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Vipul Kumar Singh, vipulks@bajajcapital.com

Fo r

February20,2008

IndexOptionS&PCNXNiftyIndex (Lotsize/ExpiryDate50/Feb28,2008)Outlook:Expectingtomovedowninnexttwothreetradingsessions.

Strategy:BearSpread

IndexPrice ExercisePrice Premium TargetPrice MaximumLoss5280.80

LongPut5200

ShortPut5100

LongPut107.05

ShortPut77.2052005150 29.85

BearSpreadPayoffTable

Stock

Price

Short

PutCash

Flow

Long

Put

Cash

Flow

Short

Put

PayoffLong

Put

PayoffProfit/Loss

4500 600 700 522.8 592.95 70.15

4600 500 600 422.8 492.95 70.15

4700 400 500 322.8 392.95 70.15

4800 300 400 222.8 292.95 70.15

4900 200 300 122.8 192.95 70.15

5000 100 200 22.8 92.95 70.15

5100 0 100 77.2 7.05 70.15

5200 0 0 77.2 107.05 29.85

5300 0 0 77.2 107.05 29.85

5400 0 0 77.2 107.05 29.85

5500 0 0 77.2 107.05 29.85

5600 0 0 77.2 107.05 29.85

5700 0 0 77.2 107.05 29.85

Bear Spread Payoff Graph (using Put)

-600

-400

-200

0

200

400

600

800

4500

460

4700

480

4900

500

5100

520

5300

540

5500

560

5700

580

5900

600

Stock Price

L

o

s

s

/P

ro

fit

Short Put Payoff

Long Put Payoff

Profit/Loss

StockOptionRIL (Lotsize/ExpiryDate75/Feb28,2008)Outlook:Expectingdowntrend. Strategy: BearSpread

StockPrice ExercisePrice Premium TargetPrice MaximumLoss2554.55

LongPut2500

ShortPut2400

LongPut53.45

ShortPut21.624502420 31.85

BearSpreadPayoffTableStock

Price

Short

PutCash

Flow

LongPut

Cash

Flow

ShortPut

Payoff

LongPut

Payoff

Profit/

Loss

2325 75 175 53.4 121.55 68.15

2350

50

150

28.4

96.55

68.15

2375 25 125 3.4 71.55 68.15

2400 0 100 21.6 46.55 68.15

2425 0 75 21.6 21.55 43.15

2450 0 50 21.6 3.45 18.15

2475 0 25 21.6 28.45 6.85

2500 0 0 21.6 53.45 31.85

2525 0 0 21.6 53.45 31.85

2550 0 0 21.6 53.45 31.85

2575 0 0 21.6 53.45 31.85

2600 0 0 21.6 53.45 31.85

2625 0 0 21.6 53.45 31.85

Bear Spread Payoff Graph (using Put)

-80

-60

-40

-20

0

20

40

60

80100

120

140

2325 2350 2375 2400 2425 2450 2475 2500 2525 2550 2575 2600 2625 265026752700

Stock Price

L

o

s

s

/P

ro

fit

Short Put Payoff

Long Put Payoff

Profit/Loss

DERIVATIVE TRADING STRATEGY

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