1. Derivative Report
India Research
Aug 12, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.89%
while Minifty futures’ open interest decreased by
16.74% as market closed at 5420.60 levels.
 The Nifty Aug future closed at a discount of 8.70
points, against a premium of 0.25 points in the last
trading session. On the other hand, Sep future closed
at a discount of 0.85 points.
 The PCR-OI decreased from 1.43 to 1.41 points.
 The Implied volatility of At-the-money options
increased from 13.75% to 15.50%.
 The total OI of the market is Rs1,61,374cr and the
stock futures OI is Rs45,450cr.
 Few liquid counters where cost of carry is positive are
KFS, TV-18, GLAXO, PATELENG and IDFC.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE  FIIs have formed short positions in the Index futures
(%) (%) and the stock futures. They continued their buying
EDUCOMP 4060500 40.57 619.95 -9.91 in the Index options. Global cues are negative. US
markets closed down by more than 2.5%. We may
IVRCLINFRA 6678000 21.68 157.65 -7.46 see a gap down opening today.
SRTRANSFIN 163000 17.27 725.20 2.90
 Yesterday, unwinding was visible mainly in the
IDEA 46956000 16.91 71.20 0.78 5400 and 5500 put options. However, 5400 call
and 5200 put options added significant open
ABAN 3375000 16.79 858.65 -2.47
interest.
OI Losers  After a gap down opening, further selling pressure
may emerge in last half trading session. A blend of
OI PRICE
SCRIP OI CHANGE PRICE CHANGE long unwinding and fresh shorting may drag the
(%) (%) market down.
JINDALSTEL 5853000 -12.11 654.25 3.33  Negative opening around Rs295 in YESBANK can
be used to form short positions, as some unwinding
IBREALEST 11828000 -11.44 181.15 -2.56
was visible from higher levels in the stock. Target is
ONMOBILE 1123000 -9.87 308.05 -0.58 Rs280 and the stop loss is Rs303.
SUNTV 193000 -9.39 476.70 1.20  Day traders can trade with negative bias in DLF and
SINTEX 671000 -9.20 372.95 0.73
WELCORP.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.40 1.07 TATACOMM 63.59
RELIANCE 0.21 0.24 EDUCOMP 75.83
TATAMOTORS 0.91 0.50 IVRCLINFRA 50.87
BANKNIFTY 1.81 2.17 FINANTECH 34.63
SBIN 1.16 0.67 JINDALSTEL 28.60
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 11-Aug-2010 Turnover on 11-Aug-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 505308 12881.39 22.31
1412.59 2249.25 (836.66) 629311 16982.75 1.10
FUTURES
INDEX Stock Futures 691685 21934.06 9.20
6513.40 4775.01 1738.39 2118249 57399.69 4.04
OPTIONS
STOCK Index Options 1831631 49968.5 23.28
1672.02 1951.95 (279.93) 1299027 35567.71 0.74
FUTURES
STOCK Stock Options 183378 6596.87 10.95
330.98 431.20 (100.23) 52259 1644.69 7.96
OPTIONS
TOTAL 9928.98 9407.41 521.58 4098846 111594.84 2.56 Total 3212002 91380.82 18.53
Nifty Spot = 5420.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 27.70 Buy 5400 64.90
21.70 78.30 5521.70 28.75 71.25 5371.25
Sell 5600 6.00 Sell 5300 36.15
Buy 5500 27.70 Buy 5400 64.90
26.00 174.00 5526.00 45.85 154.15 5354.15
Sell 5700 1.70 Sell 5200 19.05
Buy 5600 6.00 Buy 5300 36.15
4.30 95.70 5604.30 17.10 82.90 5282.90
Sell 5700 1.70 Sell 5200 19.05
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August 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
02-Aug-2010 IDBI Long Call Continue
02-Aug-2010 NIFTY Ratio Put Spread Continue
09-Aug-2010 RELIANCE Long Call Continue
09-Aug-2010 ICICIBANK Ratio Put Spread Continue
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