Kan-+D 4. I.? 4.@ D>>> ?@@D>> -+?>>13T0$ ?-Kan-+D .? .D D>>> ??>> -?D>>>

13T0$ ?I-Kan-+D I.+ @.@ @.4 D>>> ?+?>> -@DD>>

104


78/126


13T0$ ?4-Kan-+D @.4 D4. +.D D>>> ?>>> -DD>>>

13T0$ @+-Kan-+D +.? DI.? D4.D D>>> +@4>> -4>>

13T0$ +-Feb-+D D4.I D?.D D@.+ D>>> +I?D>> -II?>>13T0$ ?-Feb-+D DI.? DD.? D.? D>>> +4>4>> -44>>

13T0$ @-Feb-+D D.4 DD. D. D>>> +4>>> -@>>

13T0$ D-Feb-+D D D?. D@ D>>> +I?>>> -II>>13T0$ I-Feb-+D D.+ [email protected] DD.D D>>> +II>> -I?>>>

A$a&)(i(70nter into short futures on th Kanuary at /s. ?.D

By holding it till Ith February, we may reduce the loss from /s.4D>> to I?>>>

;oss on + share by selling the shares on Ith February ?.D - DD.D J +4

ence, total loss by selling D>>> shares J D>>> # +4J I?>>>

Shor% 2% 7 !ate8 @rd Kan ?>+D

3nvestment 8 ?D>>

Profit= ;oss 8 -I?>>>

0#piry date 8 ?D-Feb-?>+D

SHORT +UT 4

%6B5; !AT0 %TG.P/3$0

$;5%0

P/3$0

%0TT;0

P/3$0

5.5F

$T/T HT T5T.LA;10 P=;

13T0$ -Kan-+D D +. > D>>> +>>>13T0$ I-Kan-+D D +. > D>>> +>>>

13T0$ +>-Kan-+D ? ? + D>>> 4>>> -4>

13T0$ ++-Kan-+D @. @. + D>>> +4>> -?13T0$ +?-Kan-+D @. @ > D>>> +4>> -?

13T0$ +@-Kan-+D @. ?. > D>>> +4>> -?

13T0$ +D-Kan-+D @. @.D > D>>> +4>> -?

13T0$ +I-Kan-+D @. @.@ > D>>> +4>> -?

13T0$ +4-Kan-+D @.+ @.+ D D>>> +?>> -@D13T0$ +-Kan-+D @.+ ?.@ > D>>> +?>> -@D

13T0$ ?>-Kan-+D ?.@ ?.@ + D>>> ?>> -413T0$ ?+-Kan-+D ?.? ?.? +? D>>> >>> -I>

13T0$ ?D-Kan-+D ?.> ?.> ? D>>> 4?>> -I4

13T0$ ?-Kan-+D ?.4 ?.4 D D>>> ++?>> -D413T0$ ?I-Kan-+D @. @. +> D>>> +D>> -+D

13T0$ ?4-Kan-+D . . ++ D>>> ??D>> D

104


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80/126


T$% +-Feb-+D ++ ++@@ ++>.+ >> I>I

T$% ?-Feb-+D ++4. ++?.@ ++4?.D >> +??

T$% @-Feb-+D ++.I ++I>. [email protected] >> +4>T$% D-Feb-+D ++4@.+ ++D>.? ++D4.4 >> IDD>>

T$% I-Feb-+D ++I@. ++?. ++@+.+ >> I

A$a&)(i(7As on @rd 6arch, the amount invested in the shares of T$% was /s.I>? by

purchasing the >> 'uantity of shares at close price of /s.++4.>

)>> # ++4.> J I>?*

But on Ith February, the price of the shares of the company fell down to ++@+.+

Thus by selling the shares after holding it till Ith February, the total loss of

/s.+@D> was observed.

;oss on + share by selling the shares on Ith February ++4.> M ++@+.+ J ?.

ence, total loss by selling >> shares J >> # ??.@ J +@D>.

