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Symbol Series Date Prev Close Open Price High Price Low Price Last Price HDFCBANK EQ 1-Dec-10 2285.4 2288.55 2375 2280 2365 HDFCBANK EQ 2-Dec-10 2367.05 2378 2400 2353.1 2394.9 HDFCBANK EQ 3-Dec-10 2391.75 2395 2400 2372 2400 HDFCBANK EQ 6-Dec-10 2395.65 2420 2425 2375.25 2380 HDFCBANK EQ 7-Dec-10 2383.25 2380 2390 2328.5 2360 HDFCBANK EQ 8-Dec-10 2351.65 2340 2340 2265.2 2280 HDFCBANK EQ 9-Dec-10 2280.45 2273.15 2284.4 2219.3 2235.35 HDFCBANK EQ 10-Dec-10 2232 2200 2232.25 2170.3 2228.1 HDFCBANK EQ 13-Dec-10 2222.35 2243 2245 2181.4 2230.75 HDFCBANK EQ 14-Dec-10 2239 2247 2275.9 2212 2236 HDFCBANK EQ 15-Dec-10 2238.25 2230 2230 2150 2150.55 HDFCBANK EQ 16-Dec-10 2162.9 2163 2219.6 2150 2192.5 HDFCBANK EQ 20-Dec-10 2200.8 2199.8 2199.8 2151.45 2169.35 HDFCBANK EQ 21-Dec-10 2172.5 2173 2219.05 2171.9 2216 HDFCBANK EQ 22-Dec-10 2214.1 2233 2240 2170.05 2176.5 HDFCBANK EQ 23-Dec-10 2178.8 2180 2204 2173.95 2189 HDFCBANK EQ 24-Dec-10 2190.95 2189 2224.75 2175 2219 HDFCBANK EQ 27-Dec-10 2218.4 2219 2230 2197.1 2212.5 HDFCBANK EQ 28-Dec-10 2213.7 2223.9 2268.7 2215.15 2264.55 HDFCBANK EQ 29-Dec-10 2256.15 2256 2336.8 2253.55 2334.05 HDFCBANK EQ 30-Dec-10 2327.8 2336.2 2343.4 2288.05 2294 HDFCBANK EQ 31-Dec-10 2305.5 2305 2365 2292.05 2340.15 HDFCBANK EQ 3-Jan-11 2346.35 2370 2399.65 2350.4 2388.35 HDFCBANK EQ 4-Jan-11 2390.5 2386.5 2388 2333 2333 HDFCBANK EQ 5-Jan-11 2345.55 2349.7 2349.7 2297.5 2316.9 HDFCBANK EQ 6-Jan-11 2308.2 2316 2342.65 2309 2323.85 HDFCBANK EQ 7-Jan-11 2327.75 2326.2 2326.2 2261 2272.6 HDFCBANK EQ 10-Jan-11 2269.45 2256.05 2270 2138 2154.95 HDFCBANK EQ 11-Jan-11 2152.25 2170 2218.7 2125 2163 HDFCBANK EQ 12-Jan-11 2146.6 2169 2214 2106.6 2208.05 HDFCBANK EQ 13-Jan-11 2205.3 2209 2217.4 2126.4 2143 HDFCBANK EQ 14-Jan-11 2143 2150 2208 2030 2052 HDFCBANK EQ 17-Jan-11 2049.55 2060 2093 2050.55 2071.2 HDFCBANK EQ 18-Jan-11 2068.1 2086.8 2116 2046.65 2115 HDFCBANK EQ 19-Jan-11 2109.35 2111.65 2114.05 2063 2078.3 HDFCBANK EQ 20-Jan-11 2075.45 2069.25 2134.4 2045.9 2117 HDFCBANK EQ 21-Jan-11 2117.55 2104 2124.7 2076.1 2093 HDFCBANK EQ 24-Jan-11 2094.15 2095 2154 2073 2146.1 HDFCBANK EQ 25-Jan-11 2148.6 2151.2 2174.85 2070.1 2085.05 HDFCBANK EQ 27-Jan-11 2084.3 2100 2100 2041 2043.8 HDFCBANK EQ 28-Jan-11 2050.9 2055 2089.35 2042.05 2052.6 HDFCBANK EQ 31-Jan-11 2054.25 2042.7 2063.45 1996.2 2040.2 HDFCBANK EQ 1-Feb-11 2047.3 2076.9 2076.9 2015.1 2042
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Symbol Series Date Prev Close Open Price High Price Low Price Last Price

