1. Derivative Report
India Research
July 23, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest decreased by 0.77%,
while, Minifty futures open interest increased by
15.14% as market closed at 5441.95 levels.
 The Nifty July future closed at a premium of 10.50
points, against a premium of 4.45 points in the last
trading session, while the Aug future closed at a
premium of 15.70 points.
 The PCR-OI increased from 1.33 to 1.40 points.
 The Implied volatility of At-the-money options is at the
same level of 17.00%.
 The total OI of the market is Rs1,69,163cr and the
stock futures OI is Rs45,369cr.
 Few liquid counters where cost-of-carry is positive are
TRIVENI, STERLINBIO, TV-18, BRFL and
CHENNPETRO.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE  FIIs’ net activity was not very significant in the
(%) (%) Futures segment. They continued their buying in
CESC 715000 22.22 403.10 -1.71 Index options. Most of the global markets are
positive. We may see a positive opening.
IBREALEST 27098000 20.84 166.10 -0.69
ADANIENT 2866500 20.64 558.90 1.75  Yesterday, significant unwinding has been observed
in the 5300 and 5400 Call options. This suggests
ABB 1707250 18.87 848.05 0.00 participants who had short in the options were
AREVAT&D 1886000 14.51 293.60 1.64 covering their positions. On the other hand, build-
up was visible in the 5500 call, and 5400 and
OI Losers 5500 Put options.
OI PRICE  In a day, IBREALEST added around 21% OI and
SCRIP OI CHANGE PRICE CHANGE stock has potential to go further up. Therefore, it is
(%) (%) advisable to form long for the target of Rs178, with
ALBK 2182000 -15.69 178.25 0.08
the stop loss of Rs163.
POWERGRID 16294000 -9.78 101.45 1.55  Significant short positions exist in KSOILS and build-
up at support levels suggests short covering may
PFC 2908000 -9.15 323.20 -1.16
come in the stock. Therefore, we expect a positive
ASHOKLEY 17524000 -7.38 72.75 0.62 move in the counter up-to Rs57. Stop loss should be
at Rs50.
IFCI 87000000 -7.08 62.10 1.97
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.40 1.01 BAJAJ-AUTO 24.69
RELIANCE 0.18 0.24 BIOCON 26.24
BANKNIFTY 2.48 1.58 KFA 39.96
TATASTEEL 0.95 0.44 GAIL 31.76
INFOSYSTCH 0.44 0.79 VOLTAS 26.92
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2. Derivative Report | India Research
FII Statistics for 22-July-2010 Turnover on 22-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 626304 15807.32 23.84
1540.16 1507.83 32.33 663456 18007.79 -2.21
FUTURES
INDEX Stock Futures 816138 23157.95 19.64
3891.73 3641.85 249.89 2191047 59584.84 1.21
OPTIONS
STOCK Index Options 2225786 60190.78 6.50
3921.31 4049.30 (127.98) 1276320 35129.90 1.82
FUTURES
STOCK Stock Options 126015 3746.08 14.85
141.40 139.94 1.46 55905 1583.66 -0.44
OPTIONS
TOTAL 9494.61 9338.92 155.70 4186728 114306.18 0.82 Total 3794243 102902.13 11.97
Nifty Spot = 5441.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 28.80 Buy 5400 27.70
22.00 78.00 5522.00 16.80 83.20 5383.20
Sell 5600 6.80 Sell 5300 10.90
Buy 5500 28.80 Buy 5400 27.70
27.45 172.55 5527.45 23.75 176.25 5376.25
Sell 5700 1.35 Sell 5200 3.95
Buy 5600 6.80 Buy 5300 10.90
5.45 94.55 5605.45 6.95 93.05 5293.05
Sell 5700 1.35 Sell 5200 3.95
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-July-2010 RENUKA Long Call Loss Booked on 19-July-2010
12-July-2010 ITC Long Put Profit booked on 19-July-2010
19-July-2010 SBIN Long Put Loss booked on 22-July-2010
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