SHORT FUTURE

DATE rd 3a$ >014I$:(%$% ,???,2G& > II >

T$% +>-Kan-+D ?D-Feb-+D ++>.@ ++@> ++@@.@ >> >-

+>>?

T$% ++-Kan-+D ?D-Feb-+D [email protected] +> ++>.? >> @+?

-

?@>

T$% +?-Kan-+D ?D-Feb-+D ++4.@ ++?>.+ ++@. >> 4? -4>

T$% +@-Kan-+D ?D-Feb-+D ++> ++?@.? ++@>.4 >> D>> -++?I

T$% +D-Kan-+D ?D-Feb-+D ++.+ ++??.? ++?.4 >> ??

-

+@I>

T$% +I-Kan-+D ?D-Feb-+D ++>.+ ++?D. ++D?.? >> I++>> -I

T$% +4-Kan-+D ?D-Feb-+D +?+?.? ++. +?>4. >> >D?I ?I>>

T$% +-Kan-+D ?D-Feb-+D +?+? ++>. ++.4 >> 4D>> ?+I?

T$% ?>-Kan-+D ?D-Feb-+D +??+ ++4.I +?+I.4 >> >4>> @???T$% ?+-Kan-+D ?D-Feb-+D +??>.+ +?>4.? +?+.@ >> >I> @>I

T$% ?D-Kan-+D ?D-Feb-+D +??+.I +?>@.? +?++.+ >> >I ?4>>

T$% ?-Kan-+D ?D-Feb-+D +??+.? ++4. ++?. >> @>> +?

T$% ?I-Kan-+D ?D-Feb-+D +?++ ++44 +?>?.@ >> >++> ?DDI

T$% ?4-Kan-+D ?D-Feb-+D +?> ++I? ++44.@ >> D+I +I>>

T$% @+-Kan-+D ?D-Feb-+D ++I.? ++@I +++. >> 4>4>> D+?

T$% +-Feb-+D ?D-Feb-+D ++D.? ++@. +++. >> II -I>>

104


81/126


82/126


T$% ?4-Kan-+D +>>> ?. ?. ?> >> +@? -@I

T$% @+-Kan-+D +>>> D D @> >> ?>>> @>

T$% +-Feb-+D +>>> @.4 @.4 @ >> +? ??

T$% ?-Feb-+D +>>> ?.I ?.I @D >> +@> -@

T$% @-Feb-+D +>>> ?.? ?.? ++ >> ++>> ->T$% D-Feb-+D +>>> @.@ @.@ ++ >> +> -

T$% I-Feb-+D +>>> @.? @.? @ >> +>> -+>

ANA.YSIS70nter into a short put on th Kan at /s @.D

But on Ith February, the share price fall down to @.?

;oss on + share by selling the shares on Ith February @.D M @.? J >.?

ence, total loss by selling >> shares J >> # >.? J +>>

By holding it till Ith Feb ,we can reduce the loss to /s.+>>

ANNEURE7 SAI.

!AT0 @rd Kan ?>+D @@@@@@@@@@@@@

3nvestment +4I>

p=l -?I>

Buy %tock

[+4I.

%6B5; !AT0 37P/3$0

;5<

P/3$0

$;5%0

P/3$0 HT

T5TA;

LA;10 P=;%A3; @-Kan-+D +44.D +4@. +4I. +>>> +4I> >

%A3; D-Kan-+D +4.I +4I.+ +4.? +>>> +4?>> +?>

%A3; -Kan-+D +44.D +4D.? +4. +>>> +4> -?D>>%A3; -Kan-+D +4I. +4D.+ +4.+ +>>> +4+> -?4>>

%A3; I-Kan-+D +4 +I4 +I4.4 +>>> +I44> -+>>

%A3; +>-Kan-+D +I.D +I.+ +II.? +>>> +II?> -+>I>>%A3; ++-Kan-+D +II.4 +I+ +I. +>>> +I> -+?@>>

%A3; +?-Kan-+D +I4. +I?. +II +>>> +II>>> -+>>

%A3; +@-Kan-+D +I.4 +I+.@ +I?.@ +>>> +I?@>> -+>%A3; +D-Kan-+D +4 +.? ++.D +>>> ++D>> -?>

