SUMMARY OUTPUT

Regression Statistics
Multiple R
0.446355068
R Square
0.199232846
Adjusted R Square
0.176353785
Standard Error
2.695769797
Observations
37
ANOVA
df
Regression
Residual
Total

Intercept
RETURN SENSEX

1
35
36

Coefficients
Standard Error
t Stat
P-value
0.672033186
0.443760069 1.514407 0.138902
1.351203698
0.457888207 2.950947 0.00562

Yi= 0+ 1Sensex
returni

12/26/2013
12/24/2013
12/23/2013
12/20/2013

Lower 95%
-0.228847649
0.421641218

beta 0 = intercespt coeff

Xi= return on each month

Yi= 0.67233+1.351Xi

Date

SS
MS
F
Significance F
63.28318662 63.28319 8.708086
0.005620112
254.351118 7.267175
317.6343046

beta1 = xintercept coef

Expiry
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13

Series Code
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013

Strike Price Open

High
0
173.6
0
170.3
0
166.9
0
161.7

175
172.3
171.05
165.3

12/19/2013
12/18/2013
12/17/2013
12/16/2013
12/13/2013
12/12/2013
12/11/2013
12/10/2013
12/9/2013
12/6/2013
12/5/2013
12/4/2013
12/3/2013
12/2/2013
11/29/2013
11/28/2013
11/27/2013
11/26/2013
11/25/2013
11/22/2013
11/21/2013
11/20/2013
11/19/2013
11/18/2013
11/14/2013
11/13/2013
11/12/2013
11/11/2013
11/8/2013
11/7/2013
11/6/2013
11/5/2013
11/3/2013
11/1/2013

26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13

BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

164.95
156
157.05
152.9
157.95
160.8
164
166.45
173.8
170.15
166.7
159.2
157.45
157.05
150
145.7
144.45
150
138.85
134.1
0
0
0
135
0
132
127
0
132.9
131.1
140.1
144
0
142

164.95
163.75
157.65
156
158.2
163
164
166.95
173.8
172.45
168.8
161.7
159.75
158
157.15
149.5
144.9
150
141
135
0
0
0
138
0
132
128.75
0
132.9
133.5
143
144
0
142

Upper 95%
Lower 95.0% Upper 95.0%
1.572914021 -0.228847649 1.572914021
2.280766178 0.421641218 2.280766178

Low

Close
172.65
170.15
166.9
161.2

LTP
174.75
172.1
169.3
164.95

174.75
172.1
169.3
164.95

Expiry
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13

Series CodeClose
Settle Price
BHELDEC2013 146.1
142
BHELDEC2013
144
146.1
BHELDEC2013 138.5
144
BHELDEC2013 133.5
138.5
BHELDEC2013 132.9
133.5
BHELDEC2013 135.15
132.9
BHELDEC2013 128.1
135.15
BHELDEC2013
132
128.1
BHELDEC2013 136.8
132
BHELDEC2013
138
136.8
BHELDEC2013 142.5
138
BHELDEC2013 141.9
142.5
BHELDEC2013 138.05
141.9
BHELDEC2013 134.55
138.05
BHELDEC2013
141
134.55
BHELDEC2013
150
141
BHELDEC2013 144.1
150
BHELDEC2013 148.3
144.1
BHELDEC2013 155.4
148.3
BHELDEC2013 156.65
155.4
BHELDEC2013 159.6
156.65

26-Dec-13 BHELDEC2013 160.95

26-Dec-13 BHELDEC2013 168.65

159.6
160.95

26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13
26-Dec-13

168.65
170.1
170
166.4
161.3
160.75
155
155.3
154.95
163.5
161.4
164.95
169.3
172.1

BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013
BHELDEC2013

170.1
170
166.4
161.3
160.75
155
155.3
154.95
163.5
161.4
164.95
169.3
172.1
174.75

Settle Price No. of Contracts

Turnover Open Interest
Change in OI
172.1
39
135.81
28000
10000
169.3
58
198.34
18000
-12000
164.95
82
277.58
30000
-18000
161.4
39
127.63
48000
-20000

158.75
156
153.8
152.9
154.05
159.9
161
161
168.6
168
163.8
159.2
157.45
154.6
149.85
145.1
142.55
150
138.8
134.1
0
0
0
135
0
132
127
0
132.9
131.1
138.5
144
0
142

161.4
163.5
154.95
155.3
155
160.75
161.3
166.4
170
170.1
168.65
160.95
159.6
156.65
155.4
148.3
144.1
150
141
134.55
138.05
141.9
142.5
138
136.8
132
128.1
135.15
132.9
133.5
138.5
144
146.1
142

161.4
163.5
154.95
155.3
155
160.75
161.3
166.4
170
170.1
168.65
160.95
159.6
156.65
155.4
148.3
144.1
150
141
134.55
138.05
141.9
142.5
138
136.8
132
128.1
135.15
132.9
133.5
138.5
144
146.1
142

163.5
154.95
155.3
155
160.75
161.3
166.4
170
170.1
168.65
160.95
159.6
156.65
155.4
148.3
144.1
150
141
134.55
138.05
141.9
142.5
138
136.8
132
128.1
135.15
132.9
133.5
138.5
144
146.1
142
142.45

106
37
24
37
21
26
30
36
49
70
41
31
31
42
38
81
50
2
5
2
0
0
0
3
0
3
3
0
3
4
13
3
0
3

343.48
118.56
74.77
114.49
65.63
83.98
97.16
118.15
167.47
238.08
136.34
99.46
98.26
131.45
116.36
239.6
143.75
6
13.97
5.38
0
0
0
8.2
0
7.92
7.69
0
7.97
10.54
36.76
8.64
0
8.52

68000
52000
58000
58000
58000
54000
64000
56000
52000
58000
42000
34000
26000
20000
26000
18000
14000
12000
8000
6000
6000
6000
6000
6000
10000
10000
10000
10000
10000
10000
8000
0
6000
6000

16000
-6000
0
0
4000
-10000
8000
4000
-6000
16000
8000
8000
6000
-6000
8000
4000
2000
4000
2000
0
0
0
0
-4000
0
0
0
0
0
2000
8000
-6000
0
6000

SENSEX CLOSE
RETURN BHEL
RETURN SENSEX
21489 2.887324 -0.06046
21180 -1.43737 -1.43794
21095.25 -3.81944 -0.40014
21018.5 -3.61011 -0.36383
20966 -0.44944 -0.24978
20785 1.693002
-0.8633
20825 -5.21643 0.192446
20507 3.044496 -1.52701
20741 3.636364 1.141074
20995 0.877193 1.224628
21047.5 3.26087 0.25006
20777.5 -0.42105 -1.28281
20364.75 -2.71318 -1.98652
20349.25 -2.53531 -0.07611
20805.75 4.793757 2.243326
20641.5 6.382979 -0.78945
20627 -3.93333 -0.07025
20685.5 2.914643 0.283609
20961.75 4.787593 1.335477
21062.5 0.804376 0.480637
21001.5 1.883179 -0.28961
20835 0.845865
-0.7928
21086.25 4.784094 1.205904
21135
21447
21395
21263.25
21029.5
20821.25
20785.75
20696.25
20931.75
20746.25
21135.75
21159.25
21081.5
21075.5

0.859769
-0.05879
-2.11765
-3.0649
-0.34098
-3.57698
0.193548
-0.22537
5.517909
-1.2844
2.199504
2.637163
1.653869
1.539802

