1. Derivative Report
India Research
Aug 16, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.36%
while Minifty futures’ open interest increased by
13.13% as market closed at 5452.10 levels.
 The Nifty Aug future closed at a premium of 4.35
points, against a premium of 3.25 points in the last
trading session. On the other hand, Sep future closed
at a premium of 11.60 points.
 The PCR-OI increased from 1.45 to 1.49 points.
 The Implied volatility of At-the-money options
decreased from 15.50 to 14%.
 The total OI of the market is Rs1,70,237cr and the
stock futures OI is Rs47,927cr.
 Few liquid counters where cost of carry is positive are
GLAXO, KSOILS, GTL, NOIDATOLL and
GTOFFSHORE.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed some long positions in the Index
SUNTV 324500 59.07 509.40 4.40 futures and continued their buying in the Index
options.
PATNI 3864500 57.99 517.20 8.45
 In the last trading session, the 5400 and 5500 Put
ADANIPOWER 2854000 30.20 140.00 -0.99
options added significant open interest; however,
TITAN 307625 24.67 2983.85 5.22 substantial unwinding was visible in the 5600 call
option.
ORBITCORP 5478000 24.50 132.25 2.40
 Amongst metal counters, JINDALSAW is looking
OI Losers weak. The stock has immediate resistance around
Rs208. We may see correction around Rs200.
OI PRICE
Traders can trade with negative bias in it with the
SCRIP OI CHANGE PRICE CHANGE
(%) (%) stop loss of Rs209.
CROMPGREAV 770000 -11.80 287.05 1.38  CIPLA is trading at its support of Rs315. It may
show a positive move due to short covering, as
PFC 1400000 -10.14 332.10 0.97 significant short positions exist in it. Therefore, it is
PETRONET 7572000 -9.34 105.55 -0.09 advisable to form long positions for the target of
Rs338-340, with the stop loss of Rs305.
UCOBANK 11556000 -9.18 102.50 0.99
CUMMINSIND 318000 -8.88 672.15 2.17
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.49 1.09 INDHOTEL 38.18
RELIANCE 0.20 0.15 TITAN 37.30
SBIN 1.34 0.49 PATNI 55.12
BANKNIFTY 1.93 1.55 CENTURYTEX 39.64
TATAMOTORS 0.98 0.64 CAIRN 33.16
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 13-Aug-2010 Turnover on 13-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 487234 12457.66 -22.00
2084.10 1598.31 485.79 654790 17845.89 1.88
FUTURES
INDEX Stock Futures 736892 22431.69 -3.80
5466.95 4634.22 832.73 2221971 60567.51 1.93
OPTIONS
STOCK Index Options 1969398 53595.53 -8.48
1577.36 1653.03 (75.68) 1323635 36677.07 0.80
FUTURES
STOCK Stock Options 196825 6376.14 -7.98
692.51 720.13 (27.62) 60031 1933.00 8.69
OPTIONS
TOTAL 9820.92 8605.70 1215.23 4260427 117023.46 1.66 Total 3390349 94861.02 -9.46
Nifty Spot = 5452.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 35.10 Buy 5400 39.20
26.50 73.50 5526.50 20.25 79.75 5379.75
Sell 5600 8.60 Sell 5300 18.95
Buy 5500 35.10 Buy 5400 39.20
33.85 166.15 5533.85 30.75 169.25 5369.25
Sell 5700 1.25 Sell 5200 8.45
Buy 5600 8.60 Buy 5300 18.95
7.35 92.65 5607.35 10.50 89.50 5289.50
Sell 5700 1.25 Sell 5200 8.45
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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