Symbol Date Expiry Open High Low Close LTP Settle Price

RELIANCE 1-Jun-17 31-Aug-17 1349 1349 1337 1339.2 1339.2 1339.2

RELIANCE 2-Jun-17 31-Aug-17 1344 1344 1330 1335 1335 1335
RELIANCE 5-Jun-17 31-Aug-17 1346.95 1349.5 1340 1340 1340 1340
RELIANCE 6-Jun-17 31-Aug-17 1335.15 1335.45 1325 1325 1325 1325
RELIANCE 7-Jun-17 31-Aug-17 1323 1350.5 1323 1348.95 1348.55 1348.95
RELIANCE 8-Jun-17 31-Aug-17 1346.9 1346.9 1341 1341 1341 1352.05
RELIANCE 9-Jun-17 31-Aug-17 1359.95 1361.75 1343.1 1345.2 1344.7 1345.2
RELIANCE 12-Jun-17 31-Aug-17 1335 1335 1327 1327.8 1327.5 1327.8
RELIANCE 13-Jun-17 31-Aug-17 1327 1331.45 1323 1323 1323 1323
RELIANCE 14-Jun-17 31-Aug-17 1331.95 1365.95 1331.95 1365.05 1364.15 1365.05
RELIANCE 15-Jun-17 31-Aug-17 1379.95 1401.7 1372 1395.9 1390.45 1395.9
RELIANCE 19-Jun-17 31-Aug-17 1407.2 1425 1407.2 1420.35 1418.25 1420.35
RELIANCE 20-Jun-17 31-Aug-17 1421.5 1428.25 1419.9 1421 1421.8 1421
RELIANCE 21-Jun-17 31-Aug-17 1419.3 1437.7 1418.3 1432.75 1437 1432.75
RELIANCE 22-Jun-17 31-Aug-17 1439.9 1450.5 1435 1438.2 1442.6 1438.2
RELIANCE 23-Jun-17 31-Aug-17 1443.9 1448.1 1439.9 1441.6 1439.9 1441.6
RELIANCE 27-Jun-17 31-Aug-17 1436.15 1445.65 1427.1 1436.9 1438 1436.9
RELIANCE 28-Jun-17 31-Aug-17 1429.4 1431.3 1402.25 1404.6 1406.55 1404.6
RELIANCE 29-Jun-17 31-Aug-17 1406.7 1410 1395 1396.9 1397.5 1396.9
RELIANCE 30-Jun-17 31-Aug-17 1393 1393.85 1377 1382.25 1384.85 1382.25
RELIANCE 3-Jul-17 31-Aug-17 1380.85 1395.7 1373.95 1384.95 1387.45 1384.95
RELIANCE 4-Jul-17 31-Aug-17 1395.8 1427 1394.3 1423 1423.3 1423
RELIANCE 5-Jul-17 31-Aug-17 1430.55 1446 1430.55 1441.65 1439.75 1441.65
RELIANCE 6-Jul-17 31-Aug-17 1445 1449.95 1436.05 1440.5 1441.25 1440.5
RELIANCE 7-Jul-17 31-Aug-17 1439.95 1497 1439.95 1491.65 1491.45 1491.65
RELIANCE 10-Jul-17 31-Aug-17 1494.9 1502 1486.4 1493.55 1494.75 1493.55
RELIANCE 11-Jul-17 31-Aug-17 1505.15 1505.15 1486 1491.9 1494.6 1491.9
RELIANCE 12-Jul-17 31-Aug-17 1497.8 1522.7 1497.8 1511 1511.55 1511
RELIANCE 13-Jul-17 31-Aug-17 1521.95 1532.5 1514.95 1528.25 1525.4 1528.25
RELIANCE 14-Jul-17 31-Aug-17 1525.1 1542.55 1525.1 1540.95 1541.7 1540.95
RELIANCE 17-Jul-17 31-Aug-17 1549.95 1566.05 1548.15 1558.5 1556.6 1558.5
RELIANCE 18-Jul-17 31-Aug-17 1553.95 1560.75 1524.95 1533.05 1533.05 1533.05
RELIANCE 19-Jul-17 31-Aug-17 1531 1550.9 1527.25 1546 1550.75 1546
RELIANCE 20-Jul-17 31-Aug-17 1549.95 1561.4 1536 1541.25 1538.95 1541.25
RELIANCE 21-Jul-17 31-Aug-17 1555 1602 1552.05 1595.5 1596 1595.5
RELIANCE 24-Jul-17 31-Aug-17 1603.6 1632 1593.5 1622.2 1624.85 1622.2
RELIANCE 25-Jul-17 31-Aug-17 1628.9 1631.15 1610.25 1613.3 1614.25 1613.3
RELIANCE 26-Jul-17 31-Aug-17 1614.15 1639.9 1610.9 1632.65 1631.15 1632.65
RELIANCE 27-Jul-17 31-Aug-17 1638.55 1639.6 1602 1606.65 1605.3 1606.65
RELIANCE 28-Jul-17 31-Aug-17 1597.05 1612.95 1586.75 1600.85 1601.5 1600.85
RELIANCE 31-Jul-17 31-Aug-17 1604.15 1624.4 1602 1621.55 1623.35 1621.55
RELIANCE 1-Aug-17 31-Aug-17 1625 1628 1602.3 1613.1 1614.95 1613.1
RELIANCE 2-Aug-17 31-Aug-17 1617.85 1639.9 1612.45 1632.6 1631 1632.6
RELIANCE 3-Aug-17 31-Aug-17 1631.4 1668.4 1621.55 1654.55 1656.7 1654.55
RELIANCE 4-Aug-17 31-Aug-17 1666.85 1666.85 1622.7 1633.9 1636 1633.9
RELIANCE 7-Aug-17 31-Aug-17 1637.3 1637.3 1623.2 1626.5 1628.05 1626.5
RELIANCE 8-Aug-17 31-Aug-17 1627.35 1629.15 1593 1607.55 1607.95 1607.55
RELIANCE 9-Aug-17 31-Aug-17 1600.45 1626.7 1590.2 1600.9 1599.4 1600.9
RELIANCE 10-Aug-17 31-Aug-17 1595.25 1609.7 1582.45 1593.1 1599.95 1593.1
RELIANCE 11-Aug-17 31-Aug-17 1568.7 1586.25 1540.25 1554.55 1553 1554.55
RELIANCE 14-Aug-17 31-Aug-17 1600 1600 1563.6 1578.3 1577 1578.3
RELIANCE 16-Aug-17 31-Aug-17 1573.15 1578 1552.5 1571.75 1576 1571.75
RELIANCE 17-Aug-17 31-Aug-17 1577 1599.4 1563.2 1568.2 1567 1568.2
RELIANCE 18-Aug-17 31-Aug-17 1561.35 1578.7 1556 1576.3 1576.55 1576.3
RELIANCE 21-Aug-17 31-Aug-17 1577.15 1584.8 1563.65 1566.15 1564.05 1566.15
RELIANCE 22-Aug-17 31-Aug-17 1569.9 1582 1561 1563.9 1565.8 1563.9
RELIANCE 23-Aug-17 31-Aug-17 1566.5 1590 1556.5 1584.25 1583.05 1584.25
RELIANCE 24-Aug-17 31-Aug-17 1590 1594.9 1570 1572.7 1575.8 1572.7
RELIANCE 28-Aug-17 31-Aug-17 1578.55 1583.1 1565 1569.6 1569 1569.6
RELIANCE 29-Aug-17 31-Aug-17 1562.8 1569 1532 1534.6 1533.05 1534.6
RELIANCE 30-Aug-17 31-Aug-17 1550 1569.05 1542.05 1564.05 1563.05 1564.05
No. of contracts Turnover in Lacs Open Int Change in OI Underlying Value Risk Free Rate
37 248.65 36500 13500 1328.25 6.193%
20 133.59 40000 3500 1324.75 6.207%
4 26.92 41500 1500 1329.35 6.204%
8 53.23 41500 0 1312.8 6.217%
20 134.02 45000 3500 1339 6.219%
3 20.16 45000 0 1331.7 6.191%
25 168.78 47500 2500 1335.7 6.170%
8 53.18 47500 0 1319.45 6.210%
9 59.76 50500 3000 1314.35 6.226%
64 433.69 66500 16000 1357.5 6.249%
214 1480.93 126000 59500 1383.95 6.188%
