der@ktk with ABB.doc

A Project report on

A SHORT DERIVATIVES REPORT ON ABB

SUBMITTED

RSUSHEEL KUMAR

(HTNo 098ndash 060 ndash 117)

Project submitted in partial fulfillment for the award of the Degree ofMASTER OF BUSINESS ADMINISTRATION

Osmania University Hyderabad -500007

DECLARATION

I hereby declare that this Project Report titled A SHORT DERIVATIVES

REPORT ON ABB GROUP At Kotak securities Submitted by me to the

Department of Business Management OU Hyderabad is a bonafide

work undertaken by me and it is not submitted to any other University or

Institution for the award of any degree diploma certificate or published

any time before

Name and Address of the Student Signature of the Student

RSUSHEEL KUMARMC 436 MALAKPETHYDERBAD

ABSTRACT

The following are the steps involved in the study

1 Selection of the scrip-

The scrip selection is done on a random and the scrip selected isABB GROUP The lot size is

375 Profitability position of the futures buyer and seller and also the option holder and

option writer is studied

2 Data Collection-

The data of the ABB group Ltd Has been collected from ldquothe economic timesrdquo and the

internet

The data consists of the February contract and the period of data collection is from 1-FEB

2008-28th FEB 2008

3 Analysis-

The analysis consist of the tabulation of the data assessing the profitability positions of the

futures buyer and seller and also option holder and the option writer

ACKNOWLEDGEMENT

I am deeply indebted to my Head of the depar tment and

guide Mrs Umarani and MrViswanath Sharma who

have been a grea t source of s t rength and inspi ra t ion a t

every s tage of projec t work

I w o u l d l i k e t o a c k n o w l e d g e m y s i n c e r e t h a n k s t o

M r s B I n d i r a R e d d y p r i n c i p a l a n d M r R a g h a v a

R e d d y D i r e c t o r o f S t P a u l s P G C o l l e g e f o r

m a k i n g a l l t h e f a c i l i t i e s a v a i l a b l e t o m e

I am ext remely thanking to Mr BSRINIVAS Ass t

Manager of KOTAK SECURITIES and a lso o ther s ta f f

members of wi th out the i r k ind co-opera t ion and help the

projec t could not have been successful

DATE (RSUSHEEL KUMAR)

Table of contents Page No

Chapter ndash 1 Introduction

Scope 1Objectives 2Limitations 3

Chapter ndash 2 Review of literature

Introduction 5

History of Derivatives 6Development of derivatives market 10Arguments 13Need for derivatives 14Functions of derivatives market 15 Types of derivatives 16

Chapter ndash 3 The company

Company Profile 22Company Products 24

Chapter ndash 4 Data analysis and presentation 48

Chapter ndash 5 Summary and Conclusion

Findings 71Summary 72Conclusions 73Recommendations 74

Chapter 6 ndash Bibliography 75

Chapter ndash 1Introduction

The study is limited to ldquoDerivativesrdquo with special reference to futures and option in the

Indian context The study canrsquot be said as totally perfect Any alteration may come The study

has only made a humble attempt at evaluation derivatives market only in India context The

study is not based on the international perspective of derivatives markets which exists in

NASDAQ CBOT etc

OBJECTIVES OF THE STUDY

1 To analyze the derivatives traded in stock markets in India

2 To analyze the operations of futures and options

3 To find the profitloss position of futures buyer and seller and also the option writer and

option holder

4 To study about risk management in financial markets with the help of derivatives

LIMITATIONS OF THE STUDY

The following are the limitation of this study

1 The scrip chosen for analysis is ABB GROUP (ELECCTRICALS AND SWITCHES)

and the contract taken is February 2008 ending one ndashmonth contract

2 The data collected is completely restricted to the ABB GROUP (ELECCTRICALS

AND SWITCHES) of FEBRUARY 2008 hence this analysis cannot be taken universal

CHAPTER ndash 2Review Of Literature

DERIVATIVES-

The emergence of the market for derivatives products most notably forwards futures and

options can be tracked 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 However by locking-in asset prices derivative

product minimizes the impact of fluctuations in asset prices on the profitability and cash flow

situation of risk-averse investors

Derivatives are risk management instruments which derive their value from an

underlying asset The underlying asset can be bullion index share bonds currency interest

etc Banks Securities firms companies and investors to hedge risks to gain access to

cheaper money and to make profit use derivatives Derivatives are likely to grow even at a

faster rate in future

DEFINITION

Derivative is a product whose value is derived from the value of an underlying asset in a

contractual manner The underlying asset can be equity forex commodity or any other asset

1) Securities Contracts (Regulation)Act 1956 (SCR Act) defines ldquoderivativerdquo to secured

or unsecured risk instrument or contract for differences or any other form of security

2) A contract which derives its value from the prices or index of prices of underlying

securities

HISTORY OF DERIVATIVES

The history of derivatives is quite colorful and surprisingly a lot longer than most

people think Days back I compiled a list of the events that I thought shaped the

history of derivatives What follows here is a snapshot of the major events that I think

form the evolution of derivatives

I would like to first note that some of these stories are controversial Do they really

involve derivatives Or do the minds of people like myself and others see derivatives

everywhere

To start we need to go back to the Bible In Genesis Chapter 29 believed to be about

the year 1700 BC Jacob purchased an option costing him seven years of labor that

granted him the right to marry Labans daughter Rachel His prospective father-in-

law however reneged perhaps making this not only the first derivative but the first

default on a derivative Laban required Jacob to marry his older daughter Leah Jacob

married Leah but because he preferred Rachel he purchased another option

requiring seven more years of labor and finally married Rachel bigamy being

allowed in those days Some argue that Jacob really had forward contracts which

obligated him to the marriages but that does not matter Jacob did derivatives one-

way or the other

The first exchange for trading derivatives appeared to be the Royal Exchange in

London which permitted forward contracting The celebrated Dutch Tulip bulb

mania was characterized by forward contract on tulip bulbs around 1637

The first futures contracts are generally traced to the Yodoya rice market in

Osaka Japan around 1650 These were evidently standardized contracts which

made them much like todays futures although it is not known if the contracts were

marked to market daily or had credit guarantees

Probably the next major event and the most significant as far as the history of U S

futures markets was the creation of the Chicago Board of Trade in 1848 Due to its

prime location on Lake Michigan Chicago was developing as a major center for the

storage sale and distribution of Midwestern grain Due to the seasonality of grain

however Chicagos storage facilities were unable to accommodate the enormous

increase in supply that occurred following the harvest Similarly its facilities were

underutilized in the spring Chicago spot prices rose and fell drastically A group of

grain traders created the to-arrive contract which permitted farmers to lock in the

price and deliver the grain later This allowed the farmer to store the grain either on

the farm or at a storage facility nearby and deliver it to Chicago months later These

to-arrive contracts Proved useful as a device for hedging and speculating on price

changes Farmers and traders soon realized that the sale and delivery of the grain itself

was not nearly as important as the ability to transfer the price risk associated with the

grain The grain could always be sold and delivered anywhere else at any time These

contracts were eventually standardized around 1865 and in 1925 the first futures

clearinghouse was formed From that point on futures contracts were pretty much of

the form we know them today

In 1874 the Chicago Mercantile Exchanges predecessor the Chicago Produce

Exchange was formed It became the modern day Merc in 1919 Other exchanges had

been popping up around the country and continued to do so

The early twentieth century was a dark period for derivatives trading as bucket shops

were rampant Bucket shops are small operators in options and securities that

typically lure customers into transactions and then flee with the money setting up

shop elsewhere

In 1922 the federal government made its first effort to regulate the futures market

with the Grain Futures Act In 1972 the Chicago Mercantile Exchange responding to

the now-freely floating international currencies created the International Monetary

