The document provides a summary of derivative market activity in India for October 21, 2010. Key points include: - Open interest in Nifty futures increased 2.96% while Minifity futures decreased 0.58% as the market closed at 5982.10. - Nifty October futures closed at a premium of 25.70 points and November futures at a premium of 50.75 points. - Implied volatility of at-the-money options decreased from 21% to 19.5%. - Total open interest in the market was Rs. 1,88,314 crore with stock futures open interest at Rs. 51,848 crore.

1. Derivative Report
India Research
Oct 21, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.96%
while Minifty futures’ open interest decreased by
0.58% as market closed at 5982.10 levels.
 The Nifty Oct future closed at a premium of 25.70
points, against a premium of 16.85 points in the last
trading session. On the other hand, Nov future closed
at a premium of 50.75 points.
 The PCR-OI decreased from 1.22 to 1.18 points.
 The Implied volatility of At-the-money options
decreased from 21.00% to 19.50%.
 The total OI of the market is `1,88,314cr and the
stock futures OI is `51,848cr.
 Few liquid counters where cost of carry is positive are
BAJAJHIND, STERLINBIO, EKC, GLAXO and
OPTOCIRCUI.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed some short positions in the Index
futures and the stock futures. US markets closed up
INDIANB 1628000 13.21 284.95 -3.34 around 1%. As suggested by SGX Nifty we may see
TRIVENI 4592000 12.05 118.05 -0.46 a positive opening today.
POWERGRID 37242000 11.01 104.25 -1.04  A significant build up was observed in most of the
call options. The 6000 call option added highest
HDFC 9469375 10.62 697.90 -3.16
open interest yesterday. The 6000 put option is still
CANBK 1687000 10.19 655.30 3.32 standing with highest open interest and a small
unwinding was observed in it yesterday.
OI Losers
 BHEL has corrected significantly from higher levels
OI PRICE due to long unwinding. Stock is showing support
SCRIP OI CHANGE PRICE CHANGE around current levels. It is advisable to trade with
(%) (%) positive bias around `2500 for the target of `2580
SUZLON 101488000 -7.81 57.40 -2.46 with a stop loss of `2465.
ASHOKLEY 21180000 -7.64 75.50 1.21  PANTALOONR has significant short positions in it. It
is showing support around current levels. Positive
PETRONET 8484000 -7.22 122.80 2.76 move up to `490 is expected. Traders can form
CHAMBLFERT 20068000 -6.24 84.65 0.06 long positions around `470 with a stop loss of
`460.
CROMPGREAV 2395000 -6.19 310.85 1.49
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.18 0.96 ABGSHIP 58.66
RELIANCE 0.36 0.30 GAIL 25.84
TATASTEEL 0.28 0.42 DRREDDY 26.18
INFOSYSTCH 0.18 0.27 WELCORP 26.55
SBIN 0.68 0.31 IDBI 42.23
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 20-Oct-2010 Turnover on 20-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 639471 18383.73 -18.37
1792.11 2164.36 (372.25) 539620 16200.06 3.64
FUTURES
INDEX Stock Futures 674785 22729.34 -12.81
6287.84 5412.45 875.39 2106246 62999.43 0.50
OPTIONS
STOCK Index Options 2950596 90048.08 -5.35
2717.73 2979.16 (261.43) 1494626 44570.70 0.42
FUTURES
STOCK Stock Options 134656 4713.12 -7.35
380.34 397.02 (16.68) 41986 1342.72 2.32
OPTIONS
TOTAL 11178.02 10952.99 225.03 4182478 125112.91 0.88 Total 4399508 135874.27 -8.69
Nifty Spot = 5982.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6000 74.80 Buy 5900 35.65
40.30 59.70 6040.30 19.35 80.65 5880.65
Sell 6100 34.50 Sell 5800 16.30
Buy 6000 74.80 Buy 5900 35.65
59.70 140.30 6059.70 28.35 171.65 5871.65
Sell 6200 15.10 Sell 5700 7.30
Buy 6100 34.50 Buy 5800 16.30
19.40 80.60 6119.40 9.00 91.00 5791.00
Sell 6200 15.10 Sell 5700 7.30
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
11-Oct-10 RELIANCE Long Call Continue
18-Oct-10 NIFTY Long Call Ladder Continue
18-Oct-10 CAIRN Short Straddle Continue
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible
for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel
Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor
make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While
Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be
regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or
other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or
in the past.
Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or
in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).
Derivative Research Team derivatives.desk@angeltrade.com
For Private Circulation Only SEBI Registration No: INB 010996539 3