145 1029.23 159500 29000 1409.25 6.229%
78 555.31 162500 3000 1412.35 6.232%
178 1271.24 164000 1500 1422 6.222%
44 318.01 159500 -4500 1432.65 6.218%
123 888.76 202500 43000 1435.85 6.232%
226 1623.66 230500 28000 1437.15 6.256%
101 714.29 234000 3500 1398.5 6.252%
162 1134.98 255000 21000 1392.7 6.245%
214 1479.44 278000 23000 1380 6.237%
263 1822.75 313000 35000 1381.05 6.244%
412 2914.78 358500 45500 1421.95 6.237%
329 2369.48 386500 28000 1442.65 6.229%
197 1421.47 396500 10000 1442.55 6.234%
798 5862.24 592500 196000 1491.15 6.241%
240 1793.35 622500 30000 1492.85 6.214%
312 2330.48 663500 41000 1494.35 6.215%
630 4758.03 758500 95000 1511.1 6.208%
466 3554.35 802500 44000 1522.1 6.161%
432 3314.76 858000 55500 1533.75 6.203%
689 5371.38 995000 137000 1551.75 6.151%
1527 11728.1 1132500 137500 1519.9 6.174%
1536 11825.64 1496500 364000 1532.95 6.159%
2592 20051.6 2082000 585500 1528.9 6.115%
11912 94277.06 3319000 1237000 1585 6.170%
7407 60088.09 4331000 1012000 1615.25 6.041%
8318 67278.65 6889000 2558000 1602.15 6.192%
11197 91248.67 9154000 2265000 1622.75 6.194%
17507 141938.45 11462500 2308500 1594.8 6.148%
15613 124919.36 12145500 683000 1594.45 6.171%
12883 104139.49 12495000 349500 1615.2 6.152%
9044 73013.55 12649000 154000 1603.6 6.151%
18004 146693.1 12556000 -93000 1629.2 6.090%
27540 227265.26 12810000 254000 1650.1 6.062%
18404 150507.74 13080500 270500 1622.15 6.040%
8158 66464.03 13459500 379000 1616.35 6.038%
12177 98099.77 13373500 -86000 1602.55 6.061%
16106 129708.58 13111500 -262000 1598.8 6.076%
14698 117304.56 12640500 -471000 1584.35 6.086%
19408 151784.72 12229500 -411000 1546.25 5.985%
10967 86503.74 12627500 398000 1573.05 6.066%
13770 107721.36 13245000 617500 1566.1 6.063%
16990 134423.51 14045000 800000 1567.1 6.065%
12003 94175.9 13710000 -335000 1575.4 6.055%
9528 74917.52 13679500 -30500 1564.4 6.067%
11706 92031.21 13394500 -285000 1560.05 6.061%
12889 101378.41 13358500 -36000 1582.05 6.079%
11061 87423.95 13329000 -29500 1568.05 6.075%
8876 69723.2 12415500 -913500 1566.55 6.040%
16020 123833.28 10786500 -1629000 1532.15 6.035%
18161 141536.16 7526500 -3260000 1564.1 6.037%
0.000%
Days to Maturity T in years Dividend Theoretical Price Basis
90 0.25 0.8282% 1346.1838198393 -10.95
89 0.247222 0.8303% 1342.4755269436 -10.25
86 0.238889 0.8275% 1346.5326969324 -10.65
85 0.236111 0.8379% 1329.5802953916 -12.2
84 0.233333 0.8215% 1355.9700041023 -9.95
83 0.230556 0.8260% 1348.273186044 -20.35
82 0.227778 0.8235% 1352.0652372845 -9.5
79 0.219444 0.8337% 1335.1103805642 -8.35
78 0.216667 0.8369% 1329.7866247444 -8.65
77 0.213889 0.8103% 1373.3824898069 -7.55
76 0.211111 0.7948% 1399.7977470077 -11.95
72 0.2 0.7806% 1424.6907437945 -11.1
71 0.197222 0.7788% 1427.6217178421 -8.65
70 0.194444 0.7736% 1437.1449162749 -10.75
69 0.191667 0.7678% 1447.6942008328 -5.55
68 0.188889 0.7661% 1450.7498339671 -5.75
64 0.177778 0.7654% 1451.2473692534 0.25
63 0.175 0.7866% 1411.9394717877 -6.1
62 0.172222 0.7898% 1405.8464613922 -4.2
60 0.166667 0.7971% 1392.5695236981 -2.25
58 0.161111 0.7965% 1393.2239259629 -3.9
57 0.158333 0.7736% 1434.3033491746 -1.05
56 0.155556 0.7625% 1454.9708758285 1
55 0.152778 0.7625% 1454.6590954131 2.05
54 0.15 0.7377% 1503.5114217105 -0.5
51 0.141667 0.7368% 1504.47936319 -0.7
50 0.138889 0.7361% 1505.7638133829 2.45
49 0.136111 0.7279% 1522.4138313683 0.1
48 0.133333 0.7227% 1533.1765600599 -6.15
47 0.130556 0.7172% 1544.7736477117 -7.2
44 0.122222 0.7089% 1562.1064595669 -6.75
43 0.119444 0.7237% 1529.8264384686 -13.15
42 0.116667 0.7176% 1542.711760026 -13.05
41 0.113889 0.7195% 1538.3243694111 -12.35
40 0.111111 0.6940% 1594.6739514648 -10.5
37 0.102778 0.6810% 1624.1721618161 -6.95
36 0.1 0.6866% 1610.9940704244 -11.15
35 0.097222 0.6779% 1631.475391474 -9.9
34 0.094444 0.6897% 1603.042183201 -11.85
33 0.091667 0.6899% 1602.4810631122 -6.4
30 0.083333 0.6810% 1622.5806687792 -6.35
30 0.083333 0.6860% 1610.9201176577 -9.5
29 0.080556 0.6752% 1636.3214395857 -3.4
28 0.077778 0.6666% 1657.0392570693 -4.45
27 0.075 0.6781% 1628.6865753991 -11.75
24 0.066667 0.6805% 1622.1333782139 -10.15
23 0.063889 0.6864% 1608.0620364351 -5
22 0.061111 0.6880% 1604.0729144824 -2.1
21 0.058333 0.6943% 1589.3412079917 -8.75
20 0.055556 0.7114% 1550.7869933575 -8.3
17 0.047222 0.6993% 1577.0418985739 -5.25
15 0.041667 0.7024% 1569.6016342258 -5.65
14 0.038889 0.7019% 1570.3720196473 -1.1
13 0.036111 0.6982% 1578.4502739228 -0.9
10 0.027778 0.7031% 1566.7328343759 -1.75
9 0.025 0.7051% 1562.1401176667 -3.85
8 0.022222 0.6953% 1583.9437656707 -2.2
7 0.019444 0.7015% 1569.689179381 -4.65
3 0.008333 0.7022% 1567.2469388161 -3.05
2 0.005556 0.7179% 1532.6026612714 -2.45
0 0 0.7033% 1564.1 0.05
0 0 #DIV/0! #DIV/0! 0
0 0.0000%
 Settle Price vs Underlying Value
1,700.00