Market which allowed trading in currency futures These were the first futures

contracts that were not on physical commodities

In 1975 the Chicago Board of Trade created the first interest rate futures contract one

based on Ginnie Mae (GNMA) mortgages While the contract met with initial

success it eventually died In 1982 the CME created the Eurodollar contract which

has now surpassed the T -bond contract to become the most actively traded of all

futures contracts In 1982 the Kansas City Board of Trade launched the first stock

index futures a contract on the Value Line Index The Chicago Mercantile Exchange

quickly followed with their highly successful contract on the SampP 500 index

In 1973 marked the creation of both the Chicago Board Options Exchange and the

publication of perhaps the most famous formula in finance the option pricing model

of Fischer Black and Myron Scholes These events revolutionized the investment

world in ways no one could imagine at that time The Black-Scholes model as it

came to be known set up a mathematical framework that formed the basis for an

explosive revolution in the use of derivatives

In 1983 the Chicago Board Options Exchange decided to create an option on an

index of stocks Though originally known as the CBOE 100 Index it was soon turned

over to Standard and Poors and became known as the SampP 100 which remains the

most actively traded exchange-listed option

The Chicago Board of Trade (CBOT) the largest derivative exchange in the world

was established in 1848 where forward contracts on various commodities were

standardized around 1865 From then on futures contracts have remained more or less

in the same form as we know them today 1048766 In recent years exchanges have

increasingly move from the open outcry system to electronic trading

In 1994 the derivatives world was hit with a series of large losses on derivatives

trading announced by some well-known and highly experienced firms such as Procter

and Gamble and Metallgesellschaft

Derivatives have had a long presence in India The commodity derivative market has

been functioning in India since the nineteenth century with organized trading in cotton

through the establishment of Cotton Trade Association in 1875 Since then contracts

on various other commodities have been introduced as well Exchange traded

financial derivatives were introduced in India in June 2000 at the two major stock

exchanges NSE and BSE There are various contracts currently traded on these

exchangesNational Commodity amp Derivatives Exchange Limited (NCDEX) started

its operations in December 2003 to provide a platform for commodities tradingThe

derivatives market in India has grown exponentially especially at NSE Stock Futures

are the most highly traded contracts on NSE accounting for around 55 of the total

turnover of derivatives at NSE as on April 13 2005

DEVELOPMENT OF DERIVATIVES MARKET

The explosion of growth in Derivative markets coincide with the collapse of Bretton

Woods fixed exchange rate regime and the suspension of dollerrsquos convertibility into

gold Exchange rates became much more volatileand because interest rates affect and

are also affected by exchange rates interest rates also became more volatile A means

for managing risk was required Derivatives are powerful risk management tools This

need eventually resulted in the creation of the financial derivatives industry

DEVELOPMENT OF DERIVATIVES MARKET IN INDIA

The first step towards introduction of derivatives trading in India was the

promulgation of the Securities Laws(Amendment) Ordinance 1995 which withdrew

the prohibition on options in securities The market for derivatives however did not

take off as there was no regulatory framework to govern trading of derivatives SEBI

set up a 24ndashmember committee under the Chairmanship of DrLCGupta on

November 18 1996 to develop appropriate regulatory framework for derivatives

trading in India The committee submitted its report on March 17 1998 prescribing

necessary prendashconditions for introduction of derivatives trading in India The

committee recommended that derivatives should be declared as lsquosecuritiesrsquo so that

regulatory framework applicable to trading of lsquosecuritiesrsquo could also govern trading of

securities SEBI also set up a group in June 1998 under the Chairmanship of

ProfJRVarma to recommend measures for risk containment in derivatives market in

India The report which was submitted in October 1998 worked out the operational

details of margining system methodology for charging initial margins broker net

worth deposit requirement and realndashtime monitoring requirements

The Securities Contract Regulation Act (SCRA) was amended in December 1999 to

include derivatives within the ambit of lsquosecuritiesrsquo and the regulatory framework was

developed for governing derivatives trading The act also made it clear that

derivatives shall be legal and valid only if such contracts are traded on a recognized

stock exchange thus precluding OTC derivatives The government also rescinded in

March 2000 the threendash decade old notification which prohibited forward trading in

securities Derivatives trading commenced in India in June 2000 after SEBI granted

the final approval to this effect in May 2001 SEBI permitted the derivative segments

of two stock exchanges NSE and BSE and their clearing housecorporation to

commence trading and settlement in approved derivatives contracts To begin with

SEBI approved trading in index futures contracts based on SampP CNX Nifty and BSEndash

30(Sensex) index This was followed by approval for trading in options based on

these two indexes and options on individual securities The trading in BSE Sensex

options commenced on June 4 2001 and the trading in options on individual

securities commenced in July 2001 Futures contracts on individual stocks were

launched in November 2001 The derivatives trading on NSE commenced with SampP

CNX Nifty Index futures on June 12 2000 The trading in index options commenced

on June 4 2001 and trading in options on individual securities commenced on July 2

2001 Single stock futures were launched on November 9 2001 The index futures

and options contract on NSE are based on SampP CNX Trading and settlement in

derivative contracts is done in accordance with the rules byelaws and regulations of

the respective exchanges and their clearing housecorporation duly approved by SEBI

and notified in the official gazette Foreign Institutional Investors (FIIs) are permitted

to trade in all Exchange traded derivative products

Characteristics of derivatives

1Their value is derived from an underlying assetinstrument

2They are vehicles for transerfering risk

3They are leveraged instruments

ARGUMENTS IN FAVOUR OF DERIVATIVES

1 Higher liquidity

2 Avaliability of risk management products attracts more investors to the cash market

3 Arbitrage between cash and futures markets fetches additional business to cash market

4 Improvement in delivery based business

5 Lesser volatility

6 Improved Price discovery

ARGUMENTS AGAINST DERIVATIVES

1 Speculation It is felt that these instruments will increase the speculation in the

financial markets which resembles far reaching consequences

2 Market efficiency It is felt that Indian markets are not mature and efficient

enough to introduce these kinds of new instrumentsThese instruments require a

well functioning amp mature spot marketimperfection in the markets make

derivative market more difficult to function

3 VolatilityThe increased speculation amp inefficient market will make the spot

market more volatile with the introduction of derivatives

4 Counter party risk most of the derivative instruments are not exchange

tradedso there is a counter party default risk in these instruments

5 Liquidity risk liquidity of market means the ease with which one can enter or

get out of the marketThere is a continued debate about the Indian markets

capability to provide enough liquidity to derivative trader

NEED FOR A DERIVATIVES MARKET

The derivatives market performs a number of economic functions

1They help in transferring risks from risk averse people to risk oriented people

2They help in discovery of futures as well as current prices

3They catalyze entrepreneurial activity

4These markets increase volumes trading in market due to participation of risk averse

people

5They increase savings and investment in the longrun

PARTICIPANTS

The following three broad categories of participants in the derivatives market

HEDGERS

Hedgers face risk associated with the price of an asset They use futures or options

markets to reduce or eliminate this risk

SPECULATORS

Speculators wish to bet on future movements in the price of an asset Futures and options

contracts can give them an extra leverage that is they can increase both the potential gains

and potential losses in a speculative venture

ARBITRAGEURS

Arbitrageurs are in business to take of a discrepancy between prices in two different markets

if for example they see the futures price of an asset getting out of line with the cash price

they will take offsetting position in the two markets to lock in a profit

FUNCTIONS OF DERIVATIVES MARKETS

The following are the various functions that are performed by the derivatives markets