0.231193
1.476224
-0.24246
-0.6158
-1.09931
-0.99028
-0.1705
-0.43058
1.137887
-0.88621
1.877448
0.111186
-0.36745
-0.02846

AVERAGE 0.605204 -0.04946

STD DEVIATION
13.32875 275.4866
Underlying Value
174.7
172.4
169.15
165.55

162.15
163.25
154.45
154.95
154.85
161.4
162.05
165.65
171.7
171.35
170.55
164.1
163.35
159.25
156.05
150.85
146.4
147.85
144.15
137
137.15
140.95
141.5
139.85
135.7
133.5
131.7
134
135.45
134.45
140.45
142.3
144.65
143.45

Date
10/11/2013
10/14/2013
10/15/2013
10/17/2013
10/18/2013
10/21/2013
10/22/2013
10/23/2013
10/24/2013
10/25/2013
10/28/2013
10/29/2013
10/30/2013
10/31/2013
11/1/2013
11/3/2013
11/5/2013
11/6/2013
11/7/2013
11/8/2013
11/11/2013
11/12/2013
11/13/2013
11/14/2013
11/18/2013
11/19/2013
11/20/2013
11/21/2013
11/22/2013
11/25/2013
11/26/2013
11/27/2013
11/28/2013

Expiry
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13
28-Nov-13

Series Code
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013
BHELNOV2013

Strike Price
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Open
High
Low
Close
147.9
147.9
147.9
147.9
142.25
142.25
142.25
142.25
146
146
146
146
148
148
148
148
0
0
0
149.1
143
143
143
143
144
144
144
144
146
146
146
146
141
141
141
141
0
0
0
138.05
137
137
136
136
129
129
128.25
128.25
137
137
136.65
136.65
138.6
139.65
136.4
139.35
139.4
144.6
139.4
143.85
144.3
144.6
143.55
143.85
143
144.55
139.95
142.9
141.2
143.9
137.7
138.8
134.8
134.85
130.65
131.35
131.45
133.4
131.05
133.15
133.05
133.4
131.45
131.6
132.4
132.7
129.3
129.6
131.4
132.35
130.65
131
132.7
135.4
132.7
134.7
136.95
139.75
136.3
139.5
139
141.25
137.4
141.1
141.05
143.4
139.3
139.7
138.6
139.5
136.15
136.2
137.25
137.65
135.1
136.7
138.25
144.65
138.25
144
147.45
151.15
147.45
148.1
147.8
147.8
144.2
146.3
147.65
152.5
146.95
150.6

LTP
147.9
142.25
146
148
149.1
143
144
146
141
138.05
136
128.25
136.65
139.35
143.85
143.85
142.9
138.8
131.35
133.15
131.6
129.6
131
134.7
139.5
141.1
139.7
136.2
136.7
144
148.1
146.3
150.6

Settle Price No. of Contracts Turnover Open Interest Change in OI Underlying Value
142
1
2.96
0
-2000
147.05
147.9
1
2.85
2000
2000
144.75
142.25
1
2.92
0
-2000
145.85
146
1
2.96
2000
2000
146.35
148
0
0
2000
0
147.95
149.1
1
2.86
0
-2000
145.7
143
2
5.76
4000
4000
145.35
144
1
2.92
2000
-2000
142.55
146
2
5.64
6000
4000
140.15
141
0
0
6000
0
137.15
138.05
3
8.18
6000
0
136.4
136
3
7.72
6000
0
136.3
128.25
3
8.21
8000
2000
139.15
136.65
31
85.6
22000
14000
140.95
139.35
42
119.14
20000
-2000
143.45
143.85
36
103.8
22000
2000
144.65
143.85
79
224.31
32000
10000
142.3
142.9
206
581.04
74000
42000
140.45
138.8
95
252.76
94000
20000
134.45
131.35
35
92.58
100000
6000
135.45
133.15
22
58.27
102000
2000
134
131.6
20
52.31
112000
10000
131.7
129.6
28
73.69
110000
-2000
133.5
131
33
88.69
98000
-12000
135.7
134.7
25
68.69
92000
-6000
139.85
139.5
24
66.85
86000
-6000
141.5
141.1
46
130.47
72000
-14000
140.95
139.7
42
116.11
44000
-28000
137.15
136.2
27
73.72
34000
-10000
137
136.7
130
368.35
14000
-20000
144.15
144
37
110.26
22000
8000
147.85
148.1
102
297.84
20000
-2000
146.4
146.3
77
230.35
18000
-2000
150.85

SENSEX CLOSE BHEL RETURNS SENSEX RETURNS

21000
4.154929577
-0.473933649
21126.75 -3.820148749
0.603571429
21100
2.636203866
-0.12661673
20911.25
1.369863014
-0.894549763
21180
0.743243243
1.285193377
20818.5
-4.09121395
-1.706798867
20743.5
0.699300699
-0.360256503
21064.75
1.388888889
1.548677899
21201.25 -3.424657534
0.648001994
21292.5 -2.092198582
0.430399151
21370.75 -1.484969214
0.367500294
21357.75 -5.698529412
-0.060830808
21145.75
6.549707602
-0.992613922
21038
1.975850714
-0.509558658
20970.25
3.229278794
-0.322036315
20832
0
-0.659267295
20650 -0.660410149
-0.873655914
20462 -2.869139258
-0.910411622
20332.25 -5.367435159
-0.634102238
20525.5
1.370384469
0.950460475
20949.5 -1.164100638
2.065723125
20989 -1.519756839
0.188548653
20730
1.080246914
-1.233979704
20297.5
2.824427481
-2.086348288
20247.25
3.563474388
-0.247567434
20663.25
1.146953405
2.054600007
20478.25 -0.992204111
-0.895309305
20471.25 -2.505368647
-0.034182608
20515.25
0.367107195
0.21493558
21180
5.340160936
3.24027248
20911.25
2.847222222
-1.268885741
21100 -1.215395003
0.902624186
21126.75
2.939166097
0.126777251

AVERAGE RETURNS
BHEL
SENSEX

0.221845
0.010193

STD DEVIATION
BHEL
SENSEX

6.002947
314.2401

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.070311
R Square
0.004944
Adjusted R Square
-0.02822
Standard Error
2.998909
Observations
32
ANOVA
df
Regression
Residual
Total

1
30
31

Coefficients
Intercept
0.094408
-0.473933649 0.178801

SS
MS
F
Significance F
1.340438 1.340438 0.149046 0.702173
269.8037 8.993455
271.1441
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%Upper 95.0%
0.530267 0.178039 0.859889 -0.98854 1.177358 -0.98854 1.177358
0.463139 0.386065 0.702173 -0.76705 1.124657 -0.76705 1.124657

Date
9/25/2013
9/26/2013
9/27/2013
9/30/2013
10/1/2013
10/3/2013
10/4/2013
10/7/2013
10/8/2013
10/9/2013
10/10/2013
10/11/2013
10/14/2013
10/15/2013
10/17/2013
10/18/2013
10/21/2013
10/22/2013
10/23/2013
10/24/2013
10/25/2013
10/28/2013
10/29/2013
10/30/2013
10/31/2013

