1. Derivative Report
India Research
Oct 06, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.22%
while Minifty futures’ open interest decreased by
1.79% as market closed at 6145.80 levels.
 The Nifty Oct future closed at a premium of 37.05
points, against a premium of 26.05 points in the last
trading session. On the other hand, Nov future closed
at a premium of 56.75 points.
 The PCR-OI decreased from 1.35 to 1.32 points.
 The Implied volatility of At-the-money options
decreased from 21.00% to 20.00%.
 The total OI of the market is Rs1,55,349cr and the
stock futures OI is Rs47,820cr.
 Few liquid counters where cost of carry is positive are
GSPL, AREVAT&D, IVRCLINFRA, PRAJIND and NMDC.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  Cost of carry in most of the liquid counters is
increasing. FII's are shorting stock futures and
AREVAT&D 3609000 47.19 301.15 3.17 buying in cash market. We believe substantial
RELMEDIA 4154000 47.10 292.90 36.77 portion of fresh inflow by them is going into
arbitrage.
NMDC 1529000 34.71 278.20 -2.13
 Crude has attracted trading attention and
ACC 2951500 29.76 1029.90 1.33
RELIANCE has direct correlation with this
RUCHISOYA 14250000 26.55 134.35 2.44 commodity. Also counter is now witnessing fresh
formation of long unwinding. Calls of 1040 and
OI Losers 1050 have seen good buying. Go long in it with
target of 1080 and stop loss of 1010.
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  AREVAT&D has seen long accumulation throughout
BHUSANSTL 1782500 -14.10 518.45 2.33 Sept series and has now breakout of the range with
huge formation of fresh longs. Go long with target
UCOBANK 14368000 -10.93 126.75 -1.90 of 340 and stop loss of 288.
BEML 192000 -10.49 1190.25 4.02
INDIANB 1090000 -8.25 289.00 1.21
HDFCBANK 2476625 -8.23 2447.80 -1.85
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.32 0.89 RELMEDIA 150.23
RELIANCE 0.31 0.18 ESSAROIL 45.87
TATASTEEL 0.44 0.27 AREVAT&D 22.29
IFCI 0.25 0.09 JPPOWER 32.86
UNITECH 0.31 0.11 CANBK 40.75
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2. Derivative Report | India Research
FII Statistics for 05-Oct-2010 Turnover on 05-Oct-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 432430 12722.35 -22.58
975.44 1700.45 (725.01) 527346 16312.03 1.55
FUTURES
INDEX Stock Futures 796597 26076.18 -2.42
2651.89 2430.43 221.46 1879591 57758.75 0.98
OPTIONS
STOCK Index Options 1436887 44505.01 -30.58
1211.08 2387.54 (1176.45) 1342167 41249.53 1.57
FUTURES
STOCK Stock Options 128751 4343.36 -6.77
448.29 472.60 (24.30) 21415 706.87 15.28
OPTIONS
TOTAL 5286.71 6991.01 (1704.30) 3770519 116027.18 1.34 Total 2794665 87646.9 -21.69
Nifty Spot = 6145.80 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6200 116.05 Buy 6100 91.00
45.75 54.25 6245.75 29.30 70.70 6070.70
Sell 6300 70.30 Sell 6000 61.70
Buy 6200 116.05 Buy 6100 91.00
76.15 123.85 6276.15 49.95 150.05 6050.05
Sell 6400 39.90 Sell 5900 41.05
Buy 6300 70.30 Buy 6000 61.70
30.40 69.60 6330.40 20.65 79.35 5979.35
Sell 6400 39.90 Sell 5900 41.05
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October 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
04-Oct-10 JPASSOCIAT Bull Call Spread Continue
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