HDFCBANK EQ 1-Dec-10 2285.4 2288.55 2375 2280 2365

HDFCBANK EQ 2-Dec-10 2367.05 2378 2400 2353.1 2394.9

HDFCBANK  EQ 3-Dec-10 2391.75 2395 2400 2372 2400

HDFCBANK  EQ 6-Dec-10 2395.65 2420 2425 2375.25 2380

HDFCBANK  EQ 7-Dec-10 2383.25 2380 2390 2328.5 2360

HDFCBANK  EQ 8-Dec-10 2351.65 2340 2340 2265.2 2280

HDFCBANK  EQ 9-Dec-10 2280.45 2273.15 2284.4 2219.3 2235.35

HDFCBANK  EQ 10-Dec-10 2232 2200 2232.25 2170.3 2228.1

HDFCBANK  EQ 13-Dec-10 2222.35 2243 2245 2181.4 2230.75

HDFCBANK EQ 14-Dec-10 2239 2247 2275.9 2212 2236

HDFCBANK  EQ 15-Dec-10 2238.25 2230 2230 2150 2150.55

HDFCBANK EQ 16-Dec-10 2162.9 2163 2219.6 2150 2192.5

HDFCBANK EQ 20-Dec-10 2200.8 2199.8 2199.8 2151.45 2169.35

HDFCBANK  EQ 21-Dec-10 2172.5 2173 2219.05 2171.9 2216

HDFCBANK EQ 22-Dec-10 2214.1 2233 2240 2170.05 2176.5

HDFCBANK  EQ 23-Dec-10 2178.8 2180 2204 2173.95 2189HDFCBANK EQ 24-Dec-10 2190.95 2189 2224.75 2175 2219

HDFCBANK EQ 27-Dec-10 2218.4 2219 2230 2197.1 2212.5

HDFCBANK  EQ 28-Dec-10 2213.7 2223.9 2268.7 2215.15 2264.55

HDFCBANK EQ 29-Dec-10 2256.15 2256 2336.8 2253.55 2334.05

HDFCBANK EQ 30-Dec-10 2327.8 2336.2 2343.4 2288.05 2294

HDFCBANK EQ 31-Dec-10 2305.5 2305 2365 2292.05 2340.15

HDFCBANK EQ 3-Jan-11 2346.35 2370 2399.65 2350.4 2388.35

HDFCBANK  EQ 4-Jan-11 2390.5 2386.5 2388 2333 2333

HDFCBANK EQ 5-Jan-11 2345.55 2349.7 2349.7 2297.5 2316.9

HDFCBANK EQ 6-Jan-11 2308.2 2316 2342.65 2309 2323.85HDFCBANK  EQ 7-Jan-11 2327.75 2326.2 2326.2 2261 2272.6

HDFCBANK EQ 10-Jan-11 2269.45 2256.05 2270 2138 2154.95

HDFCBANK  EQ 11-Jan-11 2152.25 2170 2218.7 2125 2163

HDFCBANK EQ 12-Jan-11 2146.6 2169 2214 2106.6 2208.05

HDFCBANK EQ 13-Jan-11 2205.3 2209 2217.4 2126.4 2143

HDFCBANK  EQ 14-Jan-11 2143 2150 2208 2030 2052

HDFCBANK EQ 17-Jan-11 2049.55 2060 2093 2050.55 2071.2