Expiry
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13
31-Oct-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELOCT2013
0
133.95
139.7
133.95
139.45
139.45
BHELOCT2013
0
141.65
146.85
141.65
146.55
146.55
BHELOCT2013
0
145.05
145.35
140.4
141.6
141.6
BHELOCT2013
0
138.15
138.15
134.85
134.85
134.85
BHELOCT2013
0
139.7
142.8
139.35
141.2
141.2
BHELOCT2013
0
143.65
144.45
140.35
143
143
BHELOCT2013
0
141.4
144.4
140.35
143.3
143.3
BHELOCT2013
0
143.7
146
143.7
145.9
145.9
BHELOCT2013
0
145.75
147.15
143.45
143.45
143.45
BHELOCT2013
0
143.15
144.7
143.05
144.65
144.65
BHELOCT2013
0
147.1
148.15
145.2
145.95
145.95
BHELOCT2013
0
146.15
146.15
145.3
145.95
145.95
BHELOCT2013
0
144.65
144.65
142.5
144
144
BHELOCT2013
0
146.2
146.2
140.5
143.85
143.85
BHELOCT2013
0
145
146.6
143
145.05
145.05
BHELOCT2013
0
146.8
151.5
144.15
150
150
BHELOCT2013
0
146.95
147.75
144.3
144.75
144.75
BHELOCT2013
0
144.5
146.45
144
144.5
144.5
BHELOCT2013
0
144.85
144.85
139.65
141.9
141.9
BHELOCT2013
0
141.85
141.95
141.1
141.9
141.9
BHELOCT2013
0
137
137.05
137
137.05
137.05
BHELOCT2013
0
137.25
137.3
134.3
135
135
BHELOCT2013
0
132.6
137.7
132.55
136.5
136.5
BHELOCT2013
0
137.95
140.3
137.55
139.5
139.5
BHELOCT2013
0
140.3
141.1
138.4
141
141

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX RETURN BHEL RETURNS
132.3
6
16.42
6000
6000
141.45
21162.5
139.45
21
60.47
8000
2000
150.4
21041
5.09143062
146.55
42
120.23
12000
4000
143.95
20961.75 -3.377686796
141.6
5
13.63
10000
-2000
137.35
20590.75 -4.766949153
134.85
17
48.12
6000
-4000
141.4
20725.75
4.708935855
141.2
15
42.82
6000
0
143.75
20739.5
1.274787535
143
19
54.05
6000
0
143.95
20823
0.20979021
143.3
13
37.56
6000
0
146.15
20941
1.814375436
145.9
11
31.96
8000
2000
144.7
20969.5 -1.679232351
143.45
14
40.31
10000
2000
147.95
20954.75
0.836528407
144.65
30
88.01
12000
2000
147.25
20512.75
0.898721051
145.95
13
37.91
14000
2000
147.05
20649.5
0
145.95
20
57.39
6000
-8000
144.75
20710 -1.336073998
144
29
83.11
6000
0
145.85
20648.25 -0.104166667
143.85
28
80.8
10000
4000
146.35
20396
0.834202294
145.05
85
248.47
14000
4000
147.95
20390.25
3.412616339
150
32
93.12
16000
2000
145.7
20100.25
-3.5
144.75
25
72.61
20000
4000
145.35
20030.75 -0.172711572
144.5
41
116.65
20000
0
142.55
20056 -1.799307958
141.9
31
87.72
34000
14000
140.15
20104
0
141.9
2
5.48
36000
2000
137.15
19691
-3.41789993
137.05
18
48.73
34000
-2000
136.4
19567.75 -1.495804451
135
29
78.08
36000
2000
136.3
19897.75
1.111111111
136.5
42
116.77
16000
-20000
139.15
20099.25
2.197802198
139.5
16
44.77
16000
0
140.95
20086.75
1.075268817

SENSEX RETURNS
-0.574128766
-0.376645597
-1.769890396
0.655634205
0.066342593
0.402613371
0.566681074
0.136096652
-0.070340256
-2.109306959
0.666658542
0.292985302
-0.298165138
-1.221653167
-0.028191802
-1.422248379
-0.345766844
0.126056189
0.239329876
-2.054317549
-0.625920471
1.686448365
1.012677313
-0.062191375

AVERAGE RETURN
BHEL
SENSEX
STD DEV
BHEL
SENSEX

0.075655708
-0.212801801

3.678089722
439.706075

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.542290967
R Square
0.294079493
Adjusted R Square
0.260464231
Standard Error
1.974036882
Observations
23
ANOVA
df
Regression
Residual
Total

Intercept
-0.574128766

SS
MS
F
1 34.09092 34.09092 8.748392
21 81.83325 3.896822
22 115.9242

Coefficients Standard Error t Stat

P-value
0.111218899 0.420453 0.264522 0.793957
1.286913968 0.435096 2.957768 0.007512

Significance F
0.007512

Lower 95% Upper 95%Lower 95.0%

Upper 95.0%
-0.76316 0.985599 -0.76316 0.985599
0.382082 2.191746 0.382082 2.191746

Date
8/28/2013
8/29/2013
8/30/2013
9/2/2013
9/3/2013
9/4/2013
9/5/2013
9/6/2013
9/10/2013
9/11/2013
9/12/2013
9/13/2013
9/16/2013
9/17/2013
9/18/2013
9/19/2013
9/20/2013
9/23/2013
9/24/2013
9/25/2013
9/26/2013

Expiry
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13
26-Sep-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELSEP2013
0
103.1
112.3
102.05
112.3
112.3
BHELSEP2013
0
111.95
113.55
111.95
113.35
113.35
BHELSEP2013
0
114.5
118.3
113.4
115.45
115.45
BHELSEP2013
0
118.5
118.6
118.05
118.3
118.3
BHELSEP2013
0
120.55
122.2
115.15
115.5
115.5
BHELSEP2013
0
117.45
124.95
117.45
124.35
124.35
BHELSEP2013
0
128.3
134.5
125.8
134.5
134.5
BHELSEP2013
0
135.45
142
135.45
139.7
139.7
BHELSEP2013
0
138.85
143
138.85
140.65
140.65
BHELSEP2013
0
140
141.2
137
138
138
BHELSEP2013
0
133.15
133.15
131.1
131.8
131.8
BHELSEP2013
0
134.85
141.8
134.85
141.15
141.15
BHELSEP2013
0
143.7
143.7
135.05
135.5
135.5
BHELSEP2013
0
133.1
136.2
130.95
135.65
135.65
BHELSEP2013
0
135.95
136.1
127.25
130
130
BHELSEP2013
0
134.6
136.25
130.65
133.85
133.85
BHELSEP2013
0
136.3
137.9
130.15
134.45
134.45
BHELSEP2013
0
133.35
134.25
129.05
129.25
129.25
BHELSEP2013
0
128.45
133
128.45
131.45
131.45
BHELSEP2013
0
133.05
141.55
133.05
140.8
140.8
BHELSEP2013
0
144.8
151.3
144.15
150.75
150.75

