1. Derivative Report
India Research
June 25, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 3.42%,
while, Minifty futures open interest decreased by
1.62% as market closed at 5320.60 levels.
 The Nifty July future closed at a discount of 3.75
points, as against a premium of 16.35 points in the
last trading session, while the Aug future also closed at
a same discount of 3.75 points.
 The PCR-OI increased from 1.84 to 1.87 points.
 The Implied volatility of At-the-money options
decreased from 19.00% to 18.00%.
 Rollover for Nifty futures is 70.28% and for Minifty
futures it is 70.83%. Market wide rollover is 82.34%
 The total OI of the market is Rs.1,64,681cr and the
stock futures OI is Rs37,801cr.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  A small buying was visible in the Index Futures from
(%) (%) the FIIs side. They continued shorting Stock futures,
at the same time; their buying was Rs1154cr in the
HCLTECH 6292700 112.00 364.15 -2.31
cash market segment. After a flattish opening
BGRENERGY 466100 68.69 719.20 -3.50 today, we may see some selling pressure in the
market.
GODREJIND 3575900 52.07 170.50 6.66
KOTAKBANK 5787850 47.10 756.10 -3.57  Yesterday, most of the call and put options added
significant open interest. New series data is
BOSCHLTD 24475 28.14 5384.25 -2.54 showing highest buildup in the 5500 call option
and the 5200 Put option.
OI Losers
 In the past few trading sessions, some unwinding
OI PRICE was visible in TATAMOTORS and the stock is
SCRIP OI CHANGE PRICE CHANGE trading on higher side. Positional traders can form
(%) (%)
short positions for the target of Rs740-745 with the
TATAPOWER 1777750 -11.23 1318.95 -0.16 stop loss at Rs810.
IVRCLINFRA 5008000 -10.46 182.95 -0.73  HINDUNILVR gave a positive move only because of
TATACHEM 1497750 -10.19 328.30 2.47
short covering. The stock may give some correction
in the coming trading sessions. Therefore,
DIVISLAB 818000 -10.00 763.25 -1.55 positional traders can form short positions for the
ITC 14753500 -9.87 305.75 0.96
target of Rs250, with the stop loss of Rs277.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.87 1.04 GODREJIND 49.55
RELIANCE 0.32 0.35 STERLINBIO 30.80
TATASTEEL 0.53 0.31 KOTAKBANK 34.92
ONGC 0.94 0.68 ROLTA 32.55
RCOM 0.87 0.31 BEL 30.43
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2. Derivative Report | India Research
FII Statistics for 24-June-2010 Turnover on 24-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 1100068 27594.53 32.13
6090.39 5868.30 222.08 652402 17241.08 -31.97
FUTURES
INDEX Stock Futures 1186744 34580.69 19.55
8934.74 8689.66 245.08 1348367 35847.77 -42.19
OPTIONS
STOCK Index Options 3354889 89048.55 55.36
4761.67 5714.81 (953.14) 1028538 26938.44 -8.74
FUTURES
STOCK Stock Options 113379 3613.73 13.55
50.32 119.12 (68.80) 9308 256.76 -80.94
OPTIONS
TOTAL 19837.12 20391.89 (554.77) 3038615 80284.04 -31.98 Total 5755080 154837.50 40.36
Nifty Spot = 5320.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 71.95 Buy 5300 113.90
36.00 64.00 5436.00 31.80 68.20 5268.20
Sell 5500 35.95 Sell 5200 82.10
Buy 5400 71.95 Buy 5300 113.90
54.95 145.05 5454.95 54.80 145.20 5245.20
Sell 5600 17.00 Sell 5100 59.10
Buy 5500 35.95 Buy 5200 82.10
18.95 81.05 5518.95 23.00 77.00 5177.00
Sell 5600 17.00 Sell 5100 59.10
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
31-May-2010 Nifty Long Put Ladder Expired in marginal profit
07-Jun-2010 HINDUNILVR Ratio Put Spread Expired in marginal Loss
07-Jun-2010 RCOM Ratio Put Spread No profit no loss on expiry
14-Jun-2010 HINDALCO Ratio Call Spread Profit booked on 23-Jun-2010
14-Jun-2010 LT Short Straddle Loss Booked on 17-Jun-2010
21-Jun-2010 ICICIBANK Long Put Did not trigger
21-Jun-2010 ASHOKLEY Long Call Loss on Expiry
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