1. Derivative Report
India Research
Oct 20, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 2.83%
while Minifty futures’ open interest increased by 5.53%
as market closed at 6027.30 levels.
 The Nifty Oct future closed at a premium of 16.85
points, against a premium of 46.25 points in the last
trading session. On the other hand, Nov future closed
at a premium of 45.40 points.
 The PCR-OI decreased from 1.26 to 1.22 points.
 The Implied volatility of At-the-money options
increased from 19.75% to 21.00%.
 The total OI of the market is `1,84,442cr and the
stock futures OI is `51,548cr.
 Few liquid counters where cost of carry is positive are
COREPROTEC, HEXAWARE, TRIVENI, GVKPIL and
WELCORP.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have covered some of their short positions in
the Index futures. They were net buyers of `107cr in
BIOCON 5676000 20.03 454.95 12.86 the cash market segment.
POWERGRID 33548000 19.91 105.35 -1.31
 Yesterday, a considerable build up was observed in
SESAGOA 15561000 12.85 359.30 -3.52 the 6100 call options and unwinding was observed
in the 6100 put option. After a gap down opening,
M&M 11723000 11.83 701.50 0.04
traders can use 6100 call option to trade with
HEXAWARE 4016000 11.31 84.00 1.39 positive bias around `40 for the target of `80 with
a stop loss of `25.
OI Losers
 M&M added significant open interest over a month.
OI PRICE It has its immediate support around `690. Negative
SCRIP OI CHANGE PRICE CHANGE move around support can be used to trade with
(%) (%) positive bias as some strength was also observed in
JISLJALEQS 260250 -15.64 1137.55 5.50 it. Target for the stock is `720 and stop loss is
`678.
HCLTECH 1772000 -11.75 439.25 -1.61
 Some shorting was witnessed in EDUCOMP. We
TECHM 1314750 -10.33 761.25 0.71 expect further correction in the stock too. Thus,
LT 2982875 -9.49 1995.80 -0.97 trading with negative bias is advisable for the target
of `600.
GAIL 2617500 -9.07 509.50 1.57
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.22 1.01 BIOCON 67.87
RELIANCE 0.36 0.28 JISLJALEQS 38.84
TATASTEEL 0.28 0.36 INFOSYSTCH 32.74
INFOSYSTCH 0.19 0.22 FEDERALBNK 45.09
SBIN 0.74 0.41 MUNDRAPORT 44.19
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 19-Oct-2010 Turnover on 19-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 772519 22520.77 8.96
2222.40 1741.72 480.68 520672 15721.91 -1.97
FUTURES
INDEX Stock Futures 789716 26069.52 16.50
5571.13 5568.10 3.03 2095806 63160.76 0.60
OPTIONS
STOCK Index Options 3096661 95135.42 2.12
3200.52 3349.89 (149.36) 1488387 44587.06 0.73
FUTURES
STOCK Stock Options 145183 5087.07 7.66
446.10 450.94 (4.84) 41034 1329.25 3.87
OPTIONS
TOTAL 11440.16 11110.65 329.50 4145899 124798.98 0.35 Total 4804079 148812.78 5.59
Nifty Spot = 6027.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 53.75 Buy 6000 62.00
28.50 71.50 6128.50 27.95 72.05 5972.05
Sell 6200 25.25 Sell 5900 34.05
Buy 6100 53.75 Buy 6000 62.00
42.80 157.20 6142.80 44.85 155.15 5955.15
Sell 6300 10.95 Sell 5800 17.15
Buy 6200 25.25 Buy 5900 34.05
14.30 85.70 6214.30 16.90 83.10 5883.10
Sell 6300 10.95 Sell 5800 17.15
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
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
04-Oct-10 JPASSOCIAT Bull Call Spread Continue
11-Oct-10 RELIANCE Long Call Continue
18-Oct-10 NIFTY Long Call Ladder Continue
18-Oct-10 CAIRN Short Straddle Continue
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