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value SENSEX CLOSE BHEL RETURNS
112.7
23
48.25
6000
6000
114.2
19900.5
112.3
7
15.83
12000
6000
117.5
19903.75
0.934995548
113.35
43
99.03
14000
2000
118.75
19982
1.852668725
115.45
6
14.21
14000
0
120.8
19980.25
2.468601126
118.3
64
151.77
14000
0
119.4
20312.5 -2.366863905
115.5
30
73.47
18000
4000
126.8
20728.5
7.662337662
124.35
21
54.32
22000
4000
137.2
20055.75
8.162444713
134.5
61
170.15
20000
-2000
141.55
19894.25
3.866171004
139.7
17
47.91
20000
0
142.6
19821
0.680028633
140.65
93
259.23
16000
-4000
140.4
19835 -1.884109492
138
5
13.22
16000
0
134.8
19816.25 -4.492753623
131.8
21
58.08
12000
-4000
142.35
20105
7.094081942
141.15
24
66.72
14000
2000
135.8
20039.75 -4.002833865
135.5
14
37.44
12000
-2000
136.55
19340.75
0.110701107
135.65
101
266.72
32000
20000
130.05
19043 -4.165130851
130
29
77.61
16000
-16000
133.75
18629.75
2.961538462
133.85
47
125.98
20000
4000
135.25
18282
0.448262981
134.45
37
96.75
12000
-8000
129.9
18899 -3.867608776
129.25
17
44.76
12000
0
131.35
18596
1.70212766
131.45
32
87.2
10000
-2000
141.45
18373.75
7.112970711
140.8
37
109.85
30000
20000
150.4
17975
7.066761364

SENSEX RETURNS
0.016331248
0.393141996
-0.008757882
1.662892106
2.048
-3.245531515
-0.805255351
-0.368196841
0.070632158
-0.094529871
1.45713745
-0.324546133
-3.488067466
-1.539495625
-2.170088747
-1.866638039
3.374904277
-1.603259432
-1.195149495
-2.170215661

AVERAGE RETURN
BHEL
SENSEX

1.56722
-0.49283

STD DEV
BHEL
SENSEX

10.3139
744.5105

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.215996
R Square
0.046654
Adjusted R Square
-0.00942
Standard Error
4.379454
Observations
19
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 15.95619 15.95619 0.831934 0.374467
17 326.0535 19.17962
18 342.0097

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
1.328815 1.047938 1.268029 0.22188 -0.88214
0.016331248 -0.52283 0.573212
-0.9121 0.374467
-1.7322

ignificance F

Upper 95%Lower 95.0%

Upper 95.0%
3.539771 -0.88214 3.539771
0.686542
-1.7322 0.686542

Date
7/24/2013
7/25/2013
7/26/2013
7/29/2013
7/30/2013
7/31/2013
8/1/2013
8/2/2013
8/5/2013
8/6/2013
8/7/2013
8/8/2013
8/12/2013
8/13/2013
8/14/2013
8/16/2013
8/19/2013
8/20/2013
8/21/2013
8/22/2013
8/23/2013
8/26/2013
8/27/2013
8/28/2013
8/29/2013

Expiry
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13
29-Aug-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELAUG2013
0
165.45
165.95
162.75
163.75
163.75
BHELAUG2013
0
161.9
161.9
158.25
159.9
159.9
BHELAUG2013
0
160
160.65
157.2
160.65
160.65
BHELAUG2013
0
159.75
161.1
157.95
158.5
158.5
BHELAUG2013
0
158.35
158.75
153.3
153.85
153.85
BHELAUG2013
0
150.8
159.6
149.8
159.3
159.3
BHELAUG2013
0
160.4
160.9
151.65
152.1
152.1
BHELAUG2013
0
152.15
153.05
148.8
148.8
148.8
BHELAUG2013
0
133.95
134.1
120.7
121.8
121.8
BHELAUG2013
0
118.6
119
112.95
112.95
112.95
BHELAUG2013
0
114.8
117.45
114.1
116.6
116.6
BHELAUG2013
0
117
119.55
114.25
118.3
118.3
BHELAUG2013
0
115.85
122.95
114.95
119.1
119.1
BHELAUG2013
0
121.4
123.05
121.4
121.9
121.9
BHELAUG2013
0
121.45
121.75
116.6
118.4
118.4
BHELAUG2013
0
110.4
110.4
106.6
106.7
106.7
BHELAUG2013
0
102.8
106.1
102
102.9
102.9
BHELAUG2013
0
103.5
103.75
101.15
102.6
102.6
BHELAUG2013
0
104.45
109.35
104.45
105.35
105.35
BHELAUG2013
0
104.95
107.25
104.95
105
105
BHELAUG2013
0
108.7
116.6
108.7
116.6
116.6
BHELAUG2013
0
117.1
124.4
117.1
123.45
123.45
BHELAUG2013
0
121.25
125.65
110.7
111.4
111.4
BHELAUG2013
0
107.6
115.25
105.05
113.8
113.8
BHELAUG2013
0
114.1
117.55
112
116.6
116.6

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURNS
SENSEX RETURNS
166.25
42
137.65
6000
6000
163 20197.25
163.75
40
127.95
10000
4000
158.6 19929.5 -2.35115 -1.32568
159.9
82
260.22
10000
0
158.8
19885 0.469043 -0.22329
160.65
122
388.19
6000
-4000
156.95 19756.25 -1.33831 -0.64747
158.5
220
680.3
8000
2000
152.65
19486 -2.93375 -1.36792
153.85
234
718.29
16000
8000
158.25
19488 3.542411 0.010264
159.3
24
75.72
12000
-4000
150.65 19452.25 -4.51977 -0.18345
152.1
16
48.46
16000
4000
149.4 19270.25 -2.16963 -0.93562
148.8
79
194.35
20000
4000
120.9
19330 -18.1452 0.310063
121.8
56
129.93
18000
-2000
112.95
18853 -7.26601 -2.46767
112.95
118
272.67
30000
12000
115.9 18795.75 3.231518 -0.30367
116.6
98
229.52
26000
-4000
117.55 18878.5 1.457976 0.440259
118.3
74
176.27
20000
-6000
119.8 18991.5 0.676247 0.598565
119.1
5
12.21
20000
0
120.9 19256.5 2.350966 1.395361
121.9
24
57.38
22000
2000
118.65 19378.25 -2.87121 0.632254
118.4
13
28.2
22000
0
105.95 18654.25 -9.88176 -3.73615
106.7
17
35.19
22000
0
103.35 18349.75 -3.56139 -1.63234
102.9
37
76.14
22000
0
101.5
18285 -0.29155 -0.35287
102.6
56
119.01
20000
-2000
104.7
17982 2.680312
-1.6571
105.35
49
104.32
20000
0
107.4
18325 -0.33223 1.907463
105
22
49.92
20000
0
116.1
18469 11.04762 0.785812
116.6
52
125.35
18000
-2000
123.8 18531.25 5.874786 0.337051
123.45
61
144.23
20000
2000
112.05
17988 -9.76104 -2.93153
111.4
67
145.57
16000
-4000
114.2
17946 2.154399 -0.23349
113.8
25
57.59
2000
-14000
117.5 18407.5 2.460457 2.571604

SENSEX RETURNS

AVG RETURNS
BHEL
-1.22822
SENSEX
#NAME?
STD DEV
BHEL
SENSEX

21.14315
641.3745

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.47982
R Square
0.230227
Adjusted R Square
0.193572
Standard Error
5.433459
Observations
23
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 185.4244 185.4244 6.280787 0.020504
21 619.9721 29.52248
22 805.3965

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept
-0.5294 1.162262 -0.45549 0.65343 -2.94646 1.887655 -2.94646
-1.32568 1.945614 0.776336 2.50615 0.020504 0.331135 3.560093 0.331135

Upper 95.0%
1.887655
3.560093

Date
6/26/2013
6/27/2013
6/28/2013
7/1/2013
7/2/2013
7/3/2013
7/4/2013
7/5/2013
7/8/2013
7/9/2013
7/10/2013
7/11/2013
7/12/2013
7/15/2013
7/16/2013
7/17/2013
7/18/2013
7/19/2013
7/22/2013
7/23/2013
7/24/2013
7/25/2013

