1. Derivative Report
India Research
Sep 02, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.03%
while Minifty futures’ open interest increased by
15.36% as market closed at 5471.85 levels.
 The Nifty Sep future closed at a premium of 6.10
points, against a premium of 1.30 points in the last
trading session. On the other hand, Oct future closed
at a premium of 10.65 points.
 The PCR-OI decreased from 1.47 to 1.41 points.
 The Implied volatility of At-the-money options
decreased from 16.50% to 16.00%.
 The total OI of the market is Rs1,59,071cr and the
stock futures OI is Rs45,261cr.
 Few liquid counters where cost of carry is positive are
NOIDATOLL, KSOILS, ISPATIND, RELMEDIA and
OFSS.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  A blend of short covering and some long
JISLJALEQS 130500 20.28 1212.45 -2.63 formations was visible from FIIs’ side in the Index
futures. They were net buyers of Rs360cr in the cash
COREPROTEC 10835000 19.86 268.3 2.07 market segment.
HCLTECH 2761000 18.60 386.1 0.93
 Yesterday, build up was visible in many call options
AUROPHARMA 1094250 17.44 1044.6 0.59 and the 5500 and 5600 put options. However, a
considerable unwinding was visible in the 5100 put
DISHTV 13544000 16.68 53.8 6.22
option.
OI Losers  IVRCLINFRA has significant short positions and
some unwinding was observed from lower levels in
OI PRICE
it. We may see a positive move in the stock up to
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Rs167. Traders can trade with positive bias around
Rs158 with the stop loss of Rs154.
KFA 15400000 -10.30 62.35 5.05
 The 875-880 is a strong resistance zone for TCS.
SOBHA 329000 -9.12 346 5.15 We do not expect the stock to go significantly above
GESHIP 859000 -8.42 304.65 2.51 these levels. Therefore, positive move around
resistance can be used to form short position for the
HOTELEELA 5568000 -7.32 52.45 1.45 target of Rs845. Keep a stop loss of Rs892.
DENABANK 7724000 -6.31 105.55 2.68
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.41 1.15 MCDOWELL-N 46.56
RELIANCE 0.32 0.23 HINDZINC 46.14
BANKNIFTY 1.85 1.72 DISHTV 46.27
TATASTEEL 0.50 0.25 RUCHISOYA 53.76
CAIRN 0.34 0.13 HCC 52.96
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2. Derivative Report | India Research
FII Statistics for 01-Sep-2010 Turnover on 01-Sep-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 557777 14208.87 -18.98
1843.15 1175.67 667.48 578359 15794.99 0.02
FUTURES
INDEX Stock Futures 596177 17894.35 2.06
4295.44 4534.61 (239.17) 2368987 64811.65 0.74
OPTIONS
STOCK Index Options 2076961 56513.32 -16.28
1395.74 1135.53 260.21 1279170 35338.57 1.42
FUTURES
STOCK Stock Options 113499 3549.34 -0.48
153.03 158.83 (5.81) 23402 648.23 7.18
OPTIONS
TOTAL 7687.35 7004.64 682.71 4249918 116593.45 0.88 Total 3344414 92165.88 -13.17
Nifty Spot = 5471.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 74.25 Buy 5400 63.90
42.65 57.35 5542.65 22.25 77.75 5377.75
Sell 5600 31.60 Sell 5300 41.65
Buy 5500 74.25 Buy 5400 63.90
64.00 136.00 5564.00 37.55 162.45 5362.45
Sell 5700 10.25 Sell 5200 26.35
Buy 5600 31.60 Buy 5300 41.65
21.35 78.65 5621.35 15.30 84.70 5284.70
Sell 5700 10.25 Sell 5200 26.35
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September 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
30-Aug-10 RELINFRA Long Call Ladder Continue
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