The document provides a summary of derivative market activity in India for May 06, 2010. It notes that Nifty futures open interest increased by 1.79% while Minifity futures open interest decreased by 4.02%. The PCR-OI for Nifty increased from 1.12 to 1.17. Some liquid stocks with positive cost-of-carry include STERLINBIO, BHARTIARTL, MLL, NOIDATOLL and FINANTECH. Put options and calls near 5000 and 5100 levels added substantial open interest on expectations of further downside in the market.

1. Derivative Report
India Research
May 06, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 1.79%,
while, Minifty futures open interest decreased by
4.02%, as market closed at 5124.90 levels.
The Nifty May future closed at a discount of 4.75
points, as against a discount of 6.65 points in the last
trading session, while the June future closed at a
discount of 4.35 points.
The PCR-OI increased from 1.12 to 1.17 points.
The Implied volatility of At-the-money options
increased from 20.50% to 21.50%.
The total open interest of the market is Rs1,17,350cr
of which Stock futures’ open interest is Rs35,761cr.
Some liquid counters were cost-of-carry is positive are
STERLINBIO, BHARTIARTL, MLL, NOIDATOLL and
FINANTECH.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Due to short covering, market bounced back from
(%) (%) lower levels, yesterday. FIIs have formed significant
short positions in the Index futures and they were
PATNI 1101100 40.23 608.5 7.20 net sellers of Rs.1590cr in the cash market
FEDERALBNK 1013541 39.30 297.55 3.68 segment.
UCOBANK 13245000 27.36 74.5 6.28 In option side, most of the put options and the
5000 and 5100 call added substantial open
INDIANB 2131800 21.73 233.3 5.78 interest; however, build-up in the 4900 put was
TITAN 273980 21.68 2194.8 2.29 around 60,000 contract. A significant buying from
FIIs side in the Index options is suggesting further
OI Losers downside in the market.
OI PRICE In mid-cap banking counters, CANBK is looking
SCRIP OI CHANGE PRICE CHANGE weak up to Rs. 416-420. Positional traders can
(%) (%) trade form short positions, with the stop loss of
Rs.444.
GTLINFRA 58728650 -14.10 41.15 2.75
Continuous short formation is visible in BHEL. The
HCC 7408800 -9.21 124.95 1.34
counter may witness correction up to Rs.2360-70.
DRREDDY 812400 -9.01 1240.80 0.65
Day traders can trade with negative bias in
DIVISLAB 527620 -8.98 701.25 1.36 BHARTIARTL, from Rs.300. As the level is acting as
a resistance for the stock.
APOLLOTYRE 6745600 -8.91 69.50 5.06
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.17 1.16 BRFL 51.12
RELIANCE 0.21 0.25 RNRL 57.46
BANKNIFTY 3.26 0.46 GRASIM 28.67
RNRL 0.40 0.22 JSWSTEEL 49.89
TATASTEEL 0.34 0.31 PATNI 42.85
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2. Derivative Report | India Research
FII Statistics for 05-May-2010 Turnover on 05-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 714820 16977.22 23.60
1748.64 2787.78 (1,039.14) 561658 14357.32 3.61
FUTURES
INDEX Stock Futures 615673 20547.58 20.12
6723.57 4039.34 2,684.22 1526431 39086.98 8.38
OPTIONS
STOCK Index Options 2126005 54896.68 31.69
2010.77 2009.95 0.82 1000754 29609.26 0.33
FUTURES
STOCK Stock Options 105568 3765.28 -5.49
158.59 174.30 (15.72) 30576 985.45 2.25
OPTIONS
TOTAL 10641.57 9011.38 1,630.19 3119419 84039.01 4.75 Total 3562066 96186.76 25.71
Nifty Spot = 5124.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 69.35 Buy 5100 103.35
35.25 64.75 5235.25 33.30 66.70 5066.70
Sell 5300 34.10 Sell 5000 70.05
Buy 5200 69.35 Buy 5100 103.35
56.15 143.85 5256.15 56.75 143.25 5043.25
Sell 5400 13.20 Sell 4900 46.60
Buy 5300 34.10 Buy 5000 70.05
20.90 79.10 5320.90 23.45 76.55 4976.55
Sell 5400 13.20 Sell 4900 46.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May 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
30-04-2010 RELCAPITAL Long Call Ladder Continue
30-04-2010 NAGARFERT Long Call Continue
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