Expiry
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13
25-Jul-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELJUL2013
0
162.8
163.8
162.6
162.6
162.6
BHELJUL2013
0
164.25
165.65
163
163.6
163.6
BHELJUL2013
0
166.25
173.85
166.25
173.5
173.5
BHELJUL2013
0
174.65
178.7
174.65
178.25
178.25
BHELJUL2013
0
177.25
184.65
174.65
182.15
182.15
BHELJUL2013
0
179.4
180.95
175.6
177.55
177.55
BHELJUL2013
0
178.15
178.75
172.9
175.1
175.1
BHELJUL2013
0
176.55
178.8
175.4
178.1
178.1
BHELJUL2013
0
175.6
183.15
173.75
182.2
182.2
BHELJUL2013
0
183.55
188.55
183.25
187.1
187.1
BHELJUL2013
0
186.85
186.85
182.65
183.2
183.2
BHELJUL2013
0
186.55
186.9
184.95
185.95
185.95
BHELJUL2013
0
185.55
188.8
184.8
188.1
188.1
BHELJUL2013
0
187.9
188.65
184.9
186.65
186.65
BHELJUL2013
0
184.15
184.75
181.15
182.85
182.85
BHELJUL2013
0
183.2
186.85
181.95
182.7
182.7
BHELJUL2013
0
184.35
190
184.35
189.45
189.45
BHELJUL2013
0
185.2
185.2
173.2
173.2
173.2
BHELJUL2013
0
172.55
172.75
161.25
161.95
161.95
BHELJUL2013
0
162
166.55
162
165.25
165.25
BHELJUL2013
0
164.4
166.15
161.65
163.2
163.2
BHELJUL2013
0
159.6
159.85
157.7
158.4
158.4

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURNS
SENSEX RETURNS
164.55
13
42.51
10000
10000
163.65 18533.25
162.6
31
101.88
26000
16000
163.05 18893.5 0.615006 1.943804
163.6
97
330.98
32000
6000
174.3 19380.5 6.051345 2.577606
173.5
114
404.72
46000
14000
178.8 19549.25 2.737752 0.870721
178.25
204
731.97
46000
0
183.7 19472.5 2.187938
-0.3926
182.15
239
850.79
40000
-6000
178.2 19180.75 -2.52539 -1.49827
177.55
278
974.01
28000
-12000
175.3
19435 -1.37989 1.325548
175.1
112
396.89
18000
-10000
178.5 19547.75 1.713307 0.580139
178.1
203
725.05
28000
10000
182.65 19371.5 2.302077 -0.90164
182.2
188
700.21
32000
4000
186.7 19496.5 2.689352 0.645278
187.1
168
621.09
38000
6000
184.05 19315.75 -2.08445 -0.92709
183.2
172
639.61
46000
8000
186.15 19728.25 1.501092 2.135563
185.95
202
756.83
54000
8000
187.85 19965.25 1.156225 1.201323
188.1
49
182.89
60000
6000
186.15 20054.25 -0.77087 0.445775
186.65
62
226.62
52000
-8000
182.75 19882.25
-2.0359 -0.85767
182.85
215
794.74
54000
2000
183.15 19947.5 -0.08203 0.328182
182.7
97
365.47
58000
4000
188.9 20218.75 3.694581 1.35982
189.45
117
414.61
52000
-6000
173.75
20184 -8.57746 -0.17187
173.2
80
265.7
48000
-4000
161.5
20208 -6.49538 0.118906
161.95
46
151.43
48000
0
165.1 20347.5 2.037666 0.690321
165.25
56
182.95
32000
-16000
163
20125 -1.24054
-1.0935
163.2
1161 3675.92
34000
2000
158.6 19805.5 -2.94118 -1.58758

1.943804

SENSEX RETURNS

AVG RET
BHEL
SENSEX

-0.06889
0.323465

STD DEV
BHEL
SENSEX

9.595926
451.5518

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.535908
R Square
0.287197
Adjusted R Square
0.247597
Standard Error3.01055
Observations
20
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 65.73172 65.73172 7.252427 0.01487
18 163.1414 9.063409
19 228.8731

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept
-0.48903 0.688265 -0.71053 0.486479 -1.93503 0.956957 -1.93503
1.943804 1.591873 0.591108 2.693033 0.01487 0.350001 2.833745 0.350001

Upper 95.0%
0.956957
2.833745

Date
5/29/2013
5/30/2013
5/31/2013
6/3/2013
6/4/2013
6/5/2013
6/6/2013
6/7/2013
6/10/2013
6/11/2013
6/12/2013
6/13/2013
6/14/2013
6/17/2013
6/18/2013
6/19/2013
6/20/2013
6/21/2013
6/24/2013
6/25/2013
6/26/2013
6/27/2013

Expiry
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13
27-Jun-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELJUN2013
0
199
202.8
197.8
201.9
201.9
BHELJUN2013
0
201.95
204.85
201.95
204.05
204.05
BHELJUN2013
0
202.9
203.9
198.65
199.25
199.25
BHELJUN2013
0
198.7
200.4
195.55
197.1
197.1
BHELJUN2013
0
197.2
198.95
194.4
195.75
195.75
BHELJUN2013
0
194.55
195.75
193.15
194.95
194.95
BHELJUN2013
0
194
195.75
192.35
192.95
192.95
BHELJUN2013
0
191.55
194.7
189.55
189.9
189.9
BHELJUN2013
0
191.9
191.9
184.1
184.8
184.8
BHELJUN2013
0
184.15
184.65
181.7
181.95
181.95
BHELJUN2013
0
182.65
184.05
179.3
180
180
BHELJUN2013
0
176.9
178.65
175.15
175.3
175.3
BHELJUN2013
0
177.4
179.25
176.5
176.9
176.9
BHELJUN2013
0
176.75
183.5
176.15
182.8
182.8
BHELJUN2013
0
182
184.5
180.65
181.4
181.4
BHELJUN2013
0
181.6
182.45
179.15
180.6
180.6
BHELJUN2013
0
177
178.1
171.05
171.65
171.65
BHELJUN2013
0
172
174.75
168.15
169.95
169.95
BHELJUN2013
0
169.85
169.85
164.5
165.8
165.8
BHELJUN2013
0
166.9
167.95
162.5
163.45
163.45
BHELJUN2013
0
163.85
166.7
163.5
163.65
163.65
BHELJUN2013
0
164.95
166.05
162.95
162.95
162.95

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURN
SENSEX RETURN
204.4
24
48.18
1000
1000
203.15 20149.5
201.9
11
22.4
3000
2000
205.35 20228.5 1.064884 0.392069
204.05
536 1079.35
8000
5000
199.95 19837.5 -2.35236 -1.93292
199.25
220
435.08
17000
9000
197.1 19687.5 -1.07905 -0.75614
197.1
125
246.06
23000
6000
195.5 19605.25 -0.68493 -0.41778
195.75
202
393.17
38000
15000
194.45 19625.25 -0.40868 0.102013
194.95
151
292.65
43000
5000
192.2
19595
-1.0259 -0.15414
192.95
828 1584.74
45000
2000
189.8 19480.75 -1.58072 -0.58306
189.9
1294 2426.52
54000
9000
184.1 19481.25 -2.68562 0.002567
184.8
1139 2086.27
57000
3000
181.5 19164.25 -1.54221 -1.62721
181.95
1089 1982.82
52000
-5000
179.25 19077.25 -1.07172 -0.45397
180
1173 2069.49
53000
1000
175 18863.25 -2.61111 -1.12175
175.3
1165 2075.88
58000
5000
176.4 19176.75 0.912721 1.661962
176.9
1092 1977.53
60000
2000
182.35
19316 3.335218 0.72614
182.8
1096 2005.23
65000
5000
180.65 19214.25 -0.76586 -0.52677
181.4
1197 2161.28
64000
-1000
180.3 19242.25 -0.44101 0.145725
180.6
1130 1962.97
64000
0
171.3 18702.5
-4.9557 -2.80503
171.65
1068 1819.02
62000
-2000
170.65 18704.75 -0.99039 0.01203
169.95
1720 2863.68
58000
-4000
165.5 18516.25 -2.44189 -1.00777
165.8
2059
3402.7
57000
-1000
163.6
18606 -1.41737 0.484709
163.45
1675 2764.93
53000
-4000
163.65
18510 0.122362 -0.51596
163.65
878
1451.5
44000
-9000
163.05 18870.75 -0.42774 1.948947