%A3; +I-Kan-+D +?. +.D +I.+ +>>> +I+> -@>4>>

%A3; +4-Kan-+D +?.I +I. +? +>>> +?>>> -?>

%A3; +-Kan-+D +I+. +? +.I +>>> +I> -+4?>>

104


83/126


84/126


%A3; +4-Kan+D +@. +4. +?. +>>> +?>> -+@+>

%A3; +-Kan+D +I+.4 +@ +. +>>> +>> -+>

%A3; ?>-Kan+D +I> + +.? +>>> +?>> -4>%A3; ?+-Kan+D +. +I. +4.+ +>>> +4+>> -I>

%A3; ?D-Kan+D +4. +.4 +.@ +>>> +@>> -I>

%A3; ?-Kan+D +4. +>.D ++.I +>>> ++I>> -+D@>%A3; ?I-Kan+D +@. +4.@ + +>>> +>>> -+I>>

%A3; ?4-Kan+D ++.+ +.+ +. +>>> +>> -+>

%A3; @+-Kan+D +?.I +. +?.+ +>>> +?+>> -+@>%A3; +-Feb-+D [email protected] +4.? ++.@ +>>> ++@> -+DI>>

%A3; ?-Feb-+D [email protected] +>. ++.+ +>>> +++> -+D>>

%A3; @-Feb-+D +.I +.@ +.+ +>>> ++>> -+>>

%A3; D-Feb-+D +.> +>.D ++. +>>> ++> -+D>>%A3; I-Feb-+D +?. +> +>.4 +>>> +>4>> -+?>

ANA.YSIS70nter into short future on th Kan at R( 1?0,

But on Ith February, the share price fall down to +>.4

;oss on + share by selling the shares on Ith February +I.> M +>.4 J +.?

ence, total loss by selling +>>> shares J +>>> # +.? J +?>

By holding it till IT Feb,we may reduce the loss R( >?,,0 from to 1,>,0

SHORT +UT7 DATE rd 3a$ >014

I$:(%$% >,02G& 4 .? .? 4 +>>> ?> >

%A3; +>-Kan-+D +4> ++ ++ @ +>>> ++>>> +I>%A3; ++-Kan-+D +4> +@ +@ ? +>>> +@>>> @I>

%A3; +?-Kan-+D +4> +@ +>. > +>>> +@>>> @I>

%A3; +@-Kan-+D +4> +.> +.> +>>> +>> 4>>%A3; +D-Kan-+D +4> ?+. ?+. ? +>>> ?+> +?I>>

%A3; +I-Kan-+D +4> ?D.> ?D.> + +>>> ?D>> +D4>>

%A3; +4-Kan-+D +4> ?> ?> + +>>> ?>>>> +>I>%A3; +-Kan-+D +4> +?. +?. + +>>> +?>> @?>

104


85/126


%A3; ?>-Kan-+D +4> +?. +I.? > +>>> +?>> @?>

%A3; ?+-Kan-+D +4> + + + +>>> +>>> I>

%A3; ?D-Kan-+D +4> + + + +>>> +>>> I>%A3; ?-Kan-+D +4> ?> ?> D +>>> ?>>>> +>I>

%A3; ?I-Kan-+D +4> ?>. ?>. + +>>> ?>>> ++>

%A3; ?4-Kan-+D +4> [email protected] [email protected] + +>>> ?@4>> +D>%A3; @+-Kan-+D +4> [email protected] ?>.@ > +>>> ?@4>> +D>

%A3; +-Feb-+D +4> [email protected] ?>.+ > +>>> ?@4>> +D>

%A3; ?-Feb-+D +4> [email protected] ?>. > +>>> ?@4>> +D>%A3; @-Feb-+D +4> [email protected] +I.> > +>>> ?@4>> +D>

%A3; D-Feb-+D +4> [email protected] +.+ > +>>> ?@4>> +D>

%A3; I-Feb-+D +4> [email protected] +.4 > +>>> ?@4>> +D>

ANA.YSIS70nter into a short put on Ith Kan at /s .?. %o investment is .? # +>>>J?>

But the share price was increased to [email protected] on Ith February.

