The document provides a derivative report for India from August 10, 2010. It summarizes key data points around Nifty futures, open interest, implied volatility, and top gainers and losers by open interest. It also provides analysis on specific stocks and strategies, and discloses Angel Broking's positions in various calls and put spreads.

1. Derivative Report
India Research
Aug 10, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 3.86%
while Minifty futures’ open interest increased by
10.73% as market made a new 52-week high and
closed at 5486.15 levels.
 The Nifty Aug future closed at a discount of 4.15
points, against a premium of 3.20 points in the last
trading session. On the other hand, Sep future closed
at a premium of 1.25 points.
 The PCR-OI increased from 1.37 to 1.39 points.
 The Implied volatility of At-the-money options
decreased from 14.75% to 13.75%.
 The total OI of the market is Rs1,52,246cr and the
stock futures OI is Rs44,556cr.
 Few liquid counters where cost of carry is positive are
ISPATIND, TRIVENI, GTL, RUCHISOYA and
PANTALOONR.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs continued cash base buying. They were net
AREVAT&D 1752000 33.54 295.25 1.99 buyers to the tune of Rs522cr in the cash segment
and formed some long positions in the Index futures
PTC 3012000 31.18 119.15 2.80 and the Stock futures.
PATELENG 707500 25.89 420.70 0.75
 There was no significant change in open interest in
ORBITCORP 3528000 19.27 129.35 2.41 the call side; however, the 5400 and 5500 put
options and out of the money (5100) put added
SOBHA 258000 15.18 368.75 8.42
considerable open interest.
OI Losers  After very less rollover in ONGC, the stock has seen
substantial fresh positions. It added more than 60%
OI PRICE
open interest in the past few trading sessions. We
SCRIP OI CHANGE PRICE CHANGE
(%) (%) may see a positive move in the counter up to
Rs1280-1285. Traders can form long positions
MUNDRAPORT 998500 -7.12 791.50 0.83 around Rs1230-1235, with the stop loss of Rs1210.
APIL 450500 -6.73 749.35 2.71  Yesterday, some short covering was visible in
SUNTV 249000 -6.57 471.40 1.63 FEDERALBANK after correction in the counter from
its high of around Rs365. We may see further short
IFCI 95368000 -6.19 59.75 1.36 covering up to Rs358. Keep a stop loss of Rs328.
YESBANK 6594000 -6.14 304.95 2.92
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.39 1.09 ONMOBILE 52.61
RELIANCE 0.21 0.15 CENTURYTEX 34.71
BANKNIFTY 1.78 2.60 SOBHA 53.86
SBIN 1.18 0.71 TATACOMM 41.90
TATAMOTORS 0.68 0.36 EDUCOMP 50.25
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 09-Aug-2010 Turnover on 09-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 309829 7944.1 -4.48
854.05 643.66 210.40 610894 16688.27 3.03
FUTURES
INDEX Stock Futures 464757 14096.28 -4.90
3037.32 2603.27 434.05 1965382 53899.72 0.62
OPTIONS
STOCK Index Options 1207254 32863.05 -1.80
1032.98 925.66 107.32 1288832 35644.87 1.27
FUTURES
STOCK Stock Options 123133 4150.36 7.81
203.42 281.48 (78.06) 40314 1260.75 7.93
OPTIONS
TOTAL 5127.77 4454.06 673.71 3905422 107493.61 1.28 Total 2104973 59053.79 -2.32
Nifty Spot = 5486.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 56.40 Buy 5400 41.25
37.90 62.10 5537.90 19.90 80.10 5380.10
Sell 5600 18.50 Sell 5300 21.35
Buy 5500 56.40 Buy 5400 41.25
51.85 148.15 5551.85 29.80 170.20 5370.20
Sell 5700 4.55 Sell 5200 11.45
Buy 5600 18.50 Buy 5300 21.35
13.95 86.05 5613.95 9.90 90.10 5290.10
Sell 5700 4.55 Sell 5200 11.45
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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