0.392069

SENSEX RETURN

AVG RET
BHEL
SENSEX

-1.00224
-0.30602

STD DEV
BHEL
SENSEX

12.76237
487.7704

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.701544
R Square
0.492164
Adjusted R Square
0.463951
Standard Error
1.192961
Observations
20
ANOVA
df
Regression
Residual
Total

SS
MS
1 24.82627 24.82627
18 25.61683 1.423157
19 50.44309

F
Significance F
17.4445 0.000567

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept
-0.75456 0.279682 -2.69794 0.014716 -1.34215 -0.16697 -1.34215
0.392069 1.029676 0.246531 4.176661 0.000567 0.511734 1.547619 0.511734

Upper 95.0%
-0.16697
1.547619

Date
4/23/2013
4/25/2013
4/26/2013
4/29/2013
4/30/2013
5/2/2013
5/3/2013
5/6/2013
5/7/2013
5/8/2013
5/9/2013
5/10/2013
5/11/2013
5/13/2013
5/14/2013
5/15/2013
5/16/2013
5/17/2013
5/20/2013
5/21/2013
5/22/2013
5/23/2013
5/24/2013
5/27/2013
5/28/2013
5/29/2013
5/30/2013

Expiry
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13
30-May-13

Series Code
Strike Price
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0
BHELMAY2013
0

Open
187.4
188.9
190.35
190.65
191.75
192.35
191.2
192.65
194.3
196.7
194.7
196.55
196.2
194.1
190.15
189.95
193.5
194.3
204
201.55
207.3
199.7
195.6
193.85
197.6
202.45
201.2

High
187.4
189
191.15
192.4
193.35
192.35
194
194.1
197
196.7
196.85
198.1
196.25
194.3
190.55
192.3
194.75
203.4
204.6
207.3
207.3
200.05
195.6
197.7
204.65
204.4
205.65

Low
187.4
187.8
188.2
189.9
187.55
190.4
188.85
191.6
194.3
193.75
193.6
195.95
195.65
190.05
188.2
189.95
193.25
192.25
201
201.1
202.05
192
190.7
192.9
194.75
198.45
201.2

Close
187.4
188.25
188.6
191.75
192.25
191.35
191.2
193.75
196.3
195.4
195.55
196.2
196.2
190.05
189.1
191.65
194
201.2
202.45
205.65
202.4
195
193.25
197.3
203.45
203.4
205.4

LTP
187.4
188.25
188.6
191.75
192.25
191.35
191.2
193.75
196.3
195.4
195.55
196.2
196.2
190.05
189.1
191.65
194
201.2
202.45
205.65
202.4
195
193.25
197.3
203.45
203.4
205.4

Settle Price No. of Contracts Turnover Open Interest Change in OI Underlying Value SENSEX CLOSE
192.75
1
1.87
1000
1000
189 19242.5
187.4
17
32.04
4000
3000
192.45
19436
188.25
228
431.72
13000
9000
188.9
19327
188.6
904 1729.21
26000
13000
191.3 19439.75
191.75
713 1350.42
31000
5000
192.5 19481.75
192.25
435
832.28
27000
-4000
191.7
19745
191.35
145
277.11
35000
8000
191.5 19582.5
191.2
139
268.71
33000
-2000
193.1 19648.75
193.75
160
313.78
31000
-2000
196.5 19906.75
196.3
204
397.99
32000
1000
195.15 19968.75
195.4
140
272.1
31000
-1000
195.7 19923.5
195.55
65
128.09
32000
1000
196.5 20111.5
196.2
14
27.45
31000
-1000
195.8 20161.25
196.2
86
164.37
33000
2000
190.2 19755.25
190.05
69
130.79
37000
4000
188.95 19763.75
189.1
722 1381.52
37000
0
191.4 20261.5
191.65
1242 2404.26
37000
0
193.6 20303.75
194
950 1836.91
35000
-2000
201.35 20367.25
201.2
621 1260.91
36000
1000
201.9
20265
202.45
686 1398.27
37000
1000
205.6 20118.25
205.65
25
51.18
35000
-2000
203.4 20056.25
202.4
756 1491.29
33000
-2000
195.8 19661.5
195
605
1169.1
25000
-8000
192.85 19689.25
193.25
454
881.67
34000
9000
196.75
20025
197.3
1165
2309.3
35000
1000
203.25
20139
203.45
1064 2133.59
40000
5000
203.15 20099.5
203.4
1240 2525.91
39000
-1000
205.35 20222.5

BHEL RETURN
SENSEX RETURN
0.453575
0.185923
1.670201
0.260756
-0.46814
-0.07839
1.333682
1.316129
-0.45848
0.076766
0.332396
0
-3.13456
-0.49987
1.348493
1.226194
3.71134
0.621272
1.580637
-1.58035
-3.65613
-0.89744
2.095731
3.117081
-0.02458
0.983284

1.005587
-0.56081
0.583381
0.216052
1.351265
-0.82299
0.338312
1.313061
0.311452
-0.2266
0.943609
0.247371
-2.01376
0.043027
2.5185
0.208524
0.31275
-0.50203
-0.72415
-0.30818
-1.96821
0.141139
1.705245
0.569288
-0.19614
0.611956

VG RET
BHEL
SENSEX

0.365982
0.196063

STD DEV
BHEL
SENSEX

5.382241
318.0034

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.609313
R Square
0.371262
Adjusted R Square
0.343925
Standard Error
1.337822
Observations
25
ANOVA
df
Regression
Residual
Total

SS
MS
1 24.30718 24.30718
23 41.16463 1.789766
24 65.4718

F
Significance F
13.5812 0.001225

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept 0.199191 0.271208 0.734459 0.470091 -0.36185
1.005587 0.997589 0.270696 3.685268 0.001225 0.43761

ignificance F

Upper 95%Lower 95.0%

Upper 95.0%
0.760228 -0.36185 0.760228
1.557567 0.43761 1.557567

Date
4/1/2013
4/2/2013
4/3/2013
4/4/2013
4/5/2013
4/8/2013
4/9/2013
4/10/2013
4/11/2013
4/12/2013
4/15/2013
4/16/2013
4/17/2013
4/18/2013
4/22/2013
4/23/2013
4/25/2013

