The document provides a summary of derivative market activity in India for August 05, 2010. Key points include: - Open interest for Nifty futures increased 3.71% while for Minifity futures it rose 15.55% as the market closed at 5467.85. - Nifty August futures closed at a discount of 7.65 points and September futures at a discount of 3.20 points. - Total open interest in the market was Rs. 1,40,468 crore with stock futures open interest at Rs. 42,614 crore. - SOBHA, SRTRANSFIN, and PUNJLLOYD saw increases in open interest of over 10

1. Derivative Report
India Research
Aug 05, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 3.71%
while Minifty futures open interest increased by
15.55% as market closed at 5467.85 levels.
 The Nifty Aug future closed at a discount of 7.65
points, against a discount of 2.10 points in the last
trading session. On the other hand, Sep future closed
at a discount of 3.20 points.
 The PCR-OI increased from 1.28 to 1.34 points.
 The Implied volatility of At-the-money options
decreased from 15.50% to 15.00%.
 The total OI of the market is Rs1,40,468cr and the
stock futures OI is Rs42,614cr.
 Few liquid counters where cost of carry is positive are
RELMEDIA, MTNL, NAGARFERT, GTLINFRA and
GMRINFRA.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs’ participation, in the last trading session, was
not very significant in the futures segment. They
SOBHA 186000 16.25 333.50 -2.00
were net buyers of Rs689cr in the cash market
SRTRANSFIN 88000 15.03 697.35 -1.85 segment.
PUNJLLOYD 21760000 14.41 121.00 -5.47  Yesterday, considerable unwinding was visible in
the 5400 call option and build up at 5600 call
TCS 5632500 12.20 868.80 4.42
option. On the other hand, 5300 to 5500 put
ACC 2218250 11.98 820.55 -1.07 options added significant open interest.
OI Losers  After some short covering from lower levels, a small
build-up was observed in NAGARCONST. We may
OI PRICE see a positive move in this counter up to Rs187.
SCRIP OI CHANGE PRICE CHANGE Traders can form long positions around Rs175, with
(%) (%) the stop loss of Rs170.
SUNTV 178500 -13.56 470.35 -0.64
 INDIACEM has shown some short covering from its
KOTAKBANK 2797500 -12.66 824.20 2.86 strong support level around Rs100-102. We expect
further positive move around Rs112. Trading with
GESHIP 796000 -10.26 304.50 0.36
positive bias is advisable with the stop loss of
HINDZINC 355750 -9.77 1071.65 -0.72 Rs101.
BALRAMCHIN 18316000 -8.86 85.40 -0.29
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.34 1.00 FSL 44.09
RELIANCE 0.25 0.17 WIPRO 29.81
BANKNIFTY 1.70 1.16 INFOSYSTCH 25.97
SBIN 1.28 0.91 TCS 36.10
ICICIBANK 0.69 0.54 PUNJLLOYD 48.60
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 04-Aug-2010 Turnover on 04-Aug-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 417697 10683.64 29.46
1166.11 1168.29 (2.18) 587863 16005.32 3.82
FUTURES
INDEX Stock Futures 478312 13970.31 -3.09
3492.82 3101.21 391.61 1837514 50224.12 1.29
OPTIONS
STOCK Index Options 1449808 39426.16 23.39
1178.50 1026.85 151.65 1258218 34531.53 1.41
FUTURES
STOCK Stock Options 93632 2807.02 -12.60
217.67 167.88 49.79 32954 1024.58 16.88
OPTIONS
TOTAL 6055.10 5464.23 590.87 3716549 101785.55 1.84 Total 2439449 66887.13 15.66
Nifty Spot = 5467.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 58.35 Buy 5400 56.75
36.90 63.10 5536.90 24.50 75.50 5375.50
Sell 5600 21.45 Sell 5300 32.25
Buy 5500 58.35 Buy 5400 56.75
51.95 148.05 5551.95 39.15 160.85 5360.85
Sell 5700 6.40 Sell 5200 17.60
Buy 5600 21.45 Buy 5300 32.25
15.05 84.95 5615.05 14.65 85.35 5285.35
Sell 5700 6.40 Sell 5200 17.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August 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
02-Aug-2010 IDBI Long Call Continue
02-Aug-2010 NIFTY Ratio Put Spread Continue
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