1,650.00

1,600.00

1,550.00

1,500.00

1,450.00

1,400.00

1,350.00

1,300.00
1-Jun-17 1-Jul-17 1-Aug-17

Settle Pri ce Underl yi ng Val ue

 Settle Price vs Theoretical Price
1,700.00

1,650.00

1,600.00

1,550.00

1,500.00

1,450.00

1,400.00

1,350.00

1,300.00
1-Jun-17 1-Jul-17 1-Aug-17

Settl e Pri ce Theoretical Pri ce

 Basis
1-Jun-17 1-Jul-17 1-Aug-17

0.00

5.00

10.00

15.00

20.00
 ZCYC parameters(NSS)
Date BETA 0 BETA 1 BETA 2 TAU-1 BETA 3 TAU-2 Risk Free Rate
21-Apr-17 7.6274 -1.6023 -0.6662 1.5664 -0.2200 1.5534 1 6.0826379114
24-Apr-17 7.6383 -1.6211 -0.4574 2.1429 0.0573 2.1440 2 6.0866117739
25-Apr-17 7.6433 -1.5216 -0.7104 1.9610 -0.0688 2.2412 3 6.169526027
26-Apr-17 7.6637 -1.5836 -0.1488 3.6837 0.5489 4.8072 4 6.1415825799
27-Apr-17 7.6922 -1.6129 -0.5029 1.9805 -0.1667 1.7902 5 6.1372012132
28-Apr-17 7.6515 -1.5040 -1.1269 1.4453 -0.0430 6.0962 6 6.1826669124
2-May-17 7.5776 -1.5315 -0.1938 3.7757 1.0523 5.5555 7 6.112483928
3-May-17 7.5814 -1.4897 1.6143 5.3743 -0.3170 4.6978 8 6.1540308754
4-May-17 7.5509 -1.4479 0.4678 4.3241 0.6279 8.3749 9 6.1662876788
5-May-17 7.6475 -1.5549 -0.3144 2.8448 0.4522 4.0195 10 6.15946105
8-May-17 7.6600 -1.5385 -0.4873 1.5043 -0.6327 1.5057 11 6.1591746903
9-May-17 7.6691 -1.5083 -1.2733 1.0827 -0.4868 2.7759 12 6.175367408
11-May-17 7.6779 -1.4712 -1.4649 0.9600 -0.5918 3.2082 13 6.2001083082
12-May-17 7.6563 -1.4894 -0.0022 2.6656 -0.2779 1.0000 14 6.2051153676
15-May-17 7.6100 -1.3845 -1.1144 0.8504 -1.1135 2.0438 15 6.2127154485
16-May-17 7.6399 -1.4523 -0.0034 2.6990 -0.4206 1.1141 16 6.2120327043
17-May-17 7.6500 -1.4595 0.0004 2.7252 -0.4257 1.0000 17 6.2103937673
18-May-17 7.6397 -1.4602 0.0002 2.7856 -0.3196 1.0000 18 6.2091668702
19-May-17 7.6087 -1.4520 -0.2609 2.6469 0.0723 2.5837 19 6.2148212931
22-May-17 7.5971 -1.4260 -0.8894 1.0051 -0.9465 2.4913 20 6.1963166418
23-May-17 7.5634 -1.4003 -0.0014 2.1025 -0.7604 2.0902 21 6.2010648658
24-May-17 7.5684 -1.3664 -0.2571 1.3196 -1.2498 1.7548 22 6.221089677
25-May-17 7.5499 -1.4179 -0.3257 2.1080 -0.3415 2.1071 23 6.1762522011
26-May-17 7.5449 -1.4355 -0.1524 3.9333 0.4395 2.8449 24 6.1675872002
29-May-17 7.5507 -1.3131 0.0000 3.0967 -0.3608 1.0000 25 6.2509843865
30-May-17 7.5540 -1.3718 -0.4087 2.5744 0.0089 2.4625 26 6.2285411559
31-May-17 7.5544 -1.3875 -0.4784 2.2473 -0.1632 2.3451 27 6.2084965862
1-Jun-17 7.5127 -1.3447 -0.7357 1.9340 -0.2507 1.9360 28 6.1927585649
2-Jun-17 7.4867 -1.3236 -0.1978 2.9264 -0.0782 2.7455 29 6.2067048274
5-Jun-17 7.4695 -1.3114 -0.3440 2.6988 0.0334 2.6118 30 6.2035341301
6-Jun-17 7.4501 -1.2549 0.0000 2.9692 -0.2772 1.0000 31 6.2171779935
7-Jun-17 7.4077 -1.1864 -1.0551 1.2064 -0.5439 2.9458 32 6.2189378868
8-Jun-17 7.3166 -1.1375 -0.2739 2.2190 -0.6881 2.2247 33 6.1905890362
9-Jun-17 7.2450 -1.0791 -0.7809 1.7683 -0.2891 1.7709 34 6.169858657
12-Jun-17 7.2411 -1.0135 -0.4576 1.2926 -1.0398 1.6772 35 6.2104344535
13-Jun-17 7.2150 -0.9756 -0.2021 1.6629 -1.0606 1.7348 36 6.225954044
14-Jun-17 7.2347 -0.9746 0.3970 3.4632 -0.9657 1.8529 37 6.248601542