They are

1 Prices in an organized derivatives market reflect the perception of market participants

about the future and lead the price of underlying to the perceived future level

2 Derivatives market helps to transfer risks from those who have them but may not like

them to those who have an appetite for them

3 Derivatives trading acts as a catalyst for new entrepreneurial activity

4 Derivatives markets help increase saving and investment in long run

TYPES OF DERIVATIVES

The following are the various types of derivatives They are

FORWARDS

A forward contract is a customized contract between two entities where settlement takes place

on a specific date in the future at todayrsquos pre-agreed price

FUTURES

A futures contract is an agreement between two parties to buy or sell an asset at a certain time

in the at a certain price

OPTIONS

Options are of two types-calls and puts Calls give the buyer the right but not the obligation

to buy a given quantity of the underlying asset at a given price on or before a give future

date Puts give the buyer the right but not the obligation to sell a given quantity of the

underlying asset at a given price on or before a given date

CALL OPTIONS

A call options are the buyers optionsThey give the holder a right to buy a specific number of

underlying equity shares of a particular company at the strike price on or the before the

maturity

Put options

Put options are the sellers optionsThey give the holder a right to sell a specific number of

maturity

American options

American options are options are options that can be exercised at any time upto the

expiration date Most exchange-traded options are American

European options

European options are options that can be exercised only on the expiration date itself

European options are easier to analyze than American options and properties of an American

option are frequently deduced from those of its European counterpart

Swaps are private agreements between two parties to exchange cash floes in the future

according to a prearranged formula They can be regarded as portfolios of forward contracts

The two commonly used Swaps are

Interest rate Swaps

These entail swapping only the related cash flows between the parties in the same

currency

Currency Swaps

These entail swapping both principal and interest between the parties with the cash flows

in on direction being in a different currency than those in the opposite direction

SWAPTION

Swaptions are options to buy or sell a swap that will become operative at the expiry of the

options Thus a swaption is an option on a forward swap

WARRANTS

Options generally have lives of up to one year the majority of options traded on options

exchanges having a maximum maturity of nine months Longer-dated options are called

warrants and are generally traded over-the counter

The acronym LEAPS means long-term Equity Anticipation securities These are options

having a maturity of up to three years

BASKETS Basket options are options on portfolios of underlying assets The underlying

asset is usually a moving average of a basket of assets Equity index options are a form of

basket options

RATIONALE BEHIND THE DELOPMENT OF DERIVATIVES

Holding portfolios of securities is associated with the risk of the possibility that the investor

may realize his returns which would be much lesser than what he expected to get There are

various factors which affect the returns

1 Price or dividend (interest)

2 Some are internal to the firm like-

middot Industrial policy

middot Management capabilities

middot Consumerrsquos preference

middot Labor strike etc

These forces are to a large extent controllable and are termed as non systematic risks An

investor can easily manage such non-systematic by having a well-diversified portfolio spread

across the companies industries and groups so that a loss in one may easily be compensated

with a gain in other

There are yet other of influence which are external to the firm cannot be controlled and

affect large number of securities They are termed as systematic risk

They are

1Economic

2Political

3 Sociological changes are sources of systematic risk

For instance inflation interest rate etc their effect is to cause prices of nearly all-individual

stocks to move together in the same manner We therefore quite often find stock prices

falling from time to time in spite of companyrsquos earning rising and vice versa

Rational Behind the development of derivatives market is to manage this systematic risk

liquidity in the sense of being able to buy and sell relatively large amounts quickly without

substantial price concession

In debt market a large position of the total risk of securities is systematic Debt instruments

are also finite life securities with limited marketability due to their small size relative to many

common stocks Those factors favor 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

REGULATORY FRAMEWORK

The trading of derivatives is governed by the provisions contained in the SC R A the SEBI

Act and the regulations framed there under the rules and byelaws of stock exchanges

Regulation for Derivative Trading

SEBI set up a 24 member committed under Chairmanship of Dr L C Gupta develop the

appropriate regulatory framework for derivative trading in India The committee submitted its

report in March 1998 On May 11 1998 SEBI accepted the recommendations of the

committee and approved the phased introduction of derivatives trading in India beginning

with stock index Futures SEBI also approved he ldquosuggestive bye-lawsrdquo recommended by the

committee for regulation and control of trading and settlement of Derivative contract

The provision in the SCR Act governs the trading in the securities The amendment of the

SCR Act to include ldquoDERIVATIVESrdquo within the ambit of securities in the SCR Act made

trading in Derivatives possible with in the framework of the Act

1 Eligibility criteria as prescribed in the L C Gupta committee report may apply to SEBI

for grant of recognition under section 4 of the SCR Act 1956 to start Derivatives Trading

The derivative exchangesegment should have a separate governing council and

representation of tradingclearing member shall be limited to maximum 40 of the total

members of the governing council The exchange shall regulate the sales practices of its

members and will obtain approval of SEBI before start of Trading in any derivative contract

2 The exchange shall have minimum 50 members

3 The members of an existing segment of the exchange will not automatically become

the members of the derivatives segment The members of the derivatives segment need to

fulfill the eligibility conditions as lay down by the L C Gupta committee

4 The clearing and settlement of derivatives trades shall be through a SEBI approved

clearing corporationclearing house Clearing CorporationClearing House complying with

the eligibility conditions as lay down by the committee have to apply to SEBI for grant of

approval

5 Derivatives brokerdealers and Clearing members are required to seek registration from

6 The Minimum contract value shall not be less than Rs2 Lakh Exchange should also

submit details of the futures contract they purpose to introduce

7 The trading members are required to have qualified approved user and sales persons

who have passed a certification programme approved by SEBI

Chapter - 3THE COMPANY

COMPANY PROFILE

The Kotak Mahindra Group

Kotak Mahindra is one of Indias leading financial institutions offering complete

financial solutions that encompass every sphere of life From commercial banking to

stock broking to mutual funds to life insurance to investment banking the group

caters to the financial needs of individuals and corporates

The group has a net worth of around Rs 3100 crore employs around 9600 people in

its various businesses and has a distribution network of branches franchisees

representative offices and satellite offices across 300 cities and towns in India and

offices in New York London Dubai and Mauritius The Group services around 22

million customer accounts

Group Management

Mr Uday Kotak Executive Vice Chairman amp Managing DirectorMr Shivaji DamMr C JayaramMr Dipak Gupta

The Kotak Mahindra Group was born in 1985 as Kotak Capital Management Finance

Limited This company was promoted by Uday Kotak Sidney A A Pinto and Kotak

amp Company Industrialists Harish Mahindra and Anand Mahindra took a stake in

1986 and thats when the company changed its name to Kotak Mahindra Finance

Limited

Since then its been a steady and confident journey to growth and success

1986 Kotak Mahindra Finance Limited starts the activity of Bill Discounting 1987 Kotak Mahindra Finance Limited enters the Lease and Hire Purchase market1990 The Auto Finance division is started

1991The Investment Banking Division is started Takes over FICOM one of Indias largest financial retail marketing networks

1992 Enters the Funds Syndication sector

1995Brokerage and Distribution businesses incorporated into a separate company - Kotak Securities Investment Banking division incorporated into a separate company - Kotak Mahindra Capital Company

The Auto Finance Business is hived off into a separate company - Kotak Mahindra Prime Limited (formerly known as Kotak Mahindra Primus Limited) Kotak Mahindra takes a significant stake in Ford Credit Kotak Mahindra Limited for financing Ford vehicles The launch of Matrix Information Services Limited marks the Groups entry into information distribution

1998Enters the mutual fund market with the launch of Kotak Mahindra Asset Management Company

Kotak Mahindra ties up with Old Mutual plc for the Life Insurance businessKotak Securities launches its on-line broking site (now wwwkotaksecuritiescom) Commencement of private equity activity through setting up of Kotak Mahindra Venture Capital Fund

2001 Matrix sold to Friday CorporationLaunches Insurance Services

2003Kotak Mahindra Finance Ltd converts to a commercial bank - the first Indian company to do so

2004 Launches India Growth Fund a private equity fund2005 Kotak Group realigns joint venture in Ford Credit Buys Kotak Mahindra Prime

(formerly known as Kotak Mahindra Primus Limited) and sells Ford credit

Kotak MahindraLaunches a real estate fund

2006Bought the 25 stake held by Goldman Sachs in Kotak Mahindra Capital Company and Kotak Securities