Profit on + share by selling the shares on Ith February [email protected] M .? J +D.ence, total profit by selling +>>> shares J +>>> # +D. J +D>

By holding it till Ith Feb ,we can earn the profit of /s.+D>

[email protected]

!AT0 @rd Kan ?>+D mmmmmmmmmm

3nvestment ?@>>

p=l -@+@I.

Buy %tock [+>.

%6B5; !AT0 37P/3$0

;5<

P/3$0 $;5%0P/3$0 HT T5TA;LA;10 P=;/0;3A$0 @-Kan-+D +>. +>?. +>. ?> ?@>>

/0;3A$0 D-Kan-+D +>I. +>I.@ +>II.+ ?> ??I

/0;3A$0 -Kan-+D +>> +>I> +>I.4 ?> ?4>

/0;3A$0 -Kan-+D +>+.D +>ID. +>4. ?> ?I+D>> I/0;3A$0 I-Kan-+D +>4I.I +>4 +>.D ?> ?@> ?

/0;3A$0 +>-Kan-+D +>I>.D +>?+.? +>@@.D ?> ?4@?. -

/0;3A$0 ++-Kan-+D +>D4.I 4. +>[email protected] ?> ?@D@I. -+>D

/0;3A$0 +?-Kan-+D +>@. +>>@ +>@>.4 ?> ?II>> -/0;3A$0 +@-Kan-+D +>@.+ +>++.+ +>+.@ ?> ?@4@I. -+>>

/0;3A$0 +D-Kan-+D +>?.4 4 +>>+. ?> ?>@I -+@/0;3A$0 +I-Kan-+D +>>4 ?.> I. ?> ?DDI -+D

/0;3A$0 +4-Kan-+D +>>4 > D.4 ?> ?D4I+?. -++

/0;3A$0 +-Kan-+D +>> I 4>.+ ?> ?D>@I. -+44/0;3A$0 ?>-Kan-+D II. D. .4 ?> ?D?D?. -?+D

/0;3A$0 ?+-Kan-+D ?. I@ 4.4 ?> ?DI>> -+I

104


86/126


87/126


/0;3A$

0 +I-Kan-+D +>+. +>>>.> +>>I.4 ?> ?+?. -@I/0;3A$

0 +4-Kan-+D +>+I. . +>>.+ ?> ?+?I -DD@I

/0;3A$0 +-Kan-+D +>+D.D 4D 4. ?> ?DI@4I. -4@

/0;3A$

0 ?>-Kan-+D 4 D.@ 4> ?> ?D>>> +>I+?

/0;3A$

0 ?+-Kan-+D 4+. @. ?> ?D4D4I. -I?/0;3A$

0 ?D-Kan-+D +>>?. I?.? I.4 ?> ?DD?. -+>I

/0;3A$

0 ?-Kan-+D + .I ?> ?D+4I. -+D>/0;3A$

0 ?I-Kan-+D ID D.? D.I ?> ?@ID@I. -+4?

/0;3A$

0 ?4-Kan-+D +.4 >4.@ ?>. ?> ?@>+@I. -?/0;3A$

0 @+-Kan-+D @ >4 ?.I ?> ?@+D@I. -?D?