15-Jun-17 7.2289 -1.0392 -0.2456 1.9538 -0.8020 1.8017 38 6.1882092174
16-Jun-17 7.2584 -1.0537 -0.3916 1.7554 -0.7982 1.7541 39 6.1991677379
19-Jun-17 7.2408 -0.9811 -0.7245 1.5641 -0.6765 1.4245 40 6.2291171788
20-Jun-17 7.2452 -0.9785 -0.9957 1.2476 -0.6769 1.9895 41 6.2320536183
21-Jun-17 7.2248 -0.9794 -0.3181 1.6307 -1.0679 1.6607 42 6.2219614124
22-Jun-17 7.2383 -1.0035 0.0048 1.5344 -1.4145 1.6950 43 6.2180035033
23-Jun-17 7.2392 -0.9783 -0.6641 1.0681 -1.1527 1.9204 44 6.2315009531
27-Jun-17 7.2344 -0.9459 -0.8209 1.5361 -0.6529 1.6277 45 6.2562224693
28-Jun-17 7.2606 -0.9686 -0.1340 1.1272 -1.6500 1.4438 46 6.2517213034
29-Jun-17 7.2573 -0.9835 -0.4557 1.4559 -0.9590 1.4553 47 6.2451542038
30-Jun-17 7.2671 -0.9946 -0.8618 1.3867 -0.6450 1.4137 48 6.2373732426
 3-Jul-17 7.3505 -1.0767 -0.8248 1.3943 -0.6938 1.3953 49 6.2438871419
4-Jul-17 7.3540 -1.0937 -0.9889 1.4685 -0.4782 1.4683 50 6.2368011618
5-Jul-17 7.3440 -1.0924 -0.7188 1.4788 -0.7316 1.4809 51 6.2294609271
6-Jul-17 7.3242 -1.0649 -0.9661 1.4055 -0.5555 1.6418 52 6.234010762
7-Jul-17 7.3482 -1.0540 -0.6200 1.8852 -0.7734 1.0000 53 6.2414762264
10-Jul-17 7.3175 -1.0746 -0.8189 1.5048 -0.6988 1.5030 54 6.2143907713
11-Jul-17 7.3209 -1.0720 -0.8039 1.5101 -0.7944 1.5144 55 6.2145550154
12-Jul-17 7.3111 -1.0764 -0.1415 1.5670 -1.3624 1.5668 56 6.2082190059
13-Jul-17 7.2954 -1.0227 -1.0208 0.3404 -2.2835 1.4379 57 6.1607901559
14-Jul-17 7.3206 -1.0642 -1.2012 1.3999 -0.6064 1.4054 58 6.2027356603
17-Jul-17 7.3376 -1.0613 -1.0933 0.3204 -2.4915 1.4509 59 6.1513232965
18-Jul-17 7.3419 -1.1524 -0.9827 1.7214 -0.4655 1.7193 60 6.1737524347
19-Jul-17 7.3325 -1.1487 -0.7680 1.9850 -0.5664 1.2313 61 6.158514226
20-Jul-17 7.3401 -1.1789 0.0153 3.4106 -0.8366 1.0000 62 6.1152829157
21-Jul-17 7.3288 -1.1214 -1.0082 1.8227 -0.6084 1.4310 63 6.1704062893
24-Jul-17 7.3083 -1.0921 -1.4320 0.2717 -2.6026 1.5544 64 6.0406342902
25-Jul-17 7.3304 -1.0999 -0.1110 2.6432 -1.1055 1.4606 65 6.1915236979
26-Jul-17 7.3352 -1.1111 -1.0203 1.6831 -0.6031 1.6908 66 6.1935889325
27-Jul-17 7.3264 -1.1423 -0.9403 2.0069 -0.4781 1.0000 67 6.1478201595
28-Jul-17 7.3447 -1.1342 5.4948 1.5880 -7.2493 1.5881 68 6.1708859411
31-Jul-17 7.3669 -1.1575 -0.5376 2.2487 -0.8657 1.0000 69 6.1519492047
1-Aug-17 7.3686 -1.1942 -1.0530 1.6972 -0.5472 1.6978 70 6.1512553368
2-Aug-17 7.3645 -1.2499 -0.5002 1.5705 -1.1675 1.5704 71 6.089579309
3-Aug-17 7.3518 -1.2693 -0.9094 1.6774 -0.7263 1.6775 72 6.0621747112
4-Aug-17 7.3632 -1.3124 -0.3224 1.8636 -1.2253 1.8630 73 6.0400833138
7-Aug-17 7.3738 -1.3340 -0.7119 1.9413 -0.7105 1.9418 74 6.0380390002
8-Aug-17 7.3836 -1.3170 -0.6590 1.9159 -0.8136 1.9161 75 6.0607980057
9-Aug-17 7.3846 -1.3031 -0.8940 2.1495 -0.4232 1.5648 76 6.075937133
10-Aug-17 7.3930 -1.3131 -1.9152 1.7837 0.4081 1.0702 77 6.0863490831
11-Aug-17 7.4239 -1.4554 -1.0796 1.9972 -0.1473 1.9963 78 5.9852095475
14-Aug-17 7.4229 -1.3467 -0.6525 1.8250 -0.9141 1.8251 79 6.0663833509
16-Aug-17 7.4156 -1.3474 -0.8784 1.7640 -0.6230 1.7646 80 6.0625381403
18-Aug-17 7.4093 -1.3353 -0.9642 1.8012 -0.5723 1.8021 81 6.0653393357
