1. Derivative Report
India Research
Sep 24, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 1.68%
while Minifty futures’ open interest decreased by
4.60% as market closed at 5959.55 levels.
 The Nifty Sep future closed at a premium of 12.20
points, against a premium of 11.15 points in the last
trading session. On the other hand, Oct future closed
at a premium of 25.30 points.
 The PCR-OI decreased from 1.92 to 1.87 points.
 The Implied volatility of At-the-money options
decreased from 17.00% to 16.00%.
 The total OI of the market is Rs2,12,938cr and the
stock futures OI is Rs52,243cr.
 Few liquid counters where cost of carry is positive are
APOLLOTYRE, DABUR, JINDALSWHL, GTOFFSHORE
and ZEEL.
OI Gainers View
OI PRICE
 Yesterday, a blend of shorting and some long
SCRIP OI CHANGE PRICE CHANGE
(%) (%) unwinding was observed in the market. FIIs profit
booking was also visible in the Index futures and
ORCHIDCHEM 11336000 60.43 207.75 4.37 they continued their shorting in the stock futures.
HCC 27040000 21.89 59.55 -2.54 Although they were net buyers in the cash segment
of Rs534cr, their pace of buying has reduced.
ABAN 3566000 20.99 827.40 -0.49
 Yesterday, significant build up in the 6000 and
JINDALSWHL 530875 12.03 1897.35 1.90 6100 call options was visible and unwinding was
IBREALEST 20790000 11.19 172.25 -4.04 observed in most of the out-of-money put options.
 TATAPOWER has major resistance around
OI Losers
Rs1330-1340. Stock has given a positive move due
OI PRICE to short covering. Resistance levels can be used to
SCRIP OI CHANGE PRICE CHANGE form short positions for the target of Rs1260 with
(%) (%) the stop loss of Rs1370.
TECHM 1863500 -12.61 800.90 1.64  Most of the banking stocks are showing long
KFA 12868000 -11.38 67.60 6.79 unwinding from higher levels. ANDHRABANK’s
open interest has reduced substantially in the past
BANKINDIA 3007000 -9.07 499.05 -0.82 few trading sessions. We expect correction in the
FEDERALBNK 1492000 -8.80 369.45 -0.09 stock due to profit booking. Therefore, it is
advisable to form short around Rs165, for the
BAJAJHIND 10754000 -7.13 131.85 1.07 target of Rs150. Keep a stop loss of Rs173.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.87 1.16 PTC 40.86
RELIANCE 0.44 0.37 KFA 65.63
BANKNIFTY 2.89 1.98 PUNJLLOYD 41.13
TATASTEEL 0.88 0.37 NAGARCONST 31.24
SBIN 0.96 0.45 IBREALEST 42.43
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2. Derivative Report | India Research
FII Statistics for 23-Sep-2010 Turnover on 23-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 584393 16714.83 -31.78
1719.19 2719.59 (1000.40) 785548 23438.81 -2.09
FUTURES
INDEX Stock Futures 815621 25111.97 -10.33
4976.58 5358.91 (382.33) 2970568 88522.74 -0.85
OPTIONS
STOCK Index Options 2260892 67079.25 -30.30
3094.42 3852.42 (758.01) 1393141 41172.57 1.09
FUTURES
STOCK Stock Options 144221 4643.18 -13.19
636.86 646.33 (9.47) 55111 1704.92 -1.98
OPTIONS
TOTAL 10427.04 12577.26 (2150.22) 5204368 154839.04 -0.54 Total 3805127 113549.23 -26.32
Nifty Spot = 5959.55 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6000 40.15 Buy 5900 29.65
25.90 74.10 6025.90 16.60 83.40 5883.40
Sell 6100 14.25 Sell 5800 13.05
Buy 6000 40.15 Buy 5900 29.65
35.70 164.30 6035.70 24.15 175.85 5875.85
Sell 6200 4.45 Sell 5700 5.50
Buy 6100 14.25 Buy 5800 13.05
9.80 90.20 6109.80 7.55 92.45 5792.45
Sell 6200 4.45 Sell 5700 5.50
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
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
30-Aug-10 RELINFRA Long Call Ladder Continue
06-Sep-10 BHARTIARTL Ratio Put Spread Continue
13-Sep-10 HINDUNILVR Call Hedge Continue
13-Sep-10 NIFTY Long Put Continue
20-Sep-10 RPOWER Ratio Bull Call Spread Continue
20-Sep-10 IFCI Ratio Bull Call Spread Continue
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