1. Derivative Report
India Research
June 01, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.17%,
while, Minifty futures open interest increased just by
0.18% as market closed at 5086.30 levels.
 The Nifty June future closed at a discount of 30.10
points, as against a discount of 25.55 points in the last
trading session, while the July future closed at a
discount of 33.20 points.
 The PCR-OI increased from 1.20 to 1.23 points.
 The Implied volatility of At-the-money options
increased from 22.00% to 23.00%.
 The total OI of the market is Rs.1,03,713cr and the
stock futures OI is Rs30,523cr.
 Some liquid counters were cost of carry is positive are
ORCHIDCHEM, ISPATIND, IFCI, DCHL and
CHENNPETRO.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 FIIs did some selling in the Index futures. However,
GMDCLTD 704000 369.33 125.65 3.76 they were net buyers of Rs587cr in the cash market
segment. Again they started buying put options, as
GRASIM 165125 43.28 1823.00 -1.33 build-up in most of the put options was observed.
RUCHISOYA 848000 31.27 97.80 -3.07 Although market gave a good positive move at the
end of the trading session, unwinding in the 5100
VIJAYABANK 13144300 30.35 58.95 5.27
call was not visible, this suggest resistance around
BGRENERGY 74000 30.28 637.40 7.46 5100 may continue.
 TATAMOTORS is showing resistance around Rs770.
OI Losers
Yesterday also we have observed some selling from
OI PRICE higher levels. Therefore, it is advisable to form short
SCRIP OI CHANGE PRICE CHANGE position around 765-770 for the target of Rs730,
(%) (%) with the stop loss of Rs788.
EDUCOMP 2658750 -16.26 534.95 10.87  SESAGOA has given a good positive move in the
CONCOR 14000 -12.50 1287.45 4.86 past few trading sessions, mainly because of short
covering. We advice aggressive traders to trade
CESC 352000 -12.33 381.25 3.15 with negative bias for the target of Rs348 (spot),
CUMMINSIND 126600 -11.90 562.20 -0.08 with the stop loss of Rs402.
DLF 12551000 -10.45 276.70 -1.20
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.23 1.12 PUNJLLOYD 78.64
RELIANCE 0.32 0.33 SUZLON 63.35
TATASTEEL 0.51 0.45 GLAXO 42.04
SUZLON 0.63 0.45 BGRENERGY 52.92
BHARTIARTL 0.45 0.34 EDUCOMP 82.10
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2. Derivative Report | India Research
FII Statistics for 31-May-2010 Turnover on 31-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 515065 12024.79 -14.41
1193.97 1580.63 (386.66) 495172 12456.88 0.12
FUTURES
INDEX Stock Futures 444469 13689.13 -15.88
4760.77 3466.40 1,294.37 1513843 38498.29 4.61
OPTIONS
STOCK Index Options 1353625 34277.95 -4.16
1016.59 834.84 181.75 891879 25268.80 1.26
FUTURES
STOCK Stock Options 74319 2514.48 0.44
191.40 249.89 (58.49) 15564 507.05 24.57
OPTIONS
TOTAL 7162.73 6131.76 1,030.97 2916458 76731.02 2.87 Total 2387478 62506.35 -8.87
Nifty Spot = 5086.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5100 98.65 Buy 5000 102.40
43.75 56.25 5143.75 28.25 71.75 4971.75
Sell 5200 54.90 Sell 4900 74.15
Buy 5100 98.65 Buy 5000 102.40
72.40 127.60 5172.40 49.00 151.00 4951.00
Sell 5300 26.25 Sell 4800 53.40
Buy 5200 54.90 Buy 4900 74.15
28.65 71.35 5228.65 20.75 79.25 4879.25
Sell 5300 26.25 Sell 4800 53.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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
31-May-2010 Nifty Long Put Ladder Continue
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