/0;3A$

0 +-Feb-+D @?.@ 4 >+. ?> ??@4I. -@>@

/0;3A$

0 ?-Feb-+D @+ +>.+ [email protected] ?> ?@>@I. -?DI

/0;3A$

0 @-Feb-+D D.D +I.+ D.D ?> ?@+?. -++/0;3A$

0 D-Feb-+D D4.D +@. +.D ?> ??4?. -?4

/0;3A$

0 I-Feb-+D [email protected] +D. @?. ?> ?@@?? ??D4I

ANA.YSIS70nter into short future on th Kan at /s. +>??.4

%o, the amount of investment is )?> # +>??.4 J ?I+?.

But on Ith February, the share price fall down to @?.

;oss on + share by selling the shares on Ith February +>??.4 M @?.J 4.

ence, total loss by selling ?> shares J ?> # 4. J ??D4I.

By holding it till IT Feb,we may reduce the loss /s @+@I. from to ??D4I.

104


88/126


SHORT +UT7

DATE rd 3a$ >014 I$:(%$% ,0>,

2G& 1,?,

E+DATE >4?> ?>.+ D> > ?> >? >

/0;3A$

0 +?-Kan-+D +>?> ?.@ ?.@ ? ?> I +>/0;3A$

0 +@-Kan-+D +>?> @ @ ? ?> 4I> @I?

/0;3A$

0 +D-Kan-+D +>?> ?4. ?4. ? ?> I+> ?+?

/0;3A$0 +I-Kan-+D +>?> D. D. ?> ++@I @>/0;3A$

0 +4-Kan-+D +>?> D. DD.D > ?> ++@I @>

/0;3A$

0 +-Kan-+D +>?> @ @ @ ?> I> DI?

/0;3A$

0 ?>-Kan-+D +>?> . . @ ?> +I@4I. +?@?.

/0;3A$

0 ?+-Kan-+D +>?> DI.D DI.D +4 ?> ++4?. 4@I.

/0;3A$

0 ?D-Kan-+D +>?> D D + ?> +@>> 4DI/0;3A$

0 ?-Kan-+D +>?> . . +> ?> +DI ++D>

/0;3A$

0 ?I-Kan-+D +>?> I.D I.D ?I ?> ++>> +D>I

/0;3A$

0 ?4-Kan-+D +>?> +>4.4 +>4.4 + ?> ?I?>> ??+I/0;3A$

0 @+-Kan-+D +>?> +>4.4 .> > ?> ?I?>> ??+I

/0;3A$

0 +-Feb-+D +>?> +? +? D ?> @+?> ???/0;3A$

0 ?-Feb-+D +>?> .D .D +? ?> ?D++?. +>4I.

/0;3A$

0 @-Feb-+D +>?> 4+.D 4+.D D ?> ?>@?. +@@I.

/0;3A$

0 D-Feb-+D +>?> 4+.D +>>.? > ?> ?>@?. +@@I./0;3A$ I-Feb-+D +>?> 4+.D +.@ > ?> ?>@?. +@@I.

104


89/126


0

ANA.YSIS70nter into a short put on th Kan at /s ?>.+

%o the amount invested is )?> # ?>.+J >? *But on Ith February, the share price goes up to 4+.D

Profit on + share by selling the shares on Ith February 4+.D M?>.+ J +.@

ence, total profit by selling ?> shares J ?> # +.@ J +@@I.

By holding it till Ith Feb ,we can earn the profit of /s. +@@I.

ANNEURE ,,BHARTI AIRTE.7

!AT0 @rd Kan ?>+D

3nvestment @@> p=l -?>>

Buy %tock [@.@

%6B5; !AT0 37P/3$0

;5<

P/3$0

$;5%0

P/3$0 HT

T5TA;

LA;10 P=;

BA/T3A/T; @-Kan-+D @ @D.I @.@ +>>> @@> >

BA/T3A/T; D-Kan-+D @+.4 @@.+ @.D +>>> @D>> -?>BA/T3A/T; -Kan-+D @.> @DI. @D +>>> @D>>> -+>@>

BA/T3A/T; -Kan-+D @.@ @D.+ @@.? +>>> @@?>> -+>BA/T3A/T; I-Kan-+D @D.4 @@D.D @@4. +>>> @@4>> -?>4>BA/T3A/T; +>-Kan-+D @D@. @@.> @@.+ +>>> @@+>> -?>?>