21-Aug-17 7.4056 -1.3446 -0.4812 1.7625 -1.0255 1.7625 82 6.0548086374
22-Aug-17 7.4291 -1.3515 -0.8625 1.7653 -0.7109 1.7652 83 6.067468849
23-Aug-17 7.4254 -1.3569 -0.8965 1.7293 -0.6479 1.7293 84 6.0606231113
24-Aug-17 7.4426 -1.3504 -0.9336 1.7825 -0.6922 1.7826 85 6.0787263745
28-Aug-17 7.4623 -1.3718 -0.9555 1.7355 -0.7224 1.7351 86 6.0748459697
29-Aug-17 7.4527 -1.4091 -0.9769 1.8005 -0.5614 1.8008 87 6.0396450719
30-Aug-17 7.4564 -1.4176 -0.9944 1.8436 -0.5475 1.8434 88 6.0351137332
31-Aug-17 7.4532 -1.4207 -0.8723 1.8774 -0.5439 1.8779 89 6.0366346293
1-Sep-17 7.4264 -1.3762 -1.1075 1.8342 -0.4909 1.8335 90 6.0403022096
4-Sep-17 7.4334 -1.4260 -0.9349 1.9076 -0.4351 1.9092 91 6.0145691866
5-Sep-17 7.4332 -1.4056 -1.0368 1.8751 -0.3980 1.8776 92 6.0297657546
6-Sep-17 7.4231 -1.3746 -0.8685 1.8579 -0.6226 1.8579 93 6.0452473628
7-Sep-17 7.4349 -1.4637 -0.8251 2.1269 -0.2479 2.1276 94 5.9956511253
8-Sep-17 7.4195 -1.4276 -0.9179 1.8506 -0.4533 1.8528 95 5.9995254526
11-Sep-17 7.4256 -1.4111 -0.9191 1.7650 -0.5156 1.7650 96 6.0173610389
12-Sep-17 7.4354 -1.4257 -0.9124 1.7307 -0.5593 1.7313 97 6.0112364499
13-Sep-17 7.4554 -1.4337 -0.8542 1.7292 -0.6119 1.7288 98 6.0241631235
14-Sep-17 7.4650 -1.4211 -0.8713 1.6577 -0.7244 1.6569 99 6.0369680389
15-Sep-17 7.4749 -1.4125 -0.9769 1.6349 -0.6665 1.6352 100 6.0515261356
18-Sep-17 7.4676 -1.3893 -0.8790 1.4918 -0.8843 1.4923 101 6.0562764926
19-Sep-17 7.4811 -1.4003 -0.9526 1.5462 -0.7813 1.5460 102 6.0622046325
190917_finalZCYCwithYTM_NSS.xlsm
zcyc_NSS_19092017.xls
 Symbol Date Expiry Open High Low Close LTP Settle Price
RELIANCE 3-Jul-17 31-Aug-17 1380.85 1395.7 1373.95 1384.95 1387.45 1384.95
RELIANCE 4-Jul-17 31-Aug-17 1395.8 1427 1394.3 1423 1423.3 1423.000
RELIANCE 5-Jul-17 31-Aug-17 1430.55 1446 1430.55 1441.65 1439.75 1441.65
RELIANCE 6-Jul-17 31-Aug-17 1445 1449.95 1436.05 1440.5 1441.25 1440.5
RELIANCE 7-Jul-17 31-Aug-17 1439.95 1497 1439.95 1491.65 1491.45 1491.65
RELIANCE 10-Jul-17 31-Aug-17 1494.9 1502 1486.4 1493.55 1494.75 1493.55
RELIANCE 11-Jul-17 31-Aug-17 1505.15 1505.15 1486 1491.9 1494.6 1491.9
RELIANCE 12-Jul-17 31-Aug-17 1497.8 1522.7 1497.8 1511 1511.55 1511
RELIANCE 13-Jul-17 31-Aug-17 1521.95 1532.5 1514.95 1528.25 1525.4 1528.25
RELIANCE 14-Jul-17 31-Aug-17 1525.1 1542.55 1525.1 1540.95 1541.7 1540.95
RELIANCE 17-Jul-17 31-Aug-17 1549.95 1566.05 1548.15 1558.5 1556.6 1558.5
RELIANCE 18-Jul-17 31-Aug-17 1553.95 1560.75 1524.95 1533.05 1533.05 1533.05
RELIANCE 19-Jul-17 31-Aug-17 1531 1550.9 1527.25 1546 1550.75 1546
RELIANCE 20-Jul-17 31-Aug-17 1549.95 1561.4 1536 1541.25 1538.95 1541.25
RELIANCE 21-Jul-17 31-Aug-17 1555 1602 1552.05 1595.5 1596 1595.5
RELIANCE 24-Jul-17 31-Aug-17 1603.6 1632 1593.5 1622.2 1624.85 1622.2
RELIANCE 25-Jul-17 31-Aug-17 1628.9 1631.15 1610.25 1613.3 1614.25 1613.3
RELIANCE 26-Jul-17 31-Aug-17 1614.15 1639.9 1610.9 1632.65 1631.15 1632.65
RELIANCE 27-Jul-17 31-Aug-17 1638.55 1639.6 1602 1606.65 1605.3 1606.65
RELIANCE 28-Jul-17 31-Aug-17 1597.05 1612.95 1586.75 1600.85 1601.5 1600.85
RELIANCE 31-Jul-17 31-Aug-17 1604.15 1624.4 1602 1621.55 1623.35 1621.55

