The document provides a summary of the Indian derivatives market for June 16, 2010. Key points include: - Nifty futures open interest increased slightly while Minifity interest rose over 6%; Nifty settled at a premium. - Implied volatility decreased and put-call ratio increased. - Several stocks saw increases and decreases in open interest. - FIIs were net buyers in the cash market and took both long and short positions in index and stock futures. - Turnover increased over the previous day across various derivative instruments. - Analysis of bullish and bearish spreads and volatility is provided for various stocks.

1. Derivative Report
India Research
June 16, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 0.06%,
while, Minifty futures open interest increased by 6.33%
as market closed at 5222.35 levels.
 The Nifty June future closed at a premium of 11.95
points, as against a premium of 7.10 points in the last
trading session, while the July future closed at a
premium of 7.40 points.
 The PCR-OI increased from 1.47 to 1.53 points.
 The Implied volatility of At-the-money options
decreased from 18.50% to 17.50%.
 The total OI of the market is Rs.1,42,365cr and the
stock futures OI is Rs36,393cr.
 Some liquid counters where cost of carry is positive are
GVKPIL, GTOFFSHORE, PANTALOONR, INDIAINFO
and IOB.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed some long positions in the Index
futures. On the other hand, some shorting was
IOB 5949200 41.64 99.15 3.88 visible in the stock futures. They were net buyers of
IDEA 33630300 38.95 54.35 0.93 Rs590cr in the cash market segment.
BGRENERGY 120800 37.43 732.40 3.11  On the option front, unwinding was visible in most
of the calls and the 5100 and 5200 put added
PFC 660800 21.07 296.90 -0.67
significant open interest.
GESHIP 1009800 18.80 291.40 -1.45
 Yesterday, IBREALEST added considerable open
OI Losers interest with positive price move. CoC has also
increased significantly. Lot of short positions is
OI PRICE standing in the stock. We may see a positive move
SCRIP OI CHANGE PRICE CHANGE up to Rs162. Positional traders can trade with
(%) (%) positive bias with the stop loss of Rs145.
DENABANK 7065250 -9.15 93.45 -0.11
 After a good positive move in IDFC, some profit
CROMPGREAV 1514000 -6.87 255.10 2.37 booking was visible from higher level. Positive move
up-to 166-167 level can be used to trade with
SUNTV 164000 -6.82 412.20 1.03
negative bias.
DISHTV 15231200 -6.30 43.45 0.46
TCS 4752500 -5.78 766.10 -1.91
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.53 1.33 HINDPETRO 47.83
RELIANCE 0.44 0.25 BOSCHLTD 21.25
TATASTEEL 0.51 0.44 BPCL 46.34
ONGC 1.02 0.43 GTL 29.05
RCOM 0.87 0.33 IOC 44.78
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 15-June-2010 Turnover on 15-June-2010
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 639045 15493.81 1.38
2161.48 1538.98 622.50 548029 14261.33 0.89
FUTURES
INDEX Stock Futures 683667 19878.76 28.36
5675.00 5911.16 (236.16) 1963687 51241.49 0.15
OPTIONS
STOCK Index Options 2452892 63061.03 -4.60
1992.73 2327.06 (334.33) 996865 28937.14 1.28
FUTURES
STOCK Stock Options 142242 4255.44 30.19
284.70 321.91 (37.21) 44814 1420.19 3.76
OPTIONS
TOTAL 10113.90 10099.11 14.80 3553395 95860.15 0.62 Total 3917846 102689.03 2.55
Nifty Spot = 5222.35 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 25.00 Buy 5200 42.35
18.80 81.20 5318.80 20.10 79.90 5179.90
Sell 5400 6.20 Sell 5100 22.25
Buy 5300 25.00 Buy 5200 42.35
23.60 176.40 5323.60 30.15 169.85 5169.85
Sell 5500 1.40 Sell 5000 12.20
Buy 5400 6.20 Buy 5100 22.25
4.80 95.20 5404.80 10.05 89.95 5089.95
Sell 5500 1.40 Sell 5000 12.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation
Nifty Put-Call Analysis
For Private Circulation Only SEBI Registration No: INB 010996539 2

3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
31-May-2010 Nifty Long Put Ladder Continue
07-Jun-2010 HINDUNILVR Ratio Put Spread Continue
07-Jun-2010 RCOM Ratio Put Spread Continue
14-Jun-2010 HINDALCO Ratio Call Spread Continue
14-Jun-2010 LT Short Straddle Continue
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