COMPANY PRODUCTS

Kotak Mahindra Bank

At Kotak Mahindra Bank we address the entire spectrum of financial needs for

individuals and corporates we have the products the experience the infrastructure

and most importantly the commitment to deliver pragmatic end-to-end solutions that

really work

Kotak Mahindra Old Mutual Life Insurance is a 7624 joint venture between Kotak

Mahindra Bank Ltd and Old Mutual plc Kotak Mahindra Old Mutual Life Insurance

is one of the fastest growing insurance companies in India and has shown remarkable

growth since its inception in 2001

Old Mutual a company with 160 years experience in life insurance is an international

financial services group listed on the London Stock Exchange and included in the

FTSE 100 list of companies with assets under management worth $ 400 Billion as on

30th June 2006 For customers this joint venture translates into a company that

combines international expertise with the understanding of the local market

Car Finance

Kotak Mahindra Prime Limited (KMPL) is a subsidiary of Kotak Mahindra Bank

Limited formed to finance all passenger vehicles The company is dedicated to

financing and supporting automotive and automotive related manufacturers dealers

and retail customersThe Company offers car financing in the form of loans for the

entire range of passenger cars and multi utility vehicles The Company also offers

Inventory funding to car dealers and has entered into strategic arrangement with

various car manufacturers in India for being their preferred financier

Kotak Securities Ltd

Kotak Securities Ltd is Indias leading stock broking house with a market share of

around 85 as on 31st March Kotak Securities Ltd has been the largest in IPO

distribution

The accolades that Kotak Securities has been graced with include

middot Prime Ranking Award(2003-04)- Largest Distributor of IPOs

middot Finance Asia Award (2004)- Indias best Equity House

middot Finance Asia Award (2005)-Best Broker In India

middot Euromoney Award (2005)-Best Equities House In India

middot Finance Asia Award (2006)- Best Broker In India

middot Euromoney Award (2006) - Best Provider of Portfolio Management Equities

Kotak Securities Ltd - Institutional Equities

Kotak Securities a subsidiary of Kotak Mahindra Bank is the stock-broking and

distribution arm of the Kotak Mahindra Group The institutional business division

primarily covers secondary market broking It caters to the needs of foreign and

Indian institutional investors in Indian equities (both local shares and GDRs) The

division also has a comprehensive research cell with sectoral analysts covering all the

major areas of the Indian economy

Kotak Mahindra Capital Company (KMCC)

Kotak Mahindra Capital Company (KMCC) helps leading Indian corporations banks

financial institutions and government companies access domestic and international

capital markets

It has been a leader in the capital markets having consistently led the league tables for

lead management in the past five years leading 16 of the 20 largest Indian offerings

between fiscal 2000 and 2006

KMCC has the most current understanding of investor appetite having been the

leading book runnerlead manager in public equity offerings in the period FY 2002-06

Kotak Mahindra International

Kotak has wholly-owned subsidiaries with offices in Mauritius London Dubai and

New York These subsidiaries specialize in providing services to overseas investors

seeking to invest into India Investors can access the asset management capability of

the international subsidiaries through funds domiciled in Mauritius

The international subsidiaries offer brokerage and asset management services to

institutions and high net worth individuals based outside India through their range of

offshore India funds as well as through specific advisory and discretionary

investment management mandates from institutional investors The International

subsidiaries also provide lead management and underwriting services in conjuction

with Kotak Mahindra Capital Company with respect to the issuances of domestic

Indian securities in the international marketplace

Offerings from the International subsidiaries

Kotak Indian Growth Fund The fund aims to achieve capital appreciation by being

invested in shares and equity-linked instruments of Indian companies

Kotak Indian Mid-Cap Fund The fund aims to achieve capital appreciation by being

primarily invested in the shares and equity linked instruments of mid-capitalisation

companies in India

Kotak Indian Life Sciences Fund The fund aims to achieve capital appreciation by

being invested in shares and equity-linked instruments of Indian companies in the life

sciences business

Kotak Indian Shariah Fund Kotak Indian Shariah Fund an Indian Equity fund which

endeavours to achieve capital appreciation by being invested in the shares and equity-

linked instruments of companies which are Shariah compliant Indian Equity Fund of

Funds The Portfolio endeavours to achieve capital appreciation by being substantially

invested in the shares or units of Mutual Funds schemes that are either

i Equity schemes investing predominantly in Indian equities

ii Equity fund of funds schemes investing predominantly in units of other

Mutual Fund schemes that invest mainly in Indian equities

Kotak Liquid Fund the Kotak Liquid Fund endeavours to invest predominantly in

Debt and Money Market instruments of short maturity (less than 180 days) and other

funds which invest in such securities across geographies and currencies as applicable

under the prevailing laws The fund may also invest in bank deposits

Focused India Portfolio Focused India Portfolio seeks to capture the pan-India story

through specific bottom up investments across sectors and market capitalizations

The Fund

Kotak Realty Fund established in May 2005 is one of Indias first private equity

funds with a focus on real estate and real estate intensive businesses Kotak Realty

Fund operates as a venture capital fund under the SEBI Venture Capital Fund

Regulations 1996 in India The funds corpus has been contributed by leading banks

domestic corporates family offices and high net worth individuals The fund is closed

ended and has a life of seven years

Investment Formats

The fund would seek equity investments in development projects enterprise level

investments in real estate operating companies and in real estate intensive businesses

not limited to hotels healthcare retailing education and property management

Further the fund would also be investing in non-performing loans with underlying

property collateral

Asset Class

The fund would invest in all the main property asset classes such as residential

(townships luxury residential low cost housing golf communities) hospitality

(hotels and serviced apartments) office (core and business parks) shopping centres

and alternative asset classes such as logistics and warehousing

Geographical Locations

In order to achieve geographical diversity the fund would invest in not just the Tier I

cities such as Mumbai NCR and Bangalore but also in Tier II cities such as Pune

Kolkotta Hyderabad and Chennai) and other Tier III cities examples of which are

Nagpur Coimbotore Mysore and Ludhiana)

The Fund Manager believes that through diversification in geographies asset class

and investment formats the Fund should be well positioned to achieve superior risk

adjusted returns

Fund Management Team

Kotak Realty Fund is managed by its investment team located in Mumbai India and

supported by an organization in which thought leadership contrarian play due

diligence communication and collaborative partnerships take precedence The Fund

has a core team of professionals dedicated to sourcing analyzing executing and

managing the investments This unique team brings together profiles combining real

estate corporate finance advisory investment banking venture capital infrastructure

development and finance and REITS valuation experience

Kotak Mahindra Asset Management Company Limited (KMAMC)

Kotak Mahindra Asset Management Company Limited (KMAMC) a wholly owned

subsidiary of KMBL is the Asset Manager for Kotak Mahindra Mutual Fund

(KMMF) KMAMC started operations in December 1998 and has over 4 Lac

investors in various schemes KMMF offers schemes catering to investors with

varying risk - return profiles and was the first fund house in the country to launch a

dedicated gilt scheme investing only in government securities

We are sponsored by Kotak Mahindra Bank Limited one of Indias fastest growing

banks with a pedigree of over twenty years in the Indian Financial Markets Kotak

Mahindra Asset Management Co Ltd a wholly owned subsidiary of the bank is our

Investment Manager

We made a humble beginning in the Mutual Fund space with the launch of our first

scheme in December 1998 Today we offer a complete bouquet of products and

services suiting the diverse and varying needs and risk-return profiles of our investors

We are committed to offering innovative investment solutions and world-class

services and conveniences to facilitate wealth creation for our investors

DERIVATIVES-

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

product minimizes the impact of fluctuations in asset prices on the profitability and cash

flow situation of risk-averse investors

underlying asset The underlying asset can be bullion index share bonds currency

interest etc Banks Securities firms companies and investors to hedge risks to gain

access to cheaper money and to make profit use derivatives Derivatives are likely to grow

even at a faster rate in future

DEFINITION

Securities Contracts (Regulation)Act 1956 (SCR Act) defines ldquoderivativerdquo to 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 index of prices of underlying securities

