1. Derivative Report
India Research
May 26, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 8.51%,
while, Minifty futures open interest increased by
26.22%, as market closed at 4806.75 levels.
 The Nifty May future closed at a premium of 2.60
points, as against a discount of 12.90 points in the last
trading session, while the June future closed at a
discount of 23.65 points.
 The PCR-OI has increased from 0.92 to 0.99 points.
 The Implied volatility of At-the-money options
increased from 27.00% to 31.50%.
 Rollover for the Nifty Futures is 44.59 and market wide
rollover is 45.53%.
 The total open interest of the market is Rs1,54,207cr
of which Stock futures’ open interest is Rs35,452cr.
 Some liquid counters were cost of carry is positive are
STERLINBIO, HCC, KSOILS, MUNDRAPORT and IDFC.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  After a small halt for a day, FIIs have again formed
(%) (%) short positions in the Index futures. They were net
JINDALSTEL 7864900 16.28 617.45 -4.75
sellers of Rs1464 in the cash market segment.
PATNI 1248500 15.79 537.90 -2.32  Yesterday, PCR has increased as most of the put
options of June series added considerable open
NIFTY 42759600 8.51 4806.75 -2.78 interest, though unwinding was visible in the current
WIPRO 3059900 8.19 633.65 -2.21 month puts. On the Call side, the 4800 and 4900
calls of current month, each added around 50,000
HINDUNILVR 20855000 7.01 230.55 -0.50 contracts.
OI Losers  IVs have increased significantly, which suggest
uncertainty is still prevailing in the market, though
OI PRICE
we do not expect expiry below 4800 mark. Till May
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
expiry any correction below 4800 can be used to
trade with positive bias.
GESHIP 717200 -25.56 283.80 -0.80
 Baltic Dry Index has given a good positive move
DENABANK 6149250 -14.35 81.50 -4.40 and it has direct correlation with shipping
UCOBANK 9916000 -13.48 69.90 -2.51 companies. MLL has lot of short positions in it; due
to short covering we may see a positive move.
SUNTV 148000 -12.68 403.80 -0.70 Positional traders can trade with positive bias for
CIPLA 4182000 -11.60 312.90 -0.14 the target of Rs49-50, with the stop loss of Rs42.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 0.99 1.04 HOTELEELA 60.40
RELIANCE 0.22 0.53 PTC 43.80
BANKNIFTY 1.88 1.13 MCDOWELL-N 45.49
ICICIBANK 0.75 0.63 PNB 31.64
RNRL 0.33 0.38 PANTALOONR 44.51
Sebi Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 25-May-2010 Turnover on 25-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 1329466 30472.33 38.99
8509.59 9078.01 (568.43) 809322 19384.99 11.68
FUTURES
INDEX Stock Futures 1110040 31728.44 20.12
8645.61 7162.72 1,482.89 2199715 52836.35 5.92
OPTIONS
STOCK Index Options 3399506 83663.15 26.13
7773.61 7614.20 159.42 1054741 28538.85 0.18
FUTURES
STOCK Stock Options 113762 3761.74 -2.40
243.76 279.37 (35.60) 53113 1566.21 0.98
OPTIONS
TOTAL 25172.57 24134.30 1,038.27 4116891 102326.41 5.38 Total 5952774 149625.66 26.24
Nifty Spot = 4806.75 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 4900 11.45 Buy 4800 44.50
9.45 90.55 4909.45 29.40 70.60 4770.60
Sell 5000 2.00 Sell 4700 15.10
Buy 4900 11.45 Buy 4800 44.50
10.30 189.70 4910.30 41.05 158.95 4758.95
Sell 5100 1.15 Sell 4600 3.45
Buy 5000 2.00 Buy 4700 15.10
0.85 99.15 5000.85 11.65 88.35 4688.35
Sell 5100 1.15 Sell 4600 3.45
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
For Private Circulation Only Sebi Registration No: INB 010996539 2

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
DISCLAIMER:
This document is not for public distribution and has been furnished to you solely for your information and must not be reproduced or redistributed to any other person.
Persons into whose possession this document may come are required to observe these restrictions.
Opinion expressed is our current opinion as of the date appearing on this material only. While we endeavor to update on a reasonable basis the information discussed in
this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. Prospective investors and others are cautioned that any forward-
looking statements are not predictions and may be subject to change without notice. Our proprietary trading and investment businesses may make investment decisions
that are inconsistent with the recommendations expressed herein.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to be true and are for
general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company takes no guarantee and assumes no
liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action.
Recipients of this material should rely on their own investigations and take their own professional advice. Each recipient of this document should make such investigations
as it deems necessary to arrive at an independent evaluation of an investment in the securities of companies referred to in this document (including the merits and risks
involved), and should consult their own advisors to determine the merits and risks of such an investment. Price and value of the investments referred to in this material may
go up or down. Past performance is not a guide for future performance.
Certain transactions - futures, options and other derivatives as well as non-investment grade securities - involve substantial risks and are not suitable for all investors.
Reports based on technical analysis centers on studying charts of a stock's price movement and trading volume, as opposed to focusing on a company's fundamentals and
as such, may not match with a report on a company's fundamentals.
We do not undertake to advise you as to any change of our views expressed in this document. While we would endeavor to update the information herein on a reasonable
basis, Angel Broking, its subsidiaries and associated companies, their directors and employees are under no obligation to update or keep the information current. Also
there may be regulatory, compliance, or other reasons that may prevent Angel Broking and affiliates from doing so. Prospective investors and others are cautioned that
any forward-looking statements are not predictions and may be subject to change without notice.
Angel Broking Limited and affiliates, including the analyst who has issued this report, may, on the date of this report, and from time to time, have long or short positions
in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or
act as advisor or have other potential conflict of interest with respect to company/ies mentioned herein or inconsistent with any recommendation and related information
and opinions.
Angel Broking Limited and affiliates may seek to provide or have engaged in providing corporate finance, investment banking or other advisory services in a merger or
specific transaction to the companies referred to in this report, as on the date of this report or in the past.
Sebi Registration No.: INB 010996539
Derivative Research Team derivatives.desk@angeltrade.com
For Private Circulation Only Sebi Registration No: INB 010996539 3