1. Derivative Report
India Research
July 09, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 6.04%,
while Minifty futures’ open interest decreased by
1.88% as market closed at 5296.85 levels.
 The Nifty July future closed at a premium of 12.60
points, against a premium of 6.60 points in the last
trading session, while the Aug future closed at a
premium of 16.20 points.
 The PCR-OI is at the same level of 1.29 points.
 The Implied volatility of At-the-money options has
decreased from 19.55% to 18.00%.
 Some liquid counters where cost of carry is positive are
MTNL, IOC, KSOILS, TRIVENI and ADANIENT.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
 After one day halt, FIIs again covered significant
(%) (%)
short positions in the Index futures. A blend of short
CUMMINSIND 296000 32.44 603.90 0.84 covering and some long formation was observed in
UNIONBANK 1481000 18.86 313.80 0.61
the stock futures. They were also net buyers of
Rs957cr in the cash market segment.
ALBK 1726000 18.54 164.95 1.04
 Yesterday, a considerable unwinding was visible in
BHARATFORG 4784000 16.26 323.30 5.16
the 5300 and 5400 call, and 5100 put options.
ORBITCORP 1202000 14.91 134.25 1.67 However, buildup was seen in the 5500 call and
the 5300 put options.
OI Losers
 JPASSOCIAT has significant short positions in it.
OI PRICE Some buying from lower levels was visible in this
SCRIP OI CHANGE PRICE CHANGE counter and cost of carry is also suggesting a
(%) (%)
positive move. Therefore, for positional traders it is
CESC 729000 -16.40 392.50 3.19 advisable to form long, for the target of Rs132, with
the stop loss of Rs119.
UNITECH 50648000 -11.50 74.65 2.75
FEDERALBNK 1583000 -11.37 352.60 0.76  Positive opening around Rs180 levels in RPOWER
can be used to trade with negative bias by day
CONCOR 18500 -7.50 1430.00 0.90 traders.
PFC 681000 -7.09 304.05 1.65
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 0.99 TV-18 73.57
RELIANCE 0.20 0.26 GTL 35.28
BANKNIFTY 3.73 0.47 CESC 28.69
TATASTEEL 0.43 0.44 TITAN 28.65
ONGC 0.93 0.28 GODREJIND 45.95
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2. Derivative Report | India Research
FII Statistics for 08-July-2010 Turnover on 08-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 501257 12192.37 -4.53
2547.05 1092.17 1,454.88 633320 16719.48 -8.76
FUTURES
INDEX Stock Futures 454731 13128.44 -1.86
4630.99 4544.27 86.72 1871934 49538.29 0.90
OPTIONS
STOCK Index Options 1649381 43726.14 7.92
922.30 476.23 446.07 1125448 29612.57 0.19
FUTURES
STOCK Stock Options 84816 2559.95 7.18
90.99 102.52 (11.53) 47191 1308.96 3.91
OPTIONS
TOTAL 8191.33 6215.18 1,976.15 3677893 97179.30 -1.08 Total 2690185 71606.89 3.70
Nifty Spot = 5296.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 95.00 Buy 5200 55.70
49.45 50.55 5349.45 20.60 79.40 5179.40
Sell 5400 45.55 Sell 5100 35.10
Buy 5300 95.00 Buy 5200 55.70
77.70 122.30 5377.70 34.20 165.80 5165.80
Sell 5500 17.30 Sell 5000 21.50
Buy 5400 45.55 Buy 5100 35.10
28.25 71.75 5428.25 13.60 86.40 5086.40
Sell 5500 17.30 Sell 5000 21.50
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
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
28-June-2010 Reliance Long Put Continue
05-July 2010 Nifty Put Hedge Continue
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