The history of derivatives is quite colorful and surprisingly a lot longer than most people

think Days back I compiled a list of the events that I thought shaped the history of

derivatives What follows here is a snapshot of the major events that I think form the

evolution of derivatives I would like to first note that some of these stories are controversial

Do they really involve derivatives Or do the minds of people like myself and others see

derivatives everywhere

To start we need to go back to the Bible In Genesis Chapter 29 believed to be about the

year 1700 BC Jacob purchased an option costing him seven years of labor that granted him

the right to marry Labans daughter Rachel His prospective father-in-law however reneged

perhaps making this not only the first derivative but the first default on a derivative Laban

required Jacob to marry his older daughter Leah Jacob married Leah but because he

preferred Rachel he purchased another option requiring seven more years of labor and

finally married Rachel bigamy being allowed in those days Some argue that Jacob really

had forward contracts which obligated him to the marriages but that does not matter Jacob

did derivatives one-way or the other

underutilized in the spring

Chicago spot prices rose and fell drastically A group of grain traders created the to-

arrive contract which permitted farmers to lock in the price and deliver the grain

later This allowed the farmer to store the grain either on the farm or at a storage

facility nearby and deliver it to Chicago months later These to-arrive contracts

Proved useful as a device for hedging and speculating on price changes Farmers and

traders soon realized that the sale and delivery of the grain itself was not nearly as

important as the ability to transfer the price risk associated with the grain The grain

could always be sold and delivered anywhere else at any time These contracts were

eventually standardized around 1865 and in 1925 the first futures clearinghouse was

formed From that point on futures contracts were pretty much of the form we know

them today

shop elsewhere In 1922 the federal government made its first effort to regulate the

futures market with the Grain Futures Act In 1972 the Chicago Mercantile

Exchange responding to the now-freely floating international currencies created the

International Monetary Market which allowed trading in currency futures These

were the first futures contracts that were not on physical commodities

standardised around 1865 From then on futures contracts have remained more or less

exchanges National Commodity amp Derivatives Exchange Limited (NCDEX) started

are also affected by exchange rates interest rates also became more volatileA means

YEAR DEVLOPMENTS INNOVATIONS

1971 US announced an end to the Bretton Woods System of fixed exchange rates

The Chicago Mercantile Exchange Creation of the International Monetary Market Currency Futures

1972 End of Gold convertibility

1973 Managed floating rates marked the creation of both the Chicago Board Options Exchange and the publication of the most famous formula in finance the option pricing model of Fischer Black and Myron Scholes

1974 Commodity price swings Growing interest in commodity futures

1975 Volatile interest rates Interest Rate Futures the Chicago Board of Trade created the first interest rate futures contract one based on Ginnie Mae (GNMA) mortgages

1976 1976 Recession

1977-78 Another attempt at exchange rate stabilitymdashJamaica Accords

New York Mercantile Exchange Energy Futures

1978-79 European Monetary Systems

1979-80 Big Bang hits London

1980-81 Federal Reserve to target money and not interest rates

London International Futures Exchange

1981-82 Reagan Recovery Philadelphia Exchange Currency Options Currency Swaps

1 Higher liquidity

3 Arbitrage between cash and futures markets fetches additional business to cash

market

5 Lesser volatility

1 Speculation It is felt that these instruments will increase the speculation in

the financial marketswhich resembles far reaching consequences

enough to introduce these kinds of new instrumentsThese instruments require

a well functioning amp mature spot marketimperfection in the markets make

Liquidity risk liquidity of market means the ease with which one can enter or get out of

the market There is a continued debate about the Indian markets capability to provide

enough liquidity to derivative trader

people

PARTICIPANTS

HEDGERS

SPECULATORS

Speculators wish to bet on future movements in the price of an asset Futures and

options contracts can give them an extra leverage that is they can increase both the

potential gains and potential losses in a speculative venture

A RBITRAGEURS

Arbitrageurs are in business to take of a discrepancy between prices in two different

markets if for example they see the futures price of an asset getting out of line with

the cash price they will take offsetting position in the two markets to lock in a profit

FORWARDS

A forward contract is a customized contract between two entities where settlement takes

place on a specific date in the future at todayrsquos pre-agreed price

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

European options are easier to analyze than American optionsand properties of an American

Interest rate Swaps

These entail swapping only the related cash flows between the parties in the same currency

Currency Swaps

These entail swapping both principal and interest between the parties with the cash flows in

on direction being in a different currency than those in the opposite direction

SWAPTION

WARRANTS

basket options

RATIONALE BEHIND THE DEVELOPMENT OF DERIVATIVES

3 Industrial policy

4 Management capabilities

5 Consumerrsquos preference

6 Labor strike etc

They are

1Economic

2Political

In debt market a large position of the total risk of securities is systematic Debt

instruments are also finite life securities with limited marketability due to their small size

relative to many common stocks Those factors favor 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

Eligibility criteria as prescribed in the L C Gupta committee report may apply to SEBI for

grant of recognition under section 4 of the SCR Act 1956 to start Derivatives Trading The

derivative exchangesegment should have a separate governing council and representation of

tradingclearing member shall be limited to maximum 40 of the total members of the

governing council The exchange shall regulate the sales practices of its members and will

obtain approval of SEBI before start of Trading in any derivative contract

The exchange shall have minimum 50 members

The members of an existing segment of the exchange will not automatically become the

members of the derivatives segment The members of the derivatives segment need to fulfill

the eligibility conditions as lay down by the L C Gupta committee

The clearing and settlement of derivatives trades shall be through a SEBI approved clearing

corporationclearing house Clearing CorporationClearing House complying with the

eligibility conditions as lay down by the committee have to apply to SEBI for grant of

approval

Derivatives brokerdealers and Clearing members are required to seek registration from

The Minimum contract value shall not be less than Rs2 Lakh Exchange should also submit

details of the futures contract they purpose to introduce

The trading members are required to have qualified approved user and sales persons who

have passed a certification programme approved by SEBI

FUTURES CONTRACT

A futures contract is a standardized contract traded on a futures exchange to

buy or sell a certain underlying instrument at a certain date in the future at a

pre-set price The future date is called the delivery date or final settlement

date The pre-set price is called the futures price The price of the underlying asset on

the delivery date is called the settlement price The futures price naturally converges

towards the settlement price on the delivery date A futures contract gives the holder

the right and the obligation to buy or sell Contrast this with an options contract

which gives the buyer the right but not the obligation and the writer (seller) the

obligation but not the right In other words an option buyer can choose not to

exercise when it would be uneconomical for himher The holder of a futures contract

and the writer of an option do not have a choice To exit the commitment the holder

of a futures position has to sell his long position or buy back his short position

effectively closing the position Futures contracts are exchange traded derivatives

The exchange acts as counterparty on all contracts sets margin requirements etc

DEFINITION A Futures contract is an agreement two parties to buy or sell an asset a

certain time in the future at a certain price To facilitate liquidity in the futures contract the

exchange specifies certain standard features of the contract The standardized items on a

futures contract are

1 Quantity of the underlying

2 Quality of the underlying

3 The date and the month of delivery

4 The units of price quotations and minimum price change

5 Location of settlement

FEATURES OF FUTURES

1 Futures are highly standardized

2 The contracting parties need not pay any down payments

3 Hedging of price risks

4 They have secondary markets to

TYPES OF FUTURES

On the basis of the underlying asset they derive the futures are divided into two types

1 Stock futures

2 Index futures

Parties in the futures contract

There are two parties in a future contract the buyer and the seller The buyer of the futures

contract is one who is LONG on the futures contract and the seller of the futures contract is

who is SHORT on the futures contract

The pay off for the buyer and the seller of the futures of the contracts are as follows

