1. Derivative Report
India Research
July 07, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 1.29%,
while Minifty futures’ open interest increased by 5.00%
as market closed at 5289.05 levels.
 The Nifty July future closed at a premium of 17.85
points, against a premium of 13.20 points in the last
trading session, while the Aug future closed at a
premium of 21.75 points.
 The PCR-OI increased from 1.27 to 1.29 points.
 The Implied volatility of At-the-money options has
decreased from 20.50% to 18%.
 The total OI of the market is Rs1,31,857cr and the
stock futures OI is Rs36,573cr.
 Some liquid counters where cost of carry is positive are
KSOILS, DISHTV, PRAJIND, GVKPIL and TTML.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
 Yesterday, significant short covering was seen from
(%) (%)
FII’s side. They also bought of Rs342cr in the cash
HEXAWARE 1484000 33.94 78.65 1.55 market segment.
IOB 4168000 31.57 107.95 5.01
 Yesterday, some unwinding was observed in the
PNB 1945500 21.27 1074.95 0.02 5200 and 5300 call options, as market gave a
positive move after some time. Still it is in range of
DABUR 1000000 19.33 205.75 1.78
5200 and 5400. The 5400 call continued to add
COREPROTEC 6657000 19.05 241.55 -0.12 open interest and many put options also showed
some build-up.
OI Losers
 In past few trading sessions, short positions have
OI PRICE been formed in INDIAINFO. Even yesterday the
SCRIP OI CHANGE PRICE CHANGE stock added around 6% open interest and CoC has
(%) (%)
also increased. We expect some positive move in
BOSCHLTD 12625 -19.20 5621.70 3.97 the counter up to Rs100. Therefore, traders can
trade with positive bias around 93-94 level with the
SAMRUDDHI 38000 -14.61 480.05 1.42
stop loss of Rs91.
ASHOKLEY 19668000 -11.37 67.10 2.44
 Traders can trade with positive bias in HDIL around
BANKINDIA 1730000 -7.49 373.90 2.55 Rs241-243, with the stop loss of Rs 235. The stock
OPTOCIRCUI 591000 -6.19 239.75 0.48 may show a positive move up to Rs257.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 1.06 ROLTA 32.56
RELIANCE 0.22 0.26 IOB 39.81
BANKNIFTY 4.15 0.81 BHARATFORG 47.04
TATASTEEL 0.32 0.19 SUNPHARMA 29.14
SBIN 0.78 0.42 BOSCHLTD 36.23
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 06-July-2010 Turnover on 06-July-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 454376 11051.91 60.76
1769.46 708.52 1,060.94 693479 18306.57 -3.95
FUTURES
INDEX Stock Futures 417810 11617.71 39.06
3038.71 3278.67 (239.96) 1772056 46823.85 1.16
OPTIONS
STOCK Index Options 1329585 35016.16 87.83
645.34 791.52 (146.17) 1123123 29449.88 0.83
FUTURES
STOCK Stock Options 66859 1966.57 1.76
58.57 89.63 (31.07) 45497 1276.55 3.01
OPTIONS
TOTAL 5512.08 4868.34 643.74 3634155 95856.84 0.06 Total 2268630 59652.35 66.61
Nifty Spot = 5289.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 99.25 Buy 5200 61.40
50.00 50.00 5350.00 21.20 78.80 5178.80
Sell 5400 49.25 Sell 5100 40.20
Buy 5300 99.25 Buy 5200 61.40
80.25 119.75 5380.25 37.00 163.00 5163.00
Sell 5500 19.00 Sell 5000 24.40
Buy 5400 49.25 Buy 5100 40.20
30.25 69.75 5430.25 15.80 84.20 5084.20
Sell 5500 19.00 Sell 5000 24.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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
28-June-2010 Reliance Long Put Continue
05-July 2010 Nifty Put Hedge 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