1. Derivative Report
India Research
May 28, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.85%,
while, Minifty futures open interest decreased by
9.10%, as market closed at 5003.10 levels.
 The Nifty June future closed at a discount of 15.20
points, as against a discount of 13.25 points in the last
trading session, while the July future closed at a
discount of 16.80 points.
 The PCR-OI is 1.09 points.
 The Implied volatility of At-the-money options
decreased from 29.00% to 26.00%.
 The Rollover for the Nifty Futures is 65.99% and
market wide rollover is 79.28%.
 Some liquid counters were cost of carry is positive are
KFA, DCHL, RENUKA, ORCHIDCHEM and MLL.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 Again FIIs covered some short positions in the Index
COLPAL 254100 41.28 713.60 1.67 futures and the Stocks futures. Their selling in the
cash market is still continued and it was Rs533cr,
FEDERALBNK 1300328 36.67 327.20 4.14
yesterday. The US markets closed up around 3%
ADANIENT 2651200 23.66 541.95 -7.31 and most of the Asian markets are positive,
DCHL 3253800 22.85 118.20 -3.31
suggesting a gap-up opening around 5050 levels.
APIL 253400 22.65 571.45 1.47  A significant build-up was visible in the 5000 to
5300 call options and the 4800 and 4900 put
OI Losers options. The 4800 put and the 5100 call have
highest contracts in the new series.
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  Market may witness resistance around 5080 level,
(%) (%) after a gap up opening. Positive move around this
level can be used to trade with negative bias.
GMRINFRA 24779500 -20.13 57.30 -1.46
ABB 1627250 -18.19 849.50 2.20  In June series stocks rollover is decent. However,
Nifty rollover (65.99%) is less in comparison with
UNITECH 52391500 -14.16 71.45 3.93 last month rollover of 76.26%. Some large-cap
ISPATIND 85522800 -10.57 17.40 0.00 stocks were rollover is high are RELINFRA, DLF,
SESAGOA, STER and RCOM.
HINDUNILVR 17921000 -8.89 233.00 0.63
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.09 0.90 AREVAT&D 68.07
RELIANCE 0.22 0.28 TV-18 57.30
BANKNIFTY 1.80 0.38 ADANIENT 47.92
ICICIBANK 0.82 0.61 TATACHEM 51.97
RNRL 0.34 0.37 GTOFFSHORE 44.95
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2. Derivative Report | India Research
FII Statistics for 27-May-2010 Turnover on 27-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 1172842 27635.74 14.41
7312.76 6480.88 831.88 519019 12890.14 -30.01
FUTURES
INDEX Stock Futures 1341370 38611.65 28.48
9082.44 9371.13 (288.69) 1404329 35129.06 -36.63
OPTIONS
STOCK Index Options 3390621 84318.84 13.11
6751.39 6558.02 193.38 882949 24518.40 -15.48
FUTURES
STOCK Stock Options 115861 3941.00 19.40
17.86 144.98 (127.11) 8145 253.43 -84.92
OPTIONS
TOTAL 23164.46 22555.00 609.46 2814442 72791.03 -30.62 Total 6020694 154507.23 17.00
Nifty Spot = 5003.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5100 86.95 Buy 5000 149.10
37.20 62.80 5137.20 36.35 63.65 4963.65
Sell 5200 49.75 Sell 4900 112.75
Buy 5100 86.95 Buy 5000 149.10
61.05 138.95 5161.05 63.40 136.60 4936.60
Sell 5300 25.90 Sell 4800 85.70
Buy 5200 49.75 Buy 4900 112.75
23.85 76.15 5223.85 27.05 72.95 4872.95
Sell 5300 25.90 Sell 4800 85.70
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
30-04-2010 RELCAPITAL Long Call Ladder Expired in marginal profit
30-04-2010 NAGARFERT Long Call Expired in loss
08-05-2010 HINDUNILVR Short Strangle Profit booked on 21-05-2010
17-May-2010 CAIRN Long Put Profit booked on 20-05-2010
24-May-2010 MARUTI Long Call Expired in loss
24-May-2010 STER Long Call Expired in loss
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