Chapter - 4

DATA ANALYSIS

PAY-OFF FOR A BUYER OF FUTURES

Iilustration Suppose ABC buys a February 2008 stock futures contract of Reliance

industries(RIF) ON February 42008 at rs 53840 from XYZ Lets assume that transaction

cost are ndashbrokerage 01transaction tax at 001 of futures service tax at 10 of

brokerage amount Hence after consieringthe transaction costs the cost of acquisition for

ABC is Rs 53905 and net sales realization for XYZ is Rs 53775which wil be their

respective break even priceIf price of RIF goes above 53905ABC gains and XYZ loses If

price remain in the range between RS 53775 and Rs 53905only the broker and government

gains and both ABC and XYZ loses The lot size of RIF is 600

The pay off matrix for ABC and XYZ for different prices of reliance industries futures will

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

Payoff=53905-525=1405(per share)

=1405600=-8430(total loss)

For XYZ

=1275600=7650(total profit)

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

CASE 1-The buyer bought the futures contract at (53840) if the future price goes to 555

then the buyer gets the profit of (9570)

CASE 2-The buyer gets loss when the future price goes less then (540) if the future price

goes to 525 then the buyer gets the loss of (10350)

PAY-OFF FOR A SELLER OF FUTURES

IilustrationThe investor sold futures when the index was at 2220

Profit

The Index stands At 2220The underlying asset is in this case is the nifty portfolio

When the index moves up the long future position starts making profit and when

index moves down it starts making losses

MARGINS

Margins 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

margins

Initial Margins

Whenever a futures contract is signed both buyer and seller are required to post initial

margins Both buyer and seller are required to make security deposits that are intended to

guarantee that they will infact be able to fulfill their obligation These deposits are initial

margins and they are often referred as purchase price of futures contract

Marking to market margins

The process of adjusting the equity in an investorrsquos account in order to reflect the change in

the settlement price of futures contract is known as MTM margin

Maintenance margin

The investor must keep the futures account equity equal to or grater than certain percentage

of the amount deposited as initial margin If the equity goes less than that percentage of

initial margin then the investor receives a call for an additional deposit of cash known as

maintenance margin to bring the equity upto the initial margin

Role of Margins

The role of margins in the futures contract is explained in the following example

S sold a satyam June futures contract to B at Rs300 the following table shows the effect of

margins on the contract The contract size of satyam is 1200 The initial margin amount is

say Rs20000 the maintenance margin is 65of initial margin

Pricing the Futures

The Fair value of the futures contract is derived from a model knows as the cost of carry

model This model gives the fair value of the contract

Cost of Carry

F=S (1+r-q) t

F- Futures price

S- Spot price of the underlying

r- Cost of financing

q- Expected Dividend yield

t - Holding Period

Futures terminology

Spot price

The price at which an asset trades in the spot market

Futures price

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

Contract cycle

The period over which contract trades The index futures contracts on the NSE have one-

month two ndashmonth and three-month expiry cycle which expire on the last Thursday of the

month Thus a January expiration contract expires on the last Thursday of January and a

February expiration contract ceases trading on the last Thursday of February On the Friday

following the last Thursday a new contract having a three-month expiry is introduced for

trading

Expiry date

It is the date specifies 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 exist

Contract size

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

size on NSErsquos futures market is 200 nifties

In the context of financial futures basis can be defined as the futures price minus the spot

price The will be a different basis for each delivery month for each contract In a normal

market basis will be positive This reflects that futures prices normally exceed spot prices

Cost carry

The relationship between futures prices and spot prices can be summarized 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

Open Interest

Total outstanding long or short position in the market at any specific time As total long

positions in the market would be equal to short positions for calculation of open interest

only one side of the contract is counter

OPTION

Option is a type of contract between two persons where one grants the other the right to buy a

specific asset at a specific price within a specific time period Alternatively the contract may

grant the other person the right to sell a specific asset at a specific price within a specific time

period In order to have this right The option buyer has to pay the seller of the option

premium

The assets on which option can be derived are stocks commodities indexes etc If the

underlying asset is the financial asset then the option are financial option like stock options

currency options index options etc and if options like commodity option

PROPERTIES OF OPTION

Options have several unique properties that set them apart from other securities The

following are the properties of option

1 Limited Loss

2 High leverages potential

3 Limited Life

PARTIES IN AN OPTION CONTRACT

1 Buyer of the option

The buyer of an option is one who by paying option premium buys the right but not the

obligation to exercise his option on sellerwriter

2 Writerseller of the option

The writer of the call put options is the one who receives the option premium and is their by

obligated to sellbuy the asset if the buyer exercises the option on him

TYPES OF OPTIONS

The options are classified into various types on the basis of various variables The following

are the various types of options

On the basis of the underlying asset

On the basis of the underlying asset the option are divided in to two types

1 INDEX OPTIONS

The index options have the underlying asset as the index

2 STOCK OPTIONS

A stock option gives the buyer of the option the right to buysell stock at a specified price

Stock option are options on the individual stocks there are currently more than 50 stocks

there are currently more than 50 stocks are trading in the segment

On the basis of the market movements

On the basis of the market movements the option are divided into two types They are

CALL OPTION

A call option is bought by an investor when he seems that the stock price moves

upwards A call option gives the holder of the option the right but not the obligation to buy

an asset by a certain date for a certain price

PUT OPTION

A put option is bought by an investor when he seems that the stock price moves downwards

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

certain date for a certain price

On the basis of exercise of option

On the basis of the exercising of the option the options are classified into two categories

AMERICAN OPTION

American options are options that can be exercised at any time up to the expiration date most

exchange-traded option are American

EUOROPEAN OPTION

European options are easier to analyze than American options

PAY-OFF PROFILE FOR BUYER OF A CALL OPTION

The pay-off of a buyer options depends on a spot price of a underlying asset The following

graph shows the pay-off of buyer of a call option

Illustration Suppose ABC buys a February 2008 call of strike price Rs 80- ABB electrical

switch from XYZ on February 22 2008 at a premium of Rs 2- per share when the ruling

market price of ABB is Rs 7950 per share The expiry date for February 2008 call option is

28th February 2008 being the last Thursday of the month Hence he has 7 days left for the

expiry of call within which he has exercise to his options if at all Now ABB call option has

a lot is 375 equity shares of ABB

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

Pay-off matrix=spot price-strike price

Pay-0ff matrix=76-80 = -4

Already Rs 2 premium received so net payoff will be 4-2=2375=-750

It is loss for the buyer(ABC) and profit for the seller(XYZ)

S - Strike price OTM - Out of the money

SP - Premium Loss ATM - At the money

7950 - Spot price ITM - In the money

80 - Spot price 2

750 - Profit at spot price 7950

CASE 1 (88 gt 76)

As the spot price (88) of the underlying asset is more than strike price (76) the buyer gets

profit of (2250) if price increases more than E1 then profit also increase more than SR

CASE 2 (76lt 80)

As a spot price (76) of the underlying asset is less than strike price (s)

The buyer gets loss of (750) if price goes down less than 750 then also his loss is limited to

his premium (750)

PAY-OFF PROFILE FOR SELLER OF A CALL OPTION

The pay-off of seller of the call option depends on the spot price of the underlying asset The

following graph shows the pay-off of seller of a call option

profit

866 2250

The above figure shows profitlosses for the seller of a three month Nifty 2250 call option

As the spot Nifty rises the call option is i-the money and the seller starts making losses If

upon expiration Nifty closes above the strike price of 2250the buyer would exercise his

option on the writer who would suffer a loss to the extent of the difference between the

Nifty-close and strike price The loss that can be incurred by the seller of the option is

potentially unlimited where has the maximum profit is limited to the extent of the upfront

option premium of Rs 866 charged by him

S - Strike price ITM - In the money

SP - Premium profit ATM - At the money

E1 - Spot price 1 OTM - Out of the money

E2 - Spot price 2

SR - Profit at spot price E1

CASE 1 (Spot price lt Strike price)

As the spot price (E1) of the underlying is less than strike price (S) the seller gets the profit

of (SP) if the price decreases less than E1 then also profit of the seller does not exceed (SP)

