1. Derivative Report
India Research
June 07, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 0.59%,
while, Minifty futures open interest increased by 6.09%
as market closed at 5135.50 levels.
 The Nifty June future closed at a discount of 15.55
points, as against a discount of 14.55 points in the last
trading session, while the July future closed at a
discount of 19.70 points.
 The PCR-OI increased from 1.35 to 1.40 points.
 The Implied volatility of At-the-money options
decreased from 24.00% to 21.00%.
 The total OI of the market is Rs.1,21,532cr and the
stock futures OI is Rs33,068cr.
 Some liquid counters where cost of carry is positive are
GTL, NAGARFERT, GTOFFSHORE, PANTALOONR and
KSOILS.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)  There were no significant changes in the future’s
RUCHISOYA 4116000 60.53 99.60 1.22 positions from FIIs. However, they continued buying
Index options. Due to negative global cues, we may
SYNDIBANK 3602400 44.73 96.00 4.29 see a gap down opening below 5000 levels.
GLAXO 168150 37.10 2035.20 -2.18
 In the last trading session, the 5000 and 5100 put
EXIDEIND 662000 36.78 123.75 2.15 options added considerable open interest. On the
other hand unwinding was visible in the 5200 call
COLPAL 334100 29.70 813.05 1.21
option.
OI Losers  We may see a further correction in CAIRN after a
gap down opening. Therefore, an opening around
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Rs295 can be used to go short for the target price
(%) (%) of Rs280-282, with the stop loss of Rs302.
PFC 314200 -12.38 293.15 0.62  AUROPHARMA has immediate support around
Rs800. We do not expect the stock to breach its
ANDHRABANK 2229200 -11.53 137.65 -0.94
support. Correction around Rs800 can be used to
UNIPHOS 2942800 -9.18 187.25 3.40 trade with a positive bias, for the target of Rs835,
with the stop loss of Rs788.
LITL 17436840 -7.32 63.40 -0.94
ABIRLANUVO 1060900 -5.84 749.40 3.62
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.40 1.17 DISHTV 52.21
TATASTEEL 0.45 0.37 SYNDIBANK 40.72
RELIANCE 0.36 0.29 CHENNPETRO 27.42
SUZLON 0.53 0.13 ESSAROIL 47.78
BHARTIARTL 0.41 0.42 GTLINFRA 47.80
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2. Derivative Report | India Research
FII Statistics for 04-June-2010 Turnover on 04-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 469312 11094.84 -22.56
1232.08 1095.99 136.10 510690 12996.22 -0.19
FUTURES
INDEX Stock Futures 448503 13652.13 -4.54
4950.41 3611.97 1,338.43 1762257 45236.82 1.75
OPTIONS
STOCK Index Options 1442523 36690.85 -19.85
1084.20 754.19 330.01 921935 26510.51 0.54
FUTURES
STOCK Stock Options 86630 2702.00 4.60
181.16 193.16 (12.01) 30491 966.87 8.42
OPTIONS
TOTAL 7447.85 5655.31 1,792.53 3225373 85710.41 1.15 Total 2446968 64139.82 -16.69
Nifty Spot = 5135.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 56.25 Buy 5100 88.75
32.60 67.40 5232.60 28.85 71.15 5071.15
Sell 5300 23.65 Sell 5000 59.90
Buy 5200 56.25 Buy 5100 88.75
47.95 152.05 5247.95 49.00 151.00 5051.00
Sell 5400 8.30 Sell 4900 39.75
Buy 5300 23.65 Buy 5000 59.90
15.35 84.65 5315.35 20.15 79.85 4979.85
Sell 5400 8.30 Sell 4900 39.75
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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