1. Derivative Report
India Research
July 15, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.60%,
while, Minifty futures open interest decreased by
5.65% as market closed at 5386.15 levels.
 The Nifty July future closed at a premium of 2.30
points, against a premium of 16.45 points in the last
trading session, while the Aug future closed at a
premium of 8.15 points.
 The PCR-OI has increased from 1.36 to 1.38 points.
 The Implied volatility of At-the-money options has
increased from 15.50% to 16.50%.
 Few liquid counters where cost-of-carry is positive are
BRFL, KSOILS, TV-18, GVKPIL and FSL.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  Some FII’s selling was visible in the Index Futures,
though they continued their buying in the cash
DCHL 7070000 17.29 135.65 0.52
market segment.
GESHIP 1200000 15.61 293.00 -2.02
 Yesterday, some unwinding was visible in most of
RNRL 39952000 15.41 45.60 2.82
the call and put options, which was not very
JISLJALEQS 126750 14.45 1183.25 1.11 significant.
ORIENTBANK 1536000 11.95 359.35 1.89  PRAJIND continued to add significant open interest
in the past few trading sessions and the stock in
OI Losers moving is a very small range of Rs80-82. The stock
OI PRICE is looking strong. Therefore, it is advisable for
SCRIP OI CHANGE PRICE CHANGE positional traders to form long positions for the
(%) (%) target of Rs90-92, with the stop loss of Rs77.
ASIANPAINT 34750 -23.20 2415.00 1.91  IVRCLINFRA is trading around current levels in the
EXIDEIND 1626000 -20.61 138.70 2.06 past few trading sessions. A small negative move
can be seen in this counter, due to profit booking.
SUNTV 250000 -16.39 441.55 1.26 Thus, day traders can trade with negative bias in
OPTOCIRCUI 422000 -15.77 261.80 -0.02 this stock.
UNITECH 47532000 -14.29 83.35 0.12
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.38 1.27 KFA 38.97
RELIANCE 0.17 0.23 RANBAXY 27.13
BANKNIFTY 2.42 1.62 GVKPIL 30.98
TATASTEEL 0.59 0.38 TATATEA 27.96
ONGC 0.89 0.28 BEL 28.48
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2. Derivative Report | India Research
FII Statistics for 14-July-2010 Turnover on 14-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 453514 11367.45 -10.14
FUTURES 1108.07 1537.60 (429.53) 632812 16979.04 1.10
INDEX Stock Futures 627080 18353.86 2.24
OPTIONS 7792.46 7177.62 614.83 1954679 52609.65 2.42
STOCK Index Options 1906651 51063.11 13.03
FUTURES 1611.03 1426.40 184.64 1166207 31454.78 0.30
STOCK Stock Options 135817 4129.92 -8.07
OPTIONS 148.88 150.17 (1.30) 53906 1507.40 4.04
TOTAL Total 3123062 84914.35 5.78
10660.43 10291.79 368.64 3807604 102550.87 1.56
Nifty Spot = 5386.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 64.95 Buy 5300 43.20
39.60 60.40 5439.60 20.15 79.85 5279.85
Sell 5500 25.35 Sell 5200 23.05
Buy 5400 64.95 Buy 5300 43.20
58.05 141.95 5458.05 30.70 169.30 5269.30
Sell 5600 6.90 Sell 5100 12.50
Buy 5500 25.35 Buy 5200 23.05
18.45 81.55 5518.45 10.55 89.45 5189.45
Sell 5600 6.90 Sell 5100 12.50
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 TATASTEEL Put Hedge Profit booked on 13-July-2010
12-Jun-2010 RENUKA Long Call Continue
12-Jun-2010 ITC Long Put Continue
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