HDFCBANK EQ 18-Jan-11 2068.1 2086.8 2116 2046.65 2115

HDFCBANK EQ 19-Jan-11 2109.35 2111.65 2114.05 2063 2078.3

HDFCBANK EQ 20-Jan-11 2075.45 2069.25 2134.4 2045.9 2117HDFCBANK  EQ 21-Jan-11 2117.55 2104 2124.7 2076.1 2093

HDFCBANK EQ 24-Jan-11 2094.15 2095 2154 2073 2146.1

HDFCBANK EQ 25-Jan-11 2148.6 2151.2 2174.85 2070.1 2085.05

HDFCBANK  EQ 27-Jan-11 2084.3 2100 2100 2041 2043.8

HDFCBANK EQ 28-Jan-11 2050.9 2055 2089.35 2042.05 2052.6

HDFCBANK  EQ 31-Jan-11 2054.25 2042.7 2063.45 1996.2 2040.2

HDFCBANK EQ 1-Feb-11 2047.3 2076.9 2076.9 2015.1 2042

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HDFCBANK  EQ 2-Feb-11 2039.6 2051.5 2063.5 2006.2 2010

HDFCBANK EQ 3-Feb-11 2019.9 2020 2071.75 2010 2056.9

HDFCBANK EQ 4-Feb-11 2060.95 2051 2085 2005 2008

HDFCBANK  EQ 7-Feb-11 2017.75 2045 2060 2020.2 2036.25

HDFCBANK EQ 8-Feb-11 2038.85 2059.9 2059.95 1985.1 2004.9

HDFCBANK  EQ 9-Feb-11 2002.85 1998 2035 1981.4 2033.5

HDFCBANK EQ 10-Feb-11 2022.3 2016 2049 2000 2015.15HDFCBANK EQ 11-Feb-11 2015.85 1995 2060 1995 2059.7

HDFCBANK  EQ 14-Feb-11 2059.3 2050.15 2110.2 2050.15 2107.5

HDFCBANK EQ 15-Feb-11 2105.45 2110 2128 2075.3 2104.9

HDFCBANK EQ 16-Feb-11 2107 2114 2122 2085.05 2100

HDFCBANK EQ 17-Feb-11 2094.85 2100 2194 2095 2192

HDFCBANK EQ 18-Feb-11 2185.6 2184 2243.1 2165.25 2172

HDFCBANK  EQ 21-Feb-11 2176.1 2165 2208 2132.5 2195.65

HDFCBANK EQ 22-Feb-11 2201.7 2190 2191.7 2125.4 2135.8

HDFCBANK EQ 23-Feb-11 2138.45 2125.2 2153 2100.2 2111.55

HDFCBANK  EQ 24-Feb-11 2114.1 2087 2118.55 2045.75 2061HDFCBANK EQ 25-Feb-11 2059.1 2087 2087 2018 2059.5

HDFCBANK  EQ 28-Feb-11 2042.15 2064 2120.95 2035 2049.15

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Close Price Average Price Total Traded Quantity Turnover in Lacs Returns