Daily Margin Acco

300.00

250.00

200.00

150.00

100.00

50.00

0.00
3-Jul-17 10-Jul -17 17-Jul -
 No. of contracts Turnover in Lacs Open Int Change in OI Underlying Value Margin Account Bal
263 1822.75 313000 35000 1381.05
412 2914.78 358500 45500 1421.95 38.050
329 2369.48 386500 28000 1442.65 56.7
197 1421.47 396500 10000 1442.55 55.55
798 5862.24 592500 196000 1491.15 106.7
240 1793.35 622500 30000 1492.85 108.6
312 2330.48 663500 41000 1494.35 106.95
630 4758.03 758500 95000 1511.1 126.05
466 3554.35 802500 44000 1522.1 143.3
432 3314.76 858000 55500 1533.75 156
689 5371.38 995000 137000 1551.75 173.55
1527 11728.1 1132500 137500 1519.9 148.1
1536 11825.64 1496500 364000 1532.95 161.05
2592 20051.6 2082000 585500 1528.9 156.3
11912 94277.06 3319000 1237000 1585 210.55
7407 60088.09 4331000 1012000 1615.25 237.25
8318 67278.65 6889000 2558000 1602.15 228.35
11197 91248.67 9154000 2265000 1622.75 247.7
17507 141938.45 11462500 2308500 1594.8 221.7
15613 124919.36 12145500 683000 1594.45 215.9
12883 104139.49 12495000 349500 1615.2 236.6

