1. Derivative Report
India Research
July 12, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.92%,
while Minifty futures’ open interest increased by
19.72% as market closed at 5352.45 levels.
 The Nifty July future closed at a premium of 1.60
points, against a premium of 12.60 points in the last
trading session, while the Aug future closed at a
premium of 3.80 points.
 The PCR-OI has increased from 1.29 to 1.31 points.
 The Implied volatility of At-the-money options has
decreased from 18.00% to 17.70%.
 The total OI of the market is Rs1,36,680cr and the
stock futures OI is Rs37,978cr.
 Some liquid counters where cost of carry is positive are
STERLINBIO, FORTIS, TTML, BRFL and PRAJIND.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
 The FIIs again covered significant short positions in
(%) (%)
the Index futures and formed some long positions
DCHL 5550000 65.77 137.80 11.99 in the stock futures. They were net buyers of
HEXAWARE 2292000 45.06 84.75 6.34
Rs1104cr in the cash market segment. As
suggested by SGX Nifty we may see a flattish
ORIENTBANK 1115000 33.37 352.90 5.01 opening today.
ASIANPAINT 43125 30.68 2384.25 1.44
 On the call front, the Nifty 5600 call option added
ALBK 2034000 17.84 166.55 0.97 considerable open interest. On the other hand,
5300 and 5400 puts added significant contracts.
OI Losers
 In last few trading sessions, ALBK added around
OI PRICE 40% open interest due to long formation.
SCRIP OI CHANGE PRICE CHANGE Therefore, trading with positive bias is advisable in
(%) (%)
this stock. We may see a positive move around
PETRONET 4596000 -16.74 82.05 4.59 Rs172-175.
PTC 2310000 -11.49 106.50 6.02  Amongst metal counters, STER is expected to be an
FEDERALBNK 1413000 -10.74 360.30 2.18 underperformer. Positive move around Rs170-172
can be used to initiate short positions. We can see a
OPTOCIRCUI 553000 -10.66 243.55 1.37 negative move of around Rs160. Stop loss should
YESBANK 7302000 -10.44 285.70 3.59 be at Rs176.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.31 0.89 DCHL 61.14
RELIANCE 0.18 0.46 IDEA 70.95
BANKNIFTY 3.41 0.89 BHARTIARTL 55.87
TATASTEEL 0.46 0.26 PTC 37.30
ONGC 0.95 0.20 ORIENTBANK 36.21
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2. Derivative Report | India Research
FII Statistics for 09-July-2010 Turnover on 09-July-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 427908 10545.81 -13.50
1836.08 776.54 1,059.53 619030 16482.90 -2.26
FUTURES
INDEX Stock Futures 564250 16122.47 22.81
3187.44 3134.37 53.07 1870441 50020.05 -0.08
OPTIONS
STOCK Index Options 1356249 36137.43 -17.36
1476.95 945.93 531.01 1135259 30324.40 0.87
FUTURES
STOCK Stock Options 118347 3543.77 38.43
94.95 104.88 (9.94) 48492 1357.79 2.76
OPTIONS
TOTAL 6595.41 4961.73 1,633.68 3673222 98185.14 -0.13 Total 2466754 66349.49 -7.34
Nifty Spot = 5352.45 Lot Size = 50
Bear-Put Spreads
Bull-Call Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 58.35 Buy 5300 63.30
35.25 64.75 5435.25 24.90 75.10 5275.10
Sell 5500 23.10 Sell 5200 38.40
Buy 5400 58.35 Buy 5300 63.30
51.20 148.80 5451.20 39.90 160.10 5260.10
Sell 5600 7.15 Sell 5100 23.40
Buy 5500 23.10 Buy 5200 38.40
15.95 84.05 5515.95 15.00 85.00 5185.00
Sell 5600 7.15 Sell 5100 23.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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
28-June-2010 Reliance Long Put Continue
05-July 2010 Nifty Put Hedge Continue
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