CASE 2 (Spot price gt Strike price)

As the spot price (E2) of the underlying asset is more than strike price (S) the seller gets loss

of (SR) if price goes more than E2 then the loss of the seller also increase more than (SR)

PAY-OFF PROFILE FOR BUYER OF A PUT OPTION

The pay-off of the buyer of the option depends on the spot price of the underlying asset The

following Table and graph shows the pay-off of the buyer of a call option

Iiustration

ABC buys a February 2008 put optionof strike price Rs 350 of sathyam computers from

vishal at a premium of Rs 9- per share when the ruling Market price of sathyam share is Rs

35135 per share A sathyam put option has a lot size of 1200 equity shares sathyam

computers

Sathyam mkt price 310 320 330 340 350 360 370

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

PUT OPTION=STRIKE PRICE-SPOT PRICE

Pay-off=350-310=40(per share)

premium=Rs 9- per share

=40-9=311200=37200(profit)

At the same time it is loss to the XYZ=37200(loss)

SP - Premium profit OTM - Out of the money

E1 - Spot price 1 ATM - At the money

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

As the spot price (310) of the underlying asset is less than strike price (350) the buyer gets

the profit (37200) if price decreases less than 310 then profit also increases more than

(37200)

CASE 2 (370 gt 350)

loss of (10800) if price goes more than 370 than the loss of the buyer is limited to his

premium (10800)

PAY-OFF PROFILE FOR SELLER OF A PUT OPTION

The pay-off of a seller of the option depends on the spot price of the underlying asset

profit

617 2250

The above example shows the profitlosses for the seller of a three month Nifty 2250 put

option As the spot nifty falls the put option is in the money and the writers starts making

losses If upon expiration nifty closes below the strike price of 2250the buyer would

exercise his option on the seller who would suffer a loss to the extent of difference between

the strike price and nifty-closeThe loss that can incurred by the seller of the option is

maximum extent of the strike price (since the worst can happen if asset price can fall to zero)

where the maximum profit is limited to the extent of the ndashfront option premium of RS 6170

Charged by him

E2 - Spot price 2

As the spot price (E1) of the underlying asset is less than strike price (S) the seller gets the

loss of (SR) if price decreases less than E1 than the loss also increases more than (SR)

As the spot price (E2) of the underlying asset is more than strike price (S) the seller gets

profit of (SP) if price goes more than E2 than the profit of seller is limited to his premium

Factors affecting the price of an option

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

Stock price

The pay ndashoff from a call option is a amount by which the stock price exceeds the strike price

Call options therefore become more valuable as the stock price increases and vice versa The

pay-off from a put option is the amount by which the strike price exceeds the stock price Put

options therefore become more valuable as the stock price increases and vice versa

Strike price In 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-money Therefore for a call as the strike price

increases option becomes less valuable and as strike price decreases option become more

valuable

Time to expiration Both put and call American options become more valuable as a time to

expiration increases

Volatility 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 very poor

increases The value of both calls and puts therefore increase as volatility increase

Risk-free interest rate The put option prices decline as the risk-free rate increases where as

the prices of call always increase as the risk-free interest rate increases

Dividends Dividends have the effect of reducing the stock price on the x- dividend rate

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

put options

PRICING OPTIONS

The black- scholes formula for the price of European calls and puts on a non-dividend paying

stock are

CALL OPTION

C = SN(D1)-Xe-r t N(D2)

PUT OPTION

P = Xe-r t N(-D2)-SN(-D2)

C = VALUE OF CALL OPTION

S = SPOT PRICE OF STOCK

N= NORMAL DISTRIBUTION

V= VOLATILITY

X = STRIKE PRICE

r = ANNUAL RISK FREE RETURN

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

The price specified in the options contract is known as strike price or Exercise price

Options premium

Option premium is the price paid by the option buyer to the option seller

Expiration Date

The date specified in the options contract is known as expiration date

In-the-money option

An In the money option is an option that would lead to positive cash inflow to the holder if it

exercised immediately

At-the-money option

An at the money option is an option that would lead to zero cash flow if it is exercised

immediately

Out-of-the-money option

An out-of-the-money option is an option that would lead to negative cash flow if it is

Intrinsic value of money

The intrinsic value of an option is ITM If option is ITM If the option is OTM its intrinsic

value is zero

Time value of an option

The time value of an option is the difference between its premium and its intrinsic value

Presentation

The objective of this analysis is to evaluate the profitloss position futures and options This

analysis is based on sample data taken of ABB electricals This analysis considered the

February contract of ABB The lot size of ABB is 375 the time period in which this analysis

done is from 180208 ndash 040308

Date Future price Market Price

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

The closing price of ABB at the end of the contract period is 100900and this is considered as

settlement price

The following table explains the market price and premiums of calls

1 The first column explains trading date

2 Second column explains the SPOT market price in cash segment on that date

3 The third column explains call premiums amounting 10201050 amp1080

Call Prices

Premium

Date Market price 1020 1050 1080

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

OBSERVATIONS AND FINDINGS

CALL OPTION BUYER PAYS OFF

1 As brought 1 lot of ABB that is 375 those who buy for 104305 paid 2850premium per

2 Settlement price is 1009

Formula Pay off = spot ndash strike

1009-104305 = -3405

because it is negative it is out of the money contract hence buyer will lose only premium

SELLER PAY OFF

1 It is out of the money for the buyer so it is in the money for seller hence His

profit is only premium ie 37528 =10500

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

OBSERVATION AND FINDINGS

PUT OPTION BUYER PAY OFF

1 Those who have purchase put option at a strike price of 1050 the premium payable is

2 On the expiry date the spot market price enclosed at 96105 the net pay off = 1050-1009

=41 and the premium already paid = 41-4000 (paid per share)

1375 =375

that is total profit=375

SELLER PAY OFF

1 As seller is entitled only for premium if he is in profit but seller has to borne total loss

Loss incurred is 1050 ndash1009 = 41

Net loss 41-42375=375

DATA OF ABB - THE FUTURES AND OPTIONS OF THE

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

Summary and Conclusions

FINDINGS

1 The future price of ABB is moving along with the market price

2 If the buy price of the future is less than the settlement price than the buyer of a future gets

profit

3 If the selling price of the future is less than the settlement price than the seller incur losses

SUMMARY

1 Derivates market is an innovation to cash market Approximately its daily turnover

reaches to the equal stage of cash market The average daily turnover of the NSE derivative

segments

2 In cash market the profitloss of the investor depend the market price of the underlying

asset The investor may incur huge profits or he may incur huge profits or he may incur huge

loss But in derivatives segment the investor the investor enjoys huge profits with limited

downside

3 In cash market the investor has to pay the total money but in derivatives the investor

has to pay premiums or margins which are some percentage of total money

4 Derivatives are mostly used for hedging purpose

5 In derivative segment the profitloss of the option writer is purely depend on the

fluctuations of the underlying asset

CONCLUSION

1 In bullish market the call option writer incurs more losses so the investor is suggested

to go for a call option to hold where as the put option holder suffers in a bullish market so

he is suggested to write a put option

2 In bearish market the call option holder will incur more losses so the investor is

suggested to go for a call option to write where as the put option writer will get more losses

so he is suggested to hold a put option

3 In the above analysis the market price of ABB is having low volatility so the call

option writers enjoy more profits to holders

RECOMMENDATIONS

1 The derivative market is newly started in India and it is not known by every investor so

SEBI has to take steps to create awareness among the investors about the derivative segment

