1. Derivative Report
India Research
June 03, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.85%,
while, Minifty futures open interest decreased by
14.63% as market closed at 5019.85 levels.
 The Nifty June future closed at a discount of 15.50
points, as against a discount of 26.15 points in the last
trading session, while the July future closed at a
discount of 19.70 points.
 The PCR-OI increased from 1.25 to 1.30 points.
 The Implied volatility of At-the-money options
decreased from 27.00% to 24.00%.
 The total OI of the market is Rs.1,14,061cr and the
stock futures OI is Rs31,562cr.
 Some liquid counters were cost of carry is positive are
TRIVENI, RNRL, IOB, GTL and PANTALOONR.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE  FIIs have formed some long positions in the Stock
(%) (%)
futures and their significant buying was visible in
COLPAL 255000 74.96 802.10 6.58 the Index options and the Stock options. US Markets
closed up around 2.50%, and most of the Asian
EXIDEIND 306000 47.12 120.20 -0.78
markets are positive. We may see a gap-up
UNIPHOS 3065200 25.29 179.00 2.05 opening.
PANTALOONR 1515850 21.20 416.05 6.62  Yesterday, significant build-up was visible in the
5200 call and the 4900 put options. However,
BGRENERGY 70400 19.73 656.80 3.15
some unwinding was visible in the 5000 and 5100
OI Losers call options.
OI PRICE  In the past two trading sessions, TATAPOWER
SCRIP OI CHANGE PRICE CHANGE added significant open interest. And we have
(%) (%) observed long formation from lower levels, in the
last trading session. We may see a positive move
ONMOBILE 450250 -17.96 291.80 7.38 up-to Rs1280 and stop loss should be Rs1220.
PTC 1529850 -10.21 105.15 1.94
 Positionally we are not very bullish in Metal stocks.
UNIONBANK 915550 -9.26 290.65 3.01 However, SAIL may give a positive move up to
Rs210. Therefore, traders can trade with positive
SINTEX 1008000 -7.93 280.65 3.71
bias in it and stop loss should be below Rs197.
DCHL 1805400 -6.84 127.50 4.38
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.30 1.02 COLPAL 45.38
RELIANCE 0.34 0.50 RCOM 84.59
TATASTEEL 0.46 0.40 IDEA 65.65
SUZLON 0.57 0.31 POLARIS 53.00
BANKNIFTY 3.66 7.77 PATNI 50.65
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2. Derivative Report | India Research
FII Statistics for 02-June-2010 Turnover on 02-June-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 746553 17251.32 0.21
1803.18 1977.97 (174.80) 527315 13113.65 2.46
FUTURES
INDEX Stock Futures 524775 15233.97 -7.26
4244.15 3360.83 883.33 1682459 42214.69 4.26
OPTIONS
STOCK Index Options 1518643 38183.41 -15.83
1291.92 901.90 390.01 910322 25602.87 1.89
FUTURES
STOCK Stock Options 96670 2841.29 -3.86
357.36 222.71 134.66 26774 815.35 49.03
OPTIONS
TOTAL 7696.61 6463.41 1,233.20 3146870 81746.56 3.52 Total 2886641 73509.99 -10.31
Nifty Spot = 5019.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5100 74.75 Buy 5000 123.75
36.30 63.70 5136.30 34.40 65.60 4965.60
Sell 5200 38.45 Sell 4900 89.35
Buy 5100 74.75 Buy 5000 123.75
57.95 142.05 5157.95 59.30 140.70 4940.70
Sell 5300 16.80 Sell 4800 64.45
Buy 5200 38.45 Buy 4900 89.35
21.65 78.35 5221.65 24.90 75.10 4875.10
Sell 5300 16.80 Sell 4800 64.45
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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