1. Derivative Report
India Research
Sep 28, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 5.32%
while Minifty futures’ open interest decreased by
3.02% as market closed at 6035.65 levels.
 The Nifty Sep future closed at a premium of 18.15
points, against a premium of 16.25 points in the last
trading session. On the other hand, Oct future closed
at a premium of 34.95 points.
 The PCR-OI increased from 1.93 to 1.94 points.
 The Implied volatility of At-the-money options for
September series increased from 12.00% to 15.00%,
while for October series it was 20.00%
 The total OI of the market is Rs2,13,235cr and the
stock futures OI is Rs53,141cr.
 Rollover for Nifty futures is 36.31% and for Minifty
futures is 52.47%.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  FIIs continued to form some short positions in the
(%) (%) stock futures and were net buyers in the Index
SOBHA 457000 31.70 390.70 -0.29 futures. They were net buyers of Rs1,137cr in the
cash segment.
SUNTV 643500 28.57 531.00 2.39
 Yesterday, significant build up was observed in the
DISHTV 20184000 19.69 55.40 2.12 6100 put option and unwinding in the 5900 puts.
IOB 5212000 14.50 134.95 -1.46 On the call front, the 6100 call added considerable
open interest. In the Oct series, the 6000 put added
BGRENERGY 1177000 14.38 750.20 -1.00
highest open interest.
OI Losers  CAIRN is showing its immediate support around
Rs330 and has given a positive move from there.
OI PRICE
We expect stock to reach again Rs340-342.
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
Therefore it is advisable to form long around
support with a stop loss of Rs325.
ORCHIDCHEM 8228000 -18.84 212.95 2.23
 TCS has given a good positive move due to short
ABAN 3221500 -15.55 844.15 -1.87 covering. Now, stock is showing some correction
TRIVENI 5144000 -13.58 118.80 4.12 form higher levels. Therefore, traders can trade with
negative bias for the target of Rs900. Keep a stop
VOLTAS 2150000 -11.96 237.55 1.91 loss of Rs947.
ZEEL 4335000 -10.69 306.30 0.33
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.94 1.03 NTPC 20.81
RELIANCE 0.44 0.28 STERLINBIO 36.86
BANKNIFTY 2.94 1.29 VIDEOIND 38.97
TATASTEEL 1.08 0.45 HINDZINC 40.42
SBIN 1.04 0.52 ABB 32.61
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 27-Sep-2010 Turnover on 27-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 654233 19136.24 -1.54
6151.58 5883.34 268.24 736716 22307.25 -8.68
FUTURES
INDEX Stock Futures 1116145 35232.01 13.95
5657.16 5975.05 (317.89) 2964024 89454.26 0.10
OPTIONS
STOCK Index Options 2669137 80382.35 -10.42
6657.88 6920.07 (262.18) 1419151 42568.94 1.01
FUTURES
STOCK Stock Options 162435 5500.02 9.31
676.64 710.90 (34.27) 52239 1644.86 -0.94
OPTIONS
TOTAL 19143.26 19489.36 (346.10) 5172130 155975.31 -1.02 Total 4601950 140250.62 -3.36
Nifty Spot = 6035.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 16.50 Buy 6000 14.85
13.35 86.65 6113.35 10.25 89.75 5989.75
Sell 6200 3.15 Sell 5900 4.60
Buy 6100 16.50 Buy 6000 14.85
15.45 184.55 6115.45 12.65 187.35 5987.35
Sell 6300 1.05 Sell 5800 2.20
Buy 6200 3.15 Buy 5900 4.60
2.10 97.90 6202.10 2.40 97.60 5897.60
Sell 6300 1.05 Sell 5800 2.20
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
27-Sep-10 RELIANCE Long Call Continue
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