2 In order to increase the derivatives market in India SEBI should revise some of their

regulations like contract size participation of FII in the derivatives market

3 Contract size should be minimized because small investors cannot afford this much of

huge premiums

4 SEBI has to take further steps in the risk management mechanism

5 SEBI has to take measures to use effectively the derivatives segment as a tool of

hedging

BIBILOGRAPHY

WEBSITES

wwwderivativesindiacom

wwwindianinfolinecom

wwwnseindiacom

wwwbseindiacom

www5paisacom

Derivatives Core Module Workbook ndash NCFM material

Financial Markets and Services ndash Gordan and Natrajan

Financial Management ndash Prasanna Chandra

NEWSPAPERS

Economic times of India

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

DECLARATION

I hereby declare that this Project Report titled A SHORT DERIVATIVES

REPORT ON ABB GROUP At Kotak securities Submitted by me to the

Department of Business Management OU Hyderabad is a bonafide

work undertaken by me and it is not submitted to any other University or

Institution for the award of any degree diploma certificate or published

any time before

Name and Address of the Student Signature of the Student

RSUSHEEL KUMARMC 436 MALAKPETHYDERBAD

ABSTRACT

2 Data Collection-

internet

2008-28th FEB 2008

3 Analysis-

ACKNOWLEDGEMENT

Introduction 5

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

2 Data Collection-

internet

2008-28th FEB 2008

3 Analysis-

ACKNOWLEDGEMENT

Introduction 5

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Introduction 5

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

NASDAQ CBOT etc

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

option holder

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

DERIVATIVES-

DEFINITION

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

securities

everywhere

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

way or the other

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

shop elsewhere

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

people

PARTICIPANTS

HEDGERS

SPECULATORS

ARBITRAGEURS

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

They are

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

maturity

American options

European options

Interest rate Swaps

currency

Currency Swaps

SWAPTION

WARRANTS

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

basket options

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

They are

1Economic

2Political

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

approval

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

COMPANY PROFILE

Group Management

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Limited

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

COMPANY PRODUCTS

Kotak Mahindra Bank

really work

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Car Finance

distribution

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

capital markets

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

companies in India

sciences business

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

The Fund

Investment Formats

property collateral

Asset Class

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

adjusted returns

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Investment Manager

DERIVATIVES-

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

DEFINITION

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

them today

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1976 1976 Recession

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Higher liquidity

market

5 Lesser volatility

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

people

PARTICIPANTS

HEDGERS

SPECULATORS

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

A RBITRAGEURS

FORWARDS

FUTURES

OPTIONS

CALL OPTIONS

maturity

Put options

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

maturity

American options

European options

Interest rate Swaps

Currency Swaps

SWAPTION

WARRANTS

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

basket options

3 Industrial policy

6 Labor strike etc

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

They are

1Economic

2Political

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

approval

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

FUTURES CONTRACT

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

FEATURES OF FUTURES

TYPES OF FUTURES

1 Stock futures

2 Index futures

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Chapter - 4

DATA ANALYSIS

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

be as per table

Price Of RIF 525 530 535 540 545 550 555

ABC pay off -8430 -5430 -2430 570 3570 6570 9570

XYZ pay off 7650 4650 1650 -1350 -4350 -7350 -10350

For ABC

=1405600=-8430(total loss)

For XYZ

15000 -

10000 -

5000 -

0 525 530 535 540 545 550 555

-15000-

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

10000 -

- 5000-

Profit

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

MARGINS

margins

Initial Margins

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Maintenance margin

Role of Margins

Pricing the Futures

Cost of Carry

F=S (1+r-q) t

F- Futures price

t - Holding Period

Futures terminology

Spot price

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Futures price

Contract cycle

trading

Expiry date

Contract size

Cost carry

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Open Interest

OPTION

premium

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 Limited Loss

3 Limited Life

TYPES OF OPTIONS

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

1 INDEX OPTIONS

2 STOCK OPTIONS

CALL OPTION

PUT OPTION

AMERICAN OPTION

EUOROPEAN OPTION

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

ABB Mkt Price 76 78 80 81 82 84 86 88

Pay off for ABC -750 -750 -750 375 0 750 1500 2250

Pay off for XYZ 750 750 750 375 0 -750 -1500 -2250

Strike price=80

Spot price=76

premium=2

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

80 - Spot price 2

CASE 1 (88 gt 76)

CASE 2 (76lt 80)

his premium (750)

profit

866 2250

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

E2 - Spot price 2

Iiustration

computers

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Pay-off for ABC 37200 25200 13200 1200 -10800 -10800 -10800

Pay-0ff for XYZ -37200 -25200 -13200 -1200 10800 10800 10800

Pay-off for ABC

=40-9=311200=37200(profit)

E2 - Spot price 2

50000 -

-40000 - 30000 -

20000-- 10000-

0 310 320 330 340 350 360 370

-10000 - -20000 -

-30000 - -40000 - -50000 -

CASE 1 If (310lt 350)

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

(37200)

CASE 2 (370 gt 350)

premium (10800)

profit

617 2250

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Charged by him

E2 - Spot price 2

Stock price

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

valuable

put options

PRICING OPTIONS

stock are

CALL OPTION

PUT OPTION

V= VOLATILITY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

X = STRIKE PRICE

t = CONTRACT CYCLE

d1 = Ln (SX) + (r+ v 2 2)t

d2 = d1- vt

Options Terminology

Strike price

Options premium

Expiration Date

In-the-money option

At-the-money option

immediately

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

value is zero

Presentation

18-02-2008 104305 104445

19-02-2008 10267 102025

20-02-2008 104345 103445

21-02-2008 104340 104045

22-02-2008 104750 104465

23-02-2008 107510 106233

25-02-2008 106465 106685

26-02-2008 100460 102395

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

27-02-2008 101500 101035

28-02-2008 101695 101940

29-02-2008 102425 101755

1-03-2008 101740 101715

3-03-2008 100965 101350

4-03-2008 100545 100900

settlement price

Call Prices

Premium

18-02-2008 104445 285 0 1805

19-02-2008 102025 3250 1900 0

20-02-2008 103495 43 28 1585

21-02-2008 104045 0 2205 1300

22-02-2008 104465 0 2575 1405

23-02-2008 106233 2500 0 1100

25-02-2008 106685 3025 1840 1050

26-022008 102395 1975 1075 0635

27-02-2008 101035 1450 0750 0575

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

28-02-2008 101940 1250 0950 0

29-02-2008 101755 0985 1300 0

1-03-2008 101715 2000 0500 080

3-03-2008 101350 0 0790 0290

4-03-2008 100800 0370 0100 0

1009-104305 = -3405

SELLER PAY OFF

Put prices

Premium

1 8-02-2008 104445 0 40 0

19-02-2008 102025 0 0 0

20-02-2008 103495 0 0 0

21-02-2008 104045 0 0 0

22-02-2008 104465 0 0 0

23-02-2008 106233 0 2200 0

25-02-2008 106685 0 0 0

26-022008 102395 0 0 0

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

27-02-2008 101035 1400 0 0

28-02-2008 101940 0 0 0

29-02-2008 101755 1300 0 0

1-03-2008 101715 0 0 0

3-03-2008 101350 0 0 0

4-03-2008 100800 0 0 0

1375 =375

SELLER PAY OFF

Net loss 41-42375=375

FEBRUARY MONTH

2-02-2008 104305 104445

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

4-02-2008 10267 102025

5-02-2008 104345 103445

6-02-2008 104340 104045

7-02-2008 104750 104465

8-02-2008 107510 106233

9-02-2008 106465 106685

13-02-2008 100460 102395

14-02-2008 101500 101035

15-02-2008 101695 101940

16-02-2008 102425 101755

20-02-2008 101740 101715

21-02-2008 100965 101350

22-02-2008 100545 100800

23-02-2008 96220 96350

27-02-2008 9332 94590

28-02-2008 93820 94105

Chapter-576

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

FINDINGS

profit

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

SUMMARY

segments

downside

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

CONCLUSION

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

RECOMMENDATIONS

huge premiums

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

hedging

BIBILOGRAPHY

WEBSITES

wwwnseindiacom

wwwbseindiacom

www5paisacom

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

NEWSPAPERS

Business standards

COMPANY PROFILE

E2 - Spot price 2

Presentation

SUMMARY

BIBILOGRAPHY

Documents

der@ktk with ABB.doc