1. Derivative Report
India Research
June 21, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest decreased by 0.56%,
while, Minifty futures open interest decreased by
5.84% as market closed at 262.60 levels.
 The Nifty June future closed at a discount of 1.45
points, as against a premium of 9.95 points in the last
trading session, while the July future closed at a
premium of 0.95 points.
 The PCR-OI increased from 1.64 to 1.67 points.
 The Implied volatility of At-the-money options
increased from 15.50% to 16.00%.
 The total OI of the market is Rs.1,50,226cr and the
stock futures OI is Rs37,554cr.
 Some liquid counters where cost of carry is positive are
BRFL, JPPOWER, ABIRLANUVO, GTLINFRA and
RECLTD.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE  Although FIIs did some selling in the future’s
(%) (%)
segment, they were net buyers of Rs779cr in the
BGRENERGY 169700 36.20 758.05 2.93 cash market. US markets closed flat but most of the
Asian markets are positive. As suggested by SGX
TULIP 134250 15.98 853.95 -1.13
Nifty we may see an opening around 5300 level.
HINDZINC 410000 12.64 973.95 -3.67
 In the last trading session, unwinding in most of the
UNIPHOS 5159200 12.18 190.30 0.42 Call options and build up in mainly 5200 and
BPCL 2688300 9.74 521.70 -2.56
5300 puts have been observed.
 In the last trading session HINDZINC added
OI Losers substantial open interest. Due to short covering we
OI PRICE may see a positive move in the counters. Traders
SCRIP OI CHANGE PRICE CHANGE can trade with positive bias for the target of
(%) (%) Rs1020; stop loss should be at Rs960.
EXIDEIND 1716000 -11.27 128.40 -1.15  Some unwinding was observed in BHARATFORG in
the past few trading sessions. Participants, who had
JISLJALEQS 89500 -10.72 1142.90 0.24
formed long positions, might be covering their
TATAMOTORS 9573900 -10.46 801.80 -0.05 positions. Therefore, today’s gap-up opening above
Rs285 can be used to trade with negative bias, for
BOSCHLTD 15900 -9.92 5361.55 -3.88
the target of Rs260, with the stop loss of Rs295.
RELINFRA 4929266 -9.74 1163.10 -2.95
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.67 1.23 BOSCHLTD 39.46
RELIANCE 0.36 0.24 RELMEDIA 83.74
TATASTEEL 0.45 0.46 BAJAJHIND 52.41
ONGC 0.95 0.58 GVKPIL 34.95
RCOM 0.85 0.45 ULTRACEMCO 31.56
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2. Derivative Report | India Research
FII Statistics for 18-June-2010 Turnover on 18-June-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 601993 14891.20 -13.41
2384.24 2515.91 (131.66) 569955 14898.08 4.59
FUTURES
INDEX Stock Futures 739143 21912.69 -1.10
5656.55 5180.78 475.77 2114179 55594.36 2.70
OPTIONS
STOCK Index Options 2199447 57469.73 -8.18
3585.20 3788.33 (203.13) 1083019 30490.19 2.17
FUTURES
STOCK Stock Options 139445 4380.80 2.29
339.52 352.66 (13.14) 47696 1539.87 -0.29
OPTIONS
TOTAL 11965.51 11837.68 127.83 3814849 102522.49 2.79 Total 3680028 98654.43 -7.13
Nifty Spot = 5262.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 21.15 Buy 5200 21.10
17.60 82.40 5317.60 13.90 86.10 5186.10
Sell 5400 3.55 Sell 5100 7.20
Buy 5300 21.15 Buy 5200 21.10
20.50 179.50 5320.50 17.50 182.50 5182.50
Sell 5500 0.65 Sell 5000 3.60
Buy 5400 3.55 Buy 5100 7.20
2.90 97.10 5402.90 3.60 96.40 5096.40
Sell 5500 0.65 Sell 5000 3.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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
31-May-2010 Nifty Long Put Ladder Continue
07-Jun-2010 HINDUNILVR Ratio Put Spread Continue
07-Jun-2010 RCOM Ratio Put Spread Continue
14-Jun-2010 HINDALCO Ratio Call Spread Continue
14-Jun-2010 LT Short Straddle Loss Booked on 17-Jun-2010
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