1. Derivative Report
India Research
May 25, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 6.95%,
while, Minifty futures open interest increased by
3.92%, as market closed at 4943.95 levels.
 The Nifty May future closed at a discount of 12.90
points, as against a discount of 2.75 points in the last
trading session, while the June future closed at a
discount of 23.65 points.
 The PCR-OI has decreased from 1.02 to 0.92 points.
 The Implied volatility of At-the-money options
increased from 26.00% to 27.00%.
 The total open interest of the market is Rs1,49,715cr
of which Stock futures’ open interest is Rs37,046cr.
 Some liquid counters were cost of carry is positive are
GTLINFRA, ZEEL, STERLINBIO, KSOILS and
BALRAMCHIN.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  A blend of long formations and fresh shorts was
(%) (%) visible in the Index futures from the FIIs side. They
BGRENERGY 68800 22.86 580.20 0.92
covered some short positions in the stock futures.
However, they were net sellers of Rs995cr in the
CANBK 1172000 17.77 407.90 -1.32 cash market segment. Global cues are suggesting a
TATACHEM 1780850 16.13 305.05 -3.86
gap down opening, today.
TATAPOWER 2779600 16.03 1244.40 -1.20  A considerable unwinding was visible in the 4800
call option and build up in the 5000 call and put
AUROPHARMA 1741650 15.45 871.70 1.56 options. In June series the 4800 and 4900 put
added around 10,000 contracts each.
OI Losers
 We have observed significant unwinding in
OI PRICE
ANDHRABANK. Participants who had longs are
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
covering their positions. Therefore, long unwinding
can drag the stock down up-to Rs118-120 levels.
ANDHRABANK 2615100 -31.75 126.50 -0.32 Stop loss should be at Rs129.
ASIANPAINT 17600 -13.73 2068.90 2.34  BHARATFORG is showing strong support at Rs255.
ONMOBILE 626350 -11.91 290.10 4.07 Correction around support can be used to trade
with positive bias for the target of Rs265.
HEROHONDA 2344000 -11.81 1893.15 2.06
CROMPGREAV 1644250 -11.66 233.05 2.17
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 0.92 0.93 RCOM 62.78
RELIANCE 0.23 0.29 RNRL 142.57
BANKNIFTY 1.95 0.35 RPOWER 57.95
ICICIBANK 0.78 0.46 AMBUJACEM 41.78
RNRL 0.35 0.23 DIVISLAB 33.69
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2. Derivative Report | India Research
FII Statistics for 24-May-2010 Turnover on 24-May-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 936647 21924.46 0.83
5285.56 5005.47 280.08 724708 17815.98 9.00
FUTURES
INDEX Stock Futures 915334 26413.41 15.79
6361.98 5644.14 717.84 2076701 51302.90 2.69
OPTIONS
STOCK Index Options 2641352 66332.23 -8.01
6600.04 5772.16 827.88 1052856 29314.21 -0.14
FUTURES
STOCK Stock Options 121193 3854.23 -5.04
275.27 285.55 (10.27) 52595 1601.97 -1.06
OPTIONS
TOTAL 18522.85 16707.32 1,815.53 3906860 100035.06 2.96 Total 4614526 118524.33 -1.82
Nifty Spot = 4943.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 21.35 Buy 4900 37.65
17.75 82.25 5017.75 24.90 75.10 4875.10
Sell 5100 3.60 Sell 4800 12.75
Buy 5000 21.35 Buy 4900 37.65
20.15 179.85 5020.15 33.75 166.25 4866.25
Sell 5200 1.20 Sell 4700 3.90
Buy 5100 3.60 Buy 4800 12.75
2.40 97.60 5102.40 8.85 91.15 4791.15
Sell 5200 1.20 Sell 4700 3.90
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation
Nifty Put-Call Analysis
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
30-04-2010 RELCAPITAL Long Call Ladder Continue
30-04-2010 NAGARFERT Long Call Continue
08-05-2010 HINDUNILVR Short Strangle Profit booked on 21-05-2010
17-May-2010 CAIRN Long Put Profit booked on 20-05-2010
24-May-2010 MARUTI Long Call Continue
24-May-2010 STER Long Call Continue
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