Expiry
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13
25-Apr-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELAPR2013
0
180.8
183.25
180.2
181.75
181.75
BHELAPR2013
0
182.8
183.3
182.8
182.85
182.85
BHELAPR2013
0
187
188.05
180.7
181.85
181.85
BHELAPR2013
0
178.65
181.35
177.75
177.85
177.85
BHELAPR2013
0
179.6
179.6
176.15
177.55
177.55
BHELAPR2013
0
178.5
183.9
176
182.9
182.9
BHELAPR2013
0
183.45
183.55
177.7
178.1
178.1
BHELAPR2013
0
179.2
179.2
175.55
178.25
178.25
BHELAPR2013
0
179.25
179.25
176.7
178.6
178.6
BHELAPR2013
0
178.55
182.15
178.55
180.15
180.15
BHELAPR2013
0
179.05
181.95
178.1
179.7
179.7
BHELAPR2013
0
179.9
182.9
179.3
182.75
182.75
BHELAPR2013
0
182.65
184.7
182.25
183.1
183.1
BHELAPR2013
0
184.05
186.7
182.4
186.35
186.35
BHELAPR2013
0
186.8
191.6
186.8
191.05
191.05
BHELAPR2013
0
190.5
191
187.1
188.7
188.7
BHELAPR2013
0
188.9
192.55
178.5
192
192

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURN
SENSEX RETURNS
177.9
33
60.02
12000
12000
181.95 18954.75
181.75
11
20.13
13000
1000
185 19102.25 0.605227 0.778169
182.85
104
192.21
20000
7000
182.85 18871.25
-0.5469 -1.20928
181.85
43
77.03
23000
3000
178.55 18589.25 -2.19962 -1.49434
177.85
149
265.25
50000
27000
177.7
18516 -0.16868 -0.39404
177.55
828 1504.43
91000
41000
182.35 18440.75 3.013236 -0.40641
182.9
656 1190.27
88000
-3000
178.65
18241 -2.62438
-1.0832
178.1
679 1203.91
38000
-50000
177.8 18464.75 0.084222 1.226632
178.25
669 1190.54
43000
5000
178.45 18560.25 0.196353 0.517202
178.6
668 1206.31
50000
7000
179.45 18290.75 0.867861 -1.45203
180.15
854
1542.1
45000
-5000
178.55
18356 -0.24979 0.356738
179.7
466
839.07
45000
0
182.35 18760.25 1.697273 2.202277
182.75
630 1160.71
43000
-2000
182.8 18742.25 0.191518 -0.09595
183.1
462
848.22
35000
-8000
185.7 19017.25 1.774986 1.467273
186.35
128
241.28
31000
-4000
191.35
19149 2.522136 0.692792
191.05
230
433.86
24000
-7000
189 19178.25 -1.23004 0.152749
188.7
133
250.62
5000
-19000
192.45 19353.25 1.748808 0.912492

0.778169

SENSEX RETURNS

AVG RETURN
BHEL
0.355138
SENSEX
0.135693
STD DEV
BHEL
SENSEX

4.408322
332.2008

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.529693
R Square
0.280575
Adjusted R Square
0.225234
Standard Error
1.436273
Observations
15
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 10.45875 10.45875 5.069979 0.042278
13 26.81743 2.062879
14 37.27619

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept 0.266503 0.372219 0.715986 0.486663 -0.53763 1.070633 -0.53763
0.778169 0.774944 0.344165 2.251661 0.042278 0.03142 1.518468 0.03142

Upper 95.0%
1.070633
1.518468

Date
3/1/2013
3/4/2013
3/5/2013
3/6/2013
3/7/2013
3/8/2013
3/11/2013
3/12/2013
3/13/2013
3/14/2013
3/15/2013
3/18/2013
3/19/2013
3/20/2013
3/21/2013
3/22/2013
3/25/2013
3/26/2013
3/28/2013

Expiry
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13
28-Mar-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELMAR2013
0
196.9
197
196.55
196.55
196.55
BHELMAR2013
0
198.5
198.7
198.5
198.55
198.55
BHELMAR2013
0
199.45
200.35
198.1
198.35
198.35
BHELMAR2013
0
200.1
204.5
199.35
202.85
202.85
BHELMAR2013
0
203.55
206.35
203.55
205.4
205.4
BHELMAR2013
0
206.7
208.25
205.95
207.55
207.55
BHELMAR2013
0
206.55
206.7
204.85
204.85
204.85
BHELMAR2013
0
205.15
205.3
200.6
202.7
202.7
BHELMAR2013
0
200.5
200.5
197.5
197.5
197.5
BHELMAR2013
0
197.95
199.55
195.9
198.95
198.95
BHELMAR2013
0
199.45
200
197.7
198.1
198.1
BHELMAR2013
0
196.4
197.05
196.05
196.05
196.05
BHELMAR2013
0
194.55
194.55
187.5
187.5
187.5
BHELMAR2013
0
186.65
188.5
182.8
182.85
182.85
BHELMAR2013
0
180.2
184.65
179.95
180.45
180.45
BHELMAR2013
0
180.05
181.85
179
180.65
180.65
BHELMAR2013
0
182.8
182.85
179.6
180
180
BHELMAR2013
0
179
180.45
176.4
176.7
176.7
BHELMAR2013
0
174.8
177.2
174
176.35
176.35

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURN
SENSEX RETURNS
202.3
10
19.68
4000
4000
200.9
18956
196.55
6
11.91
3000
-1000
200 18937.5 1.017553 -0.09759
198.55
27
53.67
7000
4000
198.75 19214.5 -0.10073 1.462706
198.35
237
480.2
23000
16000
203.1 19308.75 2.268717 0.490515
202.85
116
238.79
19000
-4000
205.7 19474.25 1.257087 0.857124
205.4
160
331.55
21000
2000
207.3 19759.5 1.046738 1.464755
207.55
29
59.56
25000
4000
205.4
19724 -1.30089 -0.17966
204.85
65
131.73
30000
5000
201.05 19654.75 -1.04955
-0.3511
202.7
36
71.52
34000
4000
197.05 19443.75 -2.56537 -1.07353
197.5
50
99.34
36000
2000
198.8 19664.75 0.734177 1.136612
198.95
42
83.42
41000
5000
198.05 19503.75 -0.42724 -0.81872
198.1
25
49.17
47000
6000
196.2 19353.75 -1.03483 -0.76908
196.05
61
116.38
50000
3000
186.3 19030.75 -4.36113 -1.66893
187.5
77
142.13
45000
-5000
182.15 18943.75
-2.48 -0.45715
182.85
67
122.57
51000
6000
179.8
18813 -1.31255
-0.6902
180.45
160
288.95
67000
16000
180 18814.25 0.110834 0.006644
180.65
178
323.99
88000
21000
179.45
18726 -0.35981 -0.46906
180
95
169.23
117000
29000
176.3 18737.25 -1.83333 0.060077
176.7
128
224.87
23000
-94000
176.95 18822.5 -0.19808 0.454976

-0.09759

SENSEX RETURNS

AVG RETURN
BHEL
-0.58825
SENSEX
-0.03565
STD DEV
BHEL
SENSEX

10.29547
353.5725

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.767286
R Square
0.588727
Adjusted R Square
0.561309
Standard Error
1.066855
Observations
17
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 24.43918 24.43918 21.47214 0.000325
15 17.07271 1.138181
16 41.51188

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept
-0.63884 0.258924 -2.46728 0.026138 -1.19072 -0.08695 -1.19072
-0.09759 1.370795 0.295825 4.633804 0.000325 0.740259 2.001331 0.740259

