1. Derivative Report
India Research
Aug 13, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.51%
while Minifty futures’ open interest decreased by
1.54% as market closed at 5416.45 levels.
 The Nifty Aug future closed at a premium of 3.25
points, against a discount of 8.70 points in the last
trading session. On the other hand, Sep future closed
at a premium of 9.90 points.
 The PCR-OI increased from 1.40 to 1.45 points.
 The Implied volatility of At-the-money options
remained same at 15.50%.
 The total OI of the market is Rs1,66,413cr and the
stock futures OI is Rs47,218cr.
 Few liquid counters where cost of carry is positive are
KFA, MCLEODRUSS, PTC, TTML and KSOILS.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs again formed some short positions in the
Index futures and the stock futures. However, they
SOBHA 383000 42.38 367.30 0.10
were net buyers of Rs218cr in the cash market
NEYVELILIG 2786000 37.38 166.35 4.92 segment.
BOSCHLTD 32625 25.48 5728.25 -1.27  Build up was visible in the 5200 and 5300 Put
HDIL 13566000 24.03 284.60 3.77 options. However, some unwinding has taken
place in the 5400 and 5500 Call options.
UCOBANK 12724000 21.78 101.50 4.86
 TATAPOWER is moving around current levels
OI Losers since a month. Though market was positive, it
OI PRICE
was not showing strength. After adjustment of
SCRIP OI CHANGE PRICE CHANGE dividend, negative CoC is increasing too. We
(%) (%) may see a negative move in the stock up to
Rs1260-1265. Traders can form short positions
TATACOMM 1662000 -7.87 320.60 -1.35
around Rs1320 with the stop loss of Rs1342.
PETRONET 8352000 -7.77 105.65 -2.76
 Market is looking range bound today. Positive
ONGC 2375500 -6.24 1266.45 2.35 opening in ACC can be used to trade with
SRTRANSFIN 153500 -5.83 738.60 1.85 negative bias.
PATNI 2446000 -5.38 476.90 5.52
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.45 1.06 SBIN 41.57
RELIANCE 0.20 0.19 NEYVELILIG 31.80
SBIN 1.26 0.41 BIOCON 34.22
TATAMOTORS 0.99 0.50 PATNI 41.22
BANKNIFTY 1.85 1.23 RECLTD 33.18
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 12-Aug-2010 Turnover on 12-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
2023.35 2721.08 (697.73) 642724 17388.43 2.13
FUTURES
INDEX Stock Futures 691685 21934.06 9.20
8071.37 6168.40 1902.97 2179921 59030.39 2.91
OPTIONS
STOCK Index Options 1831631 49968.5 23.28
1407.31 1777.40 (370.09) 1313165 36184.21 1.09
FUTURES
STOCK Stock Options 183378 6596.87 10.95
580.29 602.86 (22.57) 55229 1760.55 5.68
OPTIONS
TOTAL 12082.31 11269.73 812.58 4191039 114363.59 2.25 Total 3212002 91380.82 18.53
Nifty Spot = 5416.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 27.45 Buy 5400 58.70
21.05 78.95 5521.05 27.35 72.65 5372.65
Sell 5600 6.40 Sell 5300 31.35
Buy 5500 27.45 Buy 5400 58.70
25.90 174.10 5525.90 42.65 157.35 5357.35
Sell 5700 1.55 Sell 5200 16.05
Buy 5600 6.40 Buy 5300 31.35
4.85 95.15 5604.85 15.30 84.70 5284.70
Sell 5700 1.55 Sell 5200 16.05
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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