Daily Margin Account Balance

300.00

250.00

200.00

150.00

100.00

50.00

0.00
3-Jul-17 10-Jul -17 17-Jul -17 24-Jul -17 31-Jul -17
 Symbol Date Expiry Open High Low Close LTP Settle Price
NIFTY 1-Jun-17 31-Aug-17 9655.05 9681 9640 9670.9 9673.9 9670.9
NIFTY 2-Jun-17 31-Aug-17 9699 9714 9690 9697.65 9692 9697.65
NIFTY 5-Jun-17 31-Aug-17 9706.45 9743 9700 9734.7 9730.7 9734.7
NIFTY 6-Jun-17 31-Aug-17 9735.5 9740 9709.25 9716.15 9718.3 9716.15
NIFTY 7-Jun-17 31-Aug-17 9714.9 9744 9698.55 9729.2 9730.95 9729.2
NIFTY 8-Jun-17 31-Aug-17 9740 9742 9710.2 9713.3 9720.65 9713.3
NIFTY 9-Jun-17 31-Aug-17 9707.5 9735 9668.6 9724 9725 9724
NIFTY 12-Jun-17 31-Aug-17 9680 9685.85 9650.05 9666.9 9672.2 9666.9
NIFTY 13-Jun-17 31-Aug-17 9674.3 9703.2 9648.3 9654.5 9657.2 9654.5
NIFTY 14-Jun-17 31-Aug-17 9655 9689 9641 9682.7 9687 9682.7
NIFTY 15-Jun-17 31-Aug-17 9651.65 9671.35 9634.05 9649.6 9642.25 9649.6
NIFTY 19-Jun-17 31-Aug-17 9680 9740 9674 9719.55 9717.25 9719.55
NIFTY 20-Jun-17 31-Aug-17 9731.3 9733.6 9710 9720.75 9723.25 9720.75
NIFTY 21-Jun-17 31-Aug-17 9695.7 9712.85 9670 9702.05 9701.2 9702.05
NIFTY 22-Jun-17 31-Aug-17 9715.3 9759.8 9668 9679.4 9677.2 9679.4
NIFTY 23-Jun-17 31-Aug-17 9680.1 9680.45 9624.8 9641.3 9641.2 9641.3
NIFTY 27-Jun-17 31-Aug-17 9665 9667 9528 9561.6 9566.4 9561.6
NIFTY 28-Jun-17 31-Aug-17 9545 9573.35 9521 9543.6 9549.35 9543.6
NIFTY 29-Jun-17 31-Aug-17 9570 9626 9548 9555.65 9557.85 9555.65
NIFTY 30-Jun-17 31-Aug-17 9554.9 9560.95 9475.1 9548.45 9549.5 9548.45
NIFTY 3-Jul-17 31-Aug-17 9574.25 9663.5 9569 9651.6 9656.5 9651.6
NIFTY 4-Jul-17 31-Aug-17 9661.45 9671 9625 9651.9 9648.1 9651.9
NIFTY 5-Jul-17 31-Aug-17 9655.3 9681.85 9643.5 9675.95 9681 9675.95
NIFTY 6-Jul-17 31-Aug-17 9678 9733.9 9675 9707.45 9702 9707.45
NIFTY 7-Jul-17 31-Aug-17 9688 9715 9679.35 9700.65 9699.1 9700.65
NIFTY 10-Jul-17 31-Aug-17 9730 9825.85 9728.5 9811.8 9804 9811.8
NIFTY 11-Jul-17 31-Aug-17 9833 9862 9815 9821.55 9824 9821.55
NIFTY 12-Jul-17 31-Aug-17 9805.1 9863.7 9805.1 9854.65 9863.55 9854.65
NIFTY 13-Jul-17 31-Aug-17 9889 9923.9 9875.15 9918.5 9918.55 9918.5
NIFTY 14-Jul-17 31-Aug-17 9927.7 9937.5 9892 9930.15 9936.45 9930.15
NIFTY 17-Jul-17 31-Aug-17 9939 9975.5 9938.3 9966.25 9967 9966.25
NIFTY 18-Jul-17 31-Aug-17 9906.95 9940 9870.1 9881.4 9887.1 9881.4
NIFTY 19-Jul-17 31-Aug-17 9904 9960 9901.25 9953.35 9958.8 9953.35
NIFTY 20-Jul-17 31-Aug-17 9959 9969.75 9902.1 9924.85 9921.05 9924.85
NIFTY 21-Jul-17 31-Aug-17 9940 9956 9873 9946.8 9945.85 9946.8
NIFTY 24-Jul-17 31-Aug-17 9957.7 10013 9952.5 9994.55 10002.7 9994.55
NIFTY 25-Jul-17 31-Aug-17 10022.2 10034.7 9990 10013.8 10014.6 10013.8
NIFTY 26-Jul-17 31-Aug-17 10013.7 10074.1 10005 10065 10072.2 10065
NIFTY 27-Jul-17 31-Aug-17 10087.7 10150 10049 10063.5 10070 10063.45
NIFTY 28-Jul-17 31-Aug-17 10011.5 10053.3 9990 10042.3 10039 10042.25
NIFTY 31-Jul-17 31-Aug-17 10038.3 10114.2 10038.3 10103 10102.1 10103
NIFTY 1-Aug-17 31-Aug-17 10115 10149.9 10105 10138.5 10147.4 10138.45
NIFTY 2-Aug-17 31-Aug-17 10149 10149 10081 10101.1 10081 10101.1
NIFTY 3-Aug-17 31-Aug-17 10081.1 10087.9 10024 10043 10038.9 10043
NIFTY 4-Aug-17 31-Aug-17 10028.5 10124 10018.3 10108.6 10111.1 10108.55
NIFTY 7-Aug-17 31-Aug-17 10099 10119 10079.5 10091.8 10085.6 10091.75
NIFTY 8-Aug-17 31-Aug-17 10081.1 10104.9 9958.5 9999.45 10004.3 9999.45
NIFTY 9-Aug-17 31-Aug-17 9977.75 9989 9912.2 9926.7 9912.3 9926.7
NIFTY 10-Aug-17 31-Aug-17 9895 9919.9 9803.55 9854.75 9878 9854.75
NIFTY 11-Aug-17 31-Aug-17 9776.75 9800 9710.1 9741.05 9737.6 9741.05
NIFTY 14-Aug-17 31-Aug-17 9778.25 9837.8 9776.7 9815.6 9809 9815.6
NIFTY 16-Aug-17 31-Aug-17 9829.4 9910 9778.2 9904.95 9907 9904.95
NIFTY 17-Aug-17 31-Aug-17 9927.9 9940 9881.6 9909.45 9914 9909.45
NIFTY 18-Aug-17 31-Aug-17 9869 9869 9794.2 9854.4 9849.7 9854.4
NIFTY 21-Aug-17 31-Aug-17 9869.95 9884 9755 9768.6 9764.2 9768.6
NIFTY 22-Aug-17 31-Aug-17 9810.5 9837.45 9769.8 9784.65 9794 9784.65
NIFTY 23-Aug-17 31-Aug-17 9811 9874.25 9797 9862.3 9859 9862.3
NIFTY 24-Aug-17 31-Aug-17 9872 9889.5 9852.15 9873.25 9880 9873.25
NIFTY 28-Aug-17 31-Aug-17 9905.75 9939.35 9884.3 9917.05 9915 9917.05
NIFTY 29-Aug-17 31-Aug-17 9879 9879 9782.7 9799 9792.4 9799
NIFTY 30-Aug-17 31-Aug-17 9850.25 9918.8 9846.5 9883.6 9880.1 9883.6
No. of contracts Turnover in Lacs Open Int Change in OI Underlying Value Risk Free Rate
352 2551.57 121800 6450 9616.1 6.193%
980 7129.92 170925 49125 9653.5 6.207%
833 6080.09 195375 24450 9675.1 6.204%
457 3332.83 196050 675 9637.15 6.217%
371 2705.18 197250 1200 9663.9 6.219%
368 2682.78 208050 10800 9647.25 6.191%
586 4263.02 219975 11925 9668.25 6.170%
368 2668.43 221775 1800 9616.4 6.210%
463 3361.19 229275 7500 9606.9 6.226%
336 2435.63 230775 1500 9618.15 6.249%
678 4910.23 221325 -9450 9578.05 6.188%
671 4882.72 214800 -2550 9657.55 6.229%
1022 7451.91 240225 25425 9653.5 6.232%
692 5028.21 243750 3525 9633.6 6.222%
2304 16814.61 335550 91800 9630 6.218%
1558 11272.81 343875 8325 9574.95 6.232%
3876 27818.43 490125 146250 9511.4 6.256%
4019 28780.64 656475 166350 9491.25 6.252%