Upper 95.0%
-0.08695
2.001331

Date
2/1/2013
2/4/2013
2/5/2013
2/6/2013
2/7/2013
2/8/2013
2/11/2013
2/12/2013
2/13/2013
2/14/2013
2/15/2013
2/18/2013
2/19/2013
2/20/2013
2/21/2013
2/22/2013
2/25/2013
2/26/2013
2/27/2013
2/28/2013

Expiry
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13
28-Feb-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELFEB2013
0
222.6
222.6
215.05
219
219
BHELFEB2013
0
217.75
217.75
212.25
212.6
212.6
BHELFEB2013
0
209.75
211
208.4
208.6
208.6
BHELFEB2013
0
209.25
209.75
206.1
206.45
206.45
BHELFEB2013
0
206.95
208.5
206.95
208.5
208.5
BHELFEB2013
0
207.65
207.65
206.25
206.7
206.7
BHELFEB2013
0
207.1
207.45
206.75
206.95
206.95
BHELFEB2013
0
206.55
207.5
205.6
207.4
207.4
BHELFEB2013
0
204.25
205
204.25
204.45
204.45
BHELFEB2013
0
204.5
204.5
202.7
202.7
202.7
BHELFEB2013
0
0
0
0
205.65
205.65
BHELFEB2013
0
0
0
0
208.05
208.05
BHELFEB2013
0
0
0
0
212.15
212.15
BHELFEB2013
0
0
0
0
211.1
211.1
BHELFEB2013
0
0
0
0
206.85
206.85
BHELFEB2013
0
206.95
206.95
206.1
206.1
206.1
BHELFEB2013
0
207.2
207.3
206.65
206.75
206.75
BHELFEB2013
0
206.8
207.45
200.65
201.05
201.05
BHELFEB2013
0
202.9
207.15
202.9
207.15
207.15
BHELFEB2013
0
208.2
209
202.45
202.45
202.45

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURN
SENSEX RETURNS
228.9
48
105.46
10000
10000
225.35 19904.75
219
31
66.52
16000
6000
219.2 19784.25 -2.92237 -0.60538
212.6
50
105.04
19000
3000
212.2 19717.25 -1.88147 -0.33865
208.6
92
191.15
19000
0
208.55 19697.5 -1.03068 -0.10017
206.45
6
12.46
19000
0
206 19636.75 0.992977 -0.30841
208.5
11
22.76
20000
1000
208.5 19553.25 -0.86331 -0.42522
206.7
13
26.91
17000
-3000
207.5 19540.25 0.120948 -0.06649
206.95
11
22.73
17000
0
209.1 19605.5 0.217444 0.333926
207.4
6
12.27
17000
0
205.9 19615.5 -1.42237 0.051006
204.45
11
22.4
15000
-2000
204.25 19531.25 -0.85596 -0.42951
202.7
0
0
15000
0
205.15 19503.5 1.455353 -0.14208
205.65
0
0
15000
0
207.65
19523 1.167031 0.099982
208.05
0
0
15000
0
211.8 19660.25 1.97068 0.703017
212.15
0
0
15000
0
210.8 19708.25 -0.49493 0.244147
211.1
0
0
15000
0
206.6 19333.5 -2.01326 -1.90149
206.85
12
24.79
15000
0
204.9 19329.75 -0.36258
-0.0194
206.1
12
24.83
11000
-4000
207.55 19338.25 0.315381 0.043974
206.75
28
57.24
4000
-7000
202.1
19037 -2.75695 -1.55779
201.05
16
32.93
4000
0
206.45
19156 3.034071 0.625098
207.15
8
16.45
4000
0
201.2 18826.5 -2.26889 -1.72009

-0.60538

SENSEX RETURNS

AVG RETURN
BHEL
-0.39994
SENSEX
-0.29019
STD DEV
BHEL
SENSEX

3.894396
256.7289

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.759335
R Square
0.57659
Adjusted R Square
0.550127
Standard Error
1.051529
Observations
18
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 24.09177 24.09177 21.78843 0.000257
16 17.69142 1.105714
17 41.78319

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Intercept 0.178043 0.265004 0.671848 0.511266 -0.38374 0.739827 -0.38374
-0.60538 1.605757 0.344007 4.667808 0.000257 0.876495 2.335018 0.876495

Upper 95.0%
0.739827
2.335018

Date
1/16/2013
1/17/2013
1/18/2013
1/21/2013
1/22/2013
1/23/2013
1/24/2013
1/25/2013
1/28/2013
1/29/2013
1/30/2013
1/31/2013

Expiry
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13
31-Jan-13

Series CodeStrike Price Open

High
Low
Close
LTP
BHELJAN2013
0
228.75
228.8
225.5
225.5
225.5
BHELJAN2013
0
225.8
228
223.15
227.1
227.1
BHELJAN2013
0
227.3
227.55
225.6
225.6
225.6
BHELJAN2013
0
229.95
230.1
229.95
230.1
230.1
BHELJAN2013
0
230.9
230.9
229.5
229.7
229.7
BHELJAN2013
0
231.35
231.35
227.25
227.65
227.65
BHELJAN2013
0
227.45
230.7
224.8
230.7
230.7
BHELJAN2013
0
229.35
230.15
228.2
230.15
230.15
BHELJAN2013
0
230
230
228.5
228.7
228.7
BHELJAN2013
0
227.15
227.15
226.3
226.3
226.3
BHELJAN2013
0
221.5
222.3
221.25
221.35
221.35
BHELJAN2013
0
224.2
229.75
224.2
227.05
227.05

Settle PriceNo. of Contracts

Turnover Open Interest
Change in OIUnderlying Value
SENSEX CLOSE
BHEL RETURN
SENSEX RETURNS
230
10
22.63
0
0
225.6
19875
225.5
28
63.48
1000
1000
225.75 20017.25 0.709534 0.715723
227.1
6
13.63
0
-1000
226.55 20073.5
-0.6605 0.281008
225.6
2
4.6
0
0
231.65 20147.75 1.994681 0.369891
230.1
50
115.09
0
0
230.55 20025.75 -0.17384 -0.60553
229.7
80
183.46
8000
8000
230.95
20073 -0.89247 0.235946
227.65
43
97.66
12000
4000
228.65
19919 1.339776
-0.7672
230.7
44
100.57
15000
3000
229.5 20100.75
-0.2384 0.912445
230.15
41
93.84
15000
0
228.55 20110.75 -0.63002 0.049749
228.7
10
22.67
15000
0
223.7
19991 -1.04941 -0.59545
226.3
92
203.8
11000
-4000
222.45 20057.25 -2.18736 0.331399
221.35
111
252.23
0
-4000
227.7 19911.75 2.575107 -0.72542

Regressio
Multiple R
R Square

ANOVA

Regression
Residual
Total

Intercept
0.715723

SENSEX RETURNS

AVG RETURN
BHEL
0.071554
SENSEX
0.018414
STD DEV
BHEL
SENSEX

2.542295
82.47856

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.359078
R Square
0.128937
Adjusted R Square
0.020054
Standard Error
1.475943
Observations
10
ANOVA
df
Regression
Residual
Total

Intercept
0.715723

SS
MS
F
Significance F
1 2.579631 2.579631 1.184182
0.3082
8 17.42726 2.178407
9 20.00689

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
-0.03962 0.468761 -0.08453 0.934711 -1.12059 1.041339 -1.12059
-0.9233 0.848462
-1.0882
0.3082 -2.87985 1.033259 -2.87985

Upper 95.0%
1.041339
1.033259