BA/T3A/T; ++-Kan-+D @D. @@D @@4.D +>>> @@4D> -?>>>

BA/T3A/T; +?-Kan-+D @+.? @@ @D.+ +>>> @D+>> -+>?>BA/T3A/T; +@-Kan-+D @D @D.+ @D. +>>> @D> -+?I>>

BA/T3A/T; +D-Kan-+D @+.D @D+.? @[email protected] +>>> @D@I> -+>>

BA/T3A/T; +I-Kan-+D @? @@. @D4. +>>> @D4>> -+>4>BA/T3A/T; +4-Kan-+D @+.@ @D@.+ @DD.D +>>> @DDD>> -+D>

BA/T3A/T; +-Kan-+D @D4.D @D+.I @DD.D +>>> @DDD> -+D>>

BA/T3A/T; ?>-Kan-+D @D@ @@4 @D>.@ +>>> @D>@>> -+>>

BA/T3A/T; ?+-Kan-+D @@. @@+ @@.> +>>> @@>> -?@@>>BA/T3A/T; ?D-Kan-+D @@I. @@?. @@@.+ +>>> @@@+>> -??>

BA/T3A/T; ?-Kan-+D @D>.4 @@@.+ @@I.I +>>> @@II> -?+>>

BA/T3A/T; ?I-Kan-+D @D> @?D.? @?. +>>> @?> -@@I>>BA/T3A/T; ?4-Kan-+D @@?.? @??. @?I.? +>>> @?I?> -@?+>>

BA/T3A/T; @+-Kan-+D @?@. @++ @+ +>>> @+>>> -D>@>

BA/T3A/T; +-Feb-+D @?I.4 @+> @+I.+ +>>> @+I+>> -D??>BA/T3A/T; ?-Feb-+D @?.4 @>D.D @??.4 +>>> @??4>> -@>

104


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BA/T3A/T; @-Feb-+D @D?.D @?>.D @@.4 +>>> @@4>> -+>

BA/T3A/T; D-Feb-+D @D@. @@>. @@?. +>>> @@?>> -?4>

BA/T3A/T; I-Feb-+D @DD.? @@? @@@.4 +>>> @@@4> -?>>

ANA.YSIS7

As on@rd 6A/$ the amount invested in the shares of BA/T3A/T; was /s.@@> by purchasing the +>>> number of shares at close price of @.@

)+>>> # @.@ J @@>*

But on Ith Feb the price of the shares of the company fell down to /s. @@@.4

;oss on + share by selling the shares on Ith February @.@ M @@@.4 J ?.

ence, total loss by selling +>>> shares J +>>> # ?.J ?>>

Thus by selling the shares after holding it till Ith Feb ,the total loss of /s. ?>>

was observed.a SHORT FUTURE7

DATE rd 3a$ >014I$:(%$% ,0002G& ,0E+DATE >4> @@>>>

A/T3A/T; -Kan-+D @4.? @D. @.@ +>>> @@>

A/T3A/T; I-Kan-+D @I.I @@4.D @D+.> +>>> @D+>> -+A/T3A/T; +>-Kan-+D @D.4 @@4.> @D?.? +>>> @D??> -+

A/T3A/T; ++-Kan-+D @D @@.I @D+.@ +>>> @D+@> -+A/T3A/T; +?-Kan-+D @@. @@4.+ @?.D +>>> @?D>>

A/T3A/T; +@-Kan-+D @. @DI @D4.D +>>> @D4D> -A/T3A/T; +D-Kan-+D @@. @DD.@ @D.D +>>> @DD>> -

A/T3A/T; +I-Kan-+D @@.@ @D>. @>.? +>>> @>?>> -

A/T3A/T; +4-Kan-+D @?. @D.D @DI.@ +>>> @DI@>&g

Date post:	01-Jun-2018
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