2367.05 2339.77 804072 18813.43

2391.75 2383.31 736928 17563.27 0.01

2395.65 2387.07 396179 9457.08 0

2383.25 2403.83 468156 11253.68 -0.01

2351.65 2347.35 859735 20180.96 -0.01

2280.45 2285.05 1174422 26836.15 -0.03

2232 2241 1828392 40974.24 -0.02

2222.35 2200.02 2062123 45367.19 0

2239 2217.44 791168 17543.69 0.01

2238.25 2240.03 592208 13265.66 0

2162.9 2188.88 1121021 24537.76 -0.03

2200.8 2180.32 975918 21278.16 0.02

2172.5 2173.13 516122 11215.99 -0.01

2214.1 2206.82 617558 13628.38 0.02

2178.8 2203.94 750324 16536.66 -0.02

2190.95 2191.81 326327 7152.48 0.012218.4 2203.01 351671 7747.33 0.01

2213.7 2211.43 377063 8338.47 0

2256.15 2241.45 467503 10478.86 0.02

2327.8 2308.41 807104 18631.26 0.03

2305.5 2306.42 725235 16726.96 -0.01

2346.35 2348.16 824891 19369.78 0.02

2390.5 2385.59 539839 12878.37 0.02

2345.55 2355.04 828413 19509.44 -0.02

2308.2 2313.85 782592 18108.02 -0.02

2327.75 2323.94 543509 12630.84 0.012269.45 2279.24 794801 18115.4 -0.03

2152.25 2179.89 2007086 43752.24 -0.05

2146.6 2161.08 1215759 26273.5 0

2205.3 2160.27 990533 21398.14 0.03

2143 2157.04 948601 20461.67 -0.03

2049.55 2114.87 1279141 27052.22 -0.04

2068.1 2069.93 1228082 25420.4 0.01

2109.35 2088.08 842016 17581.94 0.02

2075.45 2081.69 899205 18718.7 -0.02

2117.55 2085.05 963854 20096.8 0.022094.15 2096.48 829761 17395.78 -0.01

2148.6 2113.25 1277416 26994.94 0.03

2084.3 2117.86 1411054 29884.17 -0.03

2050.9 2075.94 1894558 39329.91 -0.02

2054.25 2064.34 1779842 36741.9 0

2047.3 2023.92 1111803 22502 0

2039.6 2039.18 855123 17437.53 0

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2019.9 2032.8 976217 19844.51 -0.01

2060.95 2049.43 579603 11878.55 0.02

2017.75 2045.03 925320 18923.05 -0.02

2038.85 2050.26 855946 17549.11 0.01

2002.85 2012.17 719599 14479.58 -0.02

2022.3 2013.34 735758 14813.31 0.01

2015.85 2026.1 1153559 23372.3 02059.3 2042.15 1010342 20632.66 0.02

2105.45 2089.94 592236 12377.36 0.02

2107 2106.58 759973 16009.42 0

2094.85 2096.5 455079 9540.74 -0.01

2185.6 2163.05 1180492 25534.67 0.04

2176.1 2211.59 1976787 43718.42 0

2201.7 2165.7 560051 12129 0.01

2138.45 2151.3 579643 12469.86 -0.03

2114.1 2131.66 611422 13033.42 -0.01

2059.1 2076.8 1002777 20825.7 -0.032042.15 2053.73 630996 12958.94 -0.01

2052.25 2065.14 1098136 22678.1 0

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Average Up Day Return 1.55%

Average Down Day Return -1.62%

Stdev of Returns #NAME?

 No of up days #NAME? No of down days #NAME?

%age of up days #NAME?

%age of down days #NAME?

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Last Stock Price Close PricAnnual return 8.00%probability of going up

% of up 1.55% Strike Price 2200 Call option Price

% of Down -1.62% Expiration Date 31-Mar-11 Put Option Price

Time to Maturity 18 Probability of going down

Daily return 0.03%

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Option Pricing Calculator

 S  Close Price Current Asset Value

 K  2200  Exercise (Strike) PriceT  0.07 Time to Maturity (Years)

8.00%  Riskless Interest Rate (% p.a.)

 s #NAME? Volatility (% p.a.)

#VALUE!

#NAME?

#VALUE!

#NAME?

#VALUE!  European Call Value ($)

#VALUE!  European Put Value ($)

r  f 

d 1

d 2

 N(d 1 )

 N(d 2 )

C  E 

 P  E 

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BINOMIAL OPTION PRIBinomial option pricing is a simple but powerful technique that can be used to solve many complex opti

 pricing models that require solutions to stochastic differential equations, the binomial option-pricing

For our analysis we choose HDFC Bank for calculating option-pricing and to compare with the marketmore no. of contracts and calculated the payoff for the option ending on 31st March 2011. The maximu

risk by exercising call optiBased on the binomial option pricing model, the price of call option is 13/- as compared to HDFC icompared to 61/- which means the put option is undervalued. This may be due to the high expected

Black-Scholes option mo  The Black-Scholes (1973) option pricing formula prices European put or call options on a stock that

underlying stock price follows a geometric BrownianBased on the calculation of this method, valuation of call option and put option is

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ING: on-pricing problems. In contrast to the Black-Scholes and other complex option-

odel is mathematically simple. It is based on the assumption of no arbitrage.

rice conditions as of present value. We choose strike price of 2200 as there werem payoff that we can get is 509/- and a minimum loss of 0/- as we minimize then.is 80/- , which means the option price is overvalued and put option is 148/-

returns from the investors based on its historical performance i.e., P/E ratio.el: 

does not pay a dividend or make other distributions. The formula assumes theotion with constant volatility.

done which has higher prices than binomial option model.