6107 43929.65 898350 241875 9504.1 6.245%
4690 33485.65 985350 87000 9520.9 6.237%
7108 51303.71 1212750 227400 9615 6.244%
2460 17805.04 1264200 51450 9613.3 6.237%
3406 24694.79 1404375 140175 9637.6 6.229%
3479 25338.19 1524150 119775 9674.55 6.234%
1921 13972.15 1573800 49650 9665.8 6.241%
5086 37329.43 1711500 137700 9771.05 6.214%
7503 55372.74 1957275 245775 9786.05 6.215%
7127 52572.88 2188800 231525 9816.1 6.208%
9396 69808.11 2546775 357975 9891.7 6.161%
6157 45790.25 2743725 196950 9886.35 6.203%
7535 56263.75 3031875 288150 9915.95 6.151%
12002 89169.61 3152325 120450 9827.15 6.174%
8377 62358.41 3282150 129825 9899.6 6.159%
8777 65362.25 3495225 213075 9873.3 6.115%
19670 146482.04 4092825 597600 9915.25 6.170%
42444 318104.12 6233175 2140350 9966.4 6.041%
48336 362724.75 8552550 2319375 9964.55 6.192%
79146 596050.55 11505300 2952750 10020.65 6.194%
180853 1370647.67 16468650 4963350 10020.55 6.148%
138647 1041937.18 19407600 2938950 10014.5 6.171%
68518 518085.03 20028750 621150 10077.1 6.152%
59887 454754.17 20219925 191175 10114.65 6.151%
84710 642646.32 21067275 847350 10081.5 6.090%
88306 666113.9 21759000 691725 10013.65 6.062%
104921 792735.42 21461100 -297900 10066.4 6.040%
50737 384464.52 21703650 242550 10057.4 6.038%
148356 1114479.43 22978575 1274925 9978.55 6.061%
118624 885577.9 23268000 289425 9908.05 6.076%
141549 1048040.35 22531950 -736050 9820.25 6.086%
173868 1272483.02 23310075 778125 9710.8 5.985%
91112 670413.41 22828950 -481125 9794.15 6.066%
145494 1074660.05 23589450 760500 9897.3 6.063%
112740 838404.35 24989400 1399950 9904.15 6.065%
133438 984533.26 25042725 53325 9837.4 6.055%
123699 910809.46 25573275 530550 9754.35 6.067%
139197 1022843.77 25101075 -472200 9765.55 6.061%
106912 788461.85 24278325 -822750 9852.5 6.079%
67927 502906.38 24084525 -193800 9857.05 6.075%
105188 782087.33 22741650 -1342875 9912.8 6.040%
159499 1175845.75 19885050 -2856600 9796.05 6.035%
124536 923451.2 16890225 -2994825 9884.4 6.037%
Days to Maturity T in years Dividend Yield Theoretical Price Basis
90 0.25 1.190% 9737.1227988411 -54.8
89 0.247222 1.180% 9774.2138225141 -44.15
86 0.238889 1.180% 9791.9071123153 -59.6
85 0.236111 1.190% 9752.2219131548 -79
84 0.233333 1.180% 9778.1941053583 -65.3
83 0.230556 1.180% 9759.3430922104 -66.05
82 0.227778 1.180% 9778.7641416012 -55.75
79 0.219444 1.190% 9722.930246798 -50.5
78 0.216667 1.190% 9712.2970921134 -47.6
77 0.213889 1.190% 9722.7813545102 -64.55
76 0.211111 1.190% 9679.6505189046 -71.55
72 0.2 1.100% 9757.1292918389 -62
71 0.197222 1.100% 9751.7045374672 -67.25
70 0.194444 1.110% 9729.8347519362 -68.45
69 0.191667 1.110% 9724.7440059069 -49.4
68 0.188889 1.110% 9668.0270368356 -66.35
64 0.177778 1.120% 9598.6469069746 -50.2
63 0.175 1.120% 9576.8701682368 -52.35
62 0.172222 1.120% 9588.3607297855 -51.55
60 0.166667 1.120% 9602.4506079059 -27.55
58 0.161111 1.110% 9694.8579980227 -36.6
57 0.158333 1.110% 9691.6529216879 -38.6
56 0.155556 1.110% 9714.6564645127 -38.35
55 0.152778 1.100% 9750.7319477806 -32.9
54 0.15 1.100% 9740.6329141904 -34.85
51 0.141667 1.090% 9842.2415579411 -40.75
50 0.138889 1.090% 9855.9500590258 -35.5
49 0.136111 1.090% 9884.7222644765 -38.55
48 0.133333 1.080% 9958.9376925767 -26.8
47 0.130556 1.080% 9952.691666769 -43.8
44 0.122222 1.080% 9977.6027477542 -50.3
43 0.119444 1.060% 9887.3588413651 -54.25
42 0.116667 1.010% 9959.2418798064 -53.75
41 0.113889 1.010% 9930.8740373329 -51.55
40 0.111111 1.010% 9972.2652096662 -31.55
37 0.102778 1.000% 10018.166425324 -28.15
36 0.1 1.000% 10016.415712011 -49.25
35 0.097222 1.000% 10071.375451053 -44.35
34 0.094444 1.000% 10069.386834114 -42.9
33 0.091667 0.960% 10062.45014507 -27.75
30 0.083333 0.950% 10120.878622624 -25.9
30 0.083333 0.950% 10158.58587968 -23.8
29 0.080556 0.950% 10123.326119166 -19.6
28 0.077778 0.960% 10053.466700386 -29.35
27 0.075 0.960% 10104.826770716 -42.15
24 0.066667 0.960% 10091.505610261 -34.35
23 0.063889 0.970% 10011.057613777 -20.9
22 0.061111 0.970% 9939.0143218137 -18.65
21 0.058333 0.980% 9849.545223574 -34.5
20 0.055556 0.990% 9737.7860278509 -30.25
17 0.047222 0.980% 9817.7028752469 -21.45
15 0.041667 0.970% 9918.3232873963 -7.65
14 0.038889 0.970% 9923.7947365536 -5.3
13 0.036111 0.970% 9855.4798398029 -17
10 0.027778 0.970% 9768.1715873637 -14.25
9 0.025 0.970% 9777.9860953869 -19.1
8 0.022222 0.960% 9863.7135434876 -9.8
7 0.019444 0.950% 9866.8774246003 -16.2
3 0.008333 0.940% 9917.0135420577 -4.25
2 0.005556 0.950% 9798.8178369688 -2.95
0 0 0.940% 9884.4 0.8
0.940% 0
 Settle Price vs Theoretical Price Settle Price v
10,100.00 10,100.00

10,000.00 10,000.00

9,900.00
9,900.00
9,800.00
9,800.00
9,700.00
9,700.00
9,600.00
9,600.00 9,500.00

9,500.00 9,400.00
1-Jun-17 1-Jul-17 1-Aug-17 1-Jun-17 1-Jul-17
Settle Price Theoretical Price Settle Price

Basis
1-Jun-17 1-Jul-17 1-Aug-17
0.00

-10.00

-20.00

-30.00

-40.00

-50.00

-60.00

-70.00

-80.00
 Settle Price vs Spot Price
00

00

00

00

00

00

00

00
-Jun-17 1-Jul-17 1-Aug-17
Settle Price Underlying Value