The document provides a summary of derivative market activity in India for July 28, 2010. Key points include: - Nifty futures open interest increased 0.61% while Mini Nifty increased 1.68% as the market closed at 5430.60. - Several stocks saw increases or decreases in open interest of over 10%, including increases for Orbitcorp, Titan, and ABB, and decreases for Auropharma, Sesagoa, and Educomp. - The put-call ratio for Nifty increased to 1.48 from 1.47. Implied volatility of at-the-money options remained at 17%. - FII activity and turnover figures are provided for index futures

1. Derivative Report
India Research
July 28, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 0.61%
while Minifty futures open interest increased by 1.68%
as market closed at 5430.60 levels.
 The Nifty July future closed at a premium of 4.00
points, against a premium of 3.95 points in the last
trading session. On the contrary, Aug future closed at
a premium of 13.2 points.
 The PCR-OI increased from 1.47 to 1.48 points.
 The Implied volatility of At-the-money options
remained same at 17%.
 The total OI of the market is Rs1,70,891cr and the
stock futures OI is Rs44,878cr.
 Rollover for Nifty futures is 44.91%, for Minifty futures
is 50.70% and market wide roll-over is 48.25%.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 FIIs have formed some short positions in the Index
ORBITCORP 2128000 22.58 133.65 -0.48 futures. They continued their buying in Index
options.
TITAN 319375 20.98 2830.25 1.18
ABB 2076750 19.27 809.10 -2.20  Yesterday, the 5500 call option, and 5300 and
5400 put options of Aug. Series added significant
DRREDDY 1670750 17.08 1330.50 -0.96 open interest; however, unwinding was visible in
BAJAJ-AUTO 852750 14.48 2654.15 4.97 most of the call and put options of July expiry.
Unlike past few trading sessions, we may see some
OI Losers volatility in last two days of expiry.
OI PRICE  Traders can trade with positive bias in
SCRIP OI CHANGE PRICE CHANGE AUROPHARMA. Due to short covering, we may see
(%) (%) a positive move in the counter. Buy Aug. futures
around 925, for the target of Rs 955, with the stop
AUROPHARMA 1612250 -13.51 935.00 0.04
loss of Rs912.
SESAGOA 17321500 -11.98 368.30 0.60
 Few liquid stocks where rollover is high are GTL,
EDUCOMP 3431000 -11.90 619.85 0.53 NTPC, M&M, ABB and BHEL. Stocks where rollover
INFOSYSTCH 2955375 -9.02 2828.80 0.87
is low are PATNI, ONGC, NAGARCONST,
TATACOMM and ASHOKLEY.
ZEEL 2268000 -8.36 297.35 -0.68
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.48 1.13 BAJAJ-AUTO 33.86
RELIANCE 0.21 0.34 ASIANPAINT 27.20
BANKNIFTY 2.52 1.04 ADANIENT 24.97
TATASTEEL 1.07 0.44 TECHM 32.62
SBIN 0.99 0.52 LT 27.40
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 27-July-2010 Turnover on 27-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 774761 20097.11 44.24
7485.53 7237.54 247.99 659351 17851.13 8.28
FUTURES
INDEX Stock Futures 1154873 32042.84 21.28
5519.00 4237.84 1,281.16 2298262 62374.10 1.68
OPTIONS
STOCK Index Options 2164441 58604.13 11.18
7798.38 7761.63 36.74 1284522 35107.99 -0.55
FUTURES
STOCK Stock Options 142355 4145.15 7.66
217.43 275.52 (58.10) 56472 1613.65 -3.23
OPTIONS
TOTAL 21020.33 19512.54 1,507.79 4298607 116946.87 1.89 Total 4236430 114889.23 18.55
Nifty Spot = 5430.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 7.65 Buy 5400 14.1
6.95 93.05 5506.95 12.30 87.70 5387.70
Sell 5600 0.70 Sell 5300 1.80
Buy 5500 7.65 Buy 5400 14.1
7.20 192.80 5507.20 13.45 186.55 5386.55
Sell 5700 0.45 Sell 5200 0.65
Buy 5600 0.70 Buy 5300 1.80
0.25 99.75 5600.25 1.15 98.85 5298.85
Sell 5700 0.45 Sell 5200 0.65
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
For Private Circulation Only SEBI Registration No: INB 010996539 2

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 Loss booked on 19-July-2010
12-Jun-2010 ITC Long Put Profit booked on 19-July-2010
19-Jul-2010 SBIN Long Put Loss booked on 22-July-2010
26-Jul-2010 BHARTIARTL Call Hedge Continue
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