1. Derivative Report
India Research
Sep 29, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.69%
while Minifty futures’ open interest decreased by
2.32% as market closed at 6029.50 levels.
 The Nifty Sep future closed at a premium of 20.40
points, against a premium of 18.15 points in the last
trading session. On the other hand, Oct future closed
at a premium of 34.40 points.
 The PCR-OI increased from 1.94 to 1.98 points.
 The Implied volatility of At-the-money options for
September series increased from 15.00% to 18.00%,
while for October series decreased from 20.00% to
19.00%.
 The total OI of the market is Rs2,14,450cr and the
stock futures OI is Rs53,461cr.
 Rollover for Nifty futures is 36.31%, Minifty futures is
52.47%, while market-wide rollover is 49.55%.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  FIIs did some long unwinding in the Index futures
(%) (%) and formed some short positions in the Stock
futures. They were net buyers of Rs573cr in the cash
BANKINDIA 3578000 25.85 515.95 3.71
market segment.
SCI 1972000 18.37 165.10 1.29
 In the last trading session, significant build up was
KFA 15520000 17.93 68.15 1.04 observed in the 6100 put option and unwinding
VOLTAS 2524000 17.40 245.20 3.22 was observed in the 5900 and 6000 call options. In
October series, most of the call and put options
IFCI 1.07E+08 17.37 62.20 -0.16 added considerable open interest.
OI Losers  After shorting from higher levels in ICSA some
unwinding was observed in the stock in the last two
OI PRICE trading sessions. Stock has strong support at Rs125.
SCRIP OI CHANGE PRICE CHANGE Therefore, it is advisable to form long around
(%) (%)
support for the target of Rs132. Keep a stop loss of
SINTEX 1262000 -23.93 384.20 4.13 Rs122.
NOIDATOLL 8840000 -14.27 33.45 -2.05  Stocks which have given a good positive move over
the month but till now rollover is less are
HINDZINC 440500 -12.03 1128.80 0.20
HINDALCO and ABB. Few liquid stocks where
EDUCOMP 4251500 -9.84 615.20 -1.80 rollover is high are RENUKA, JINDALSAW,
AMBUJACEM 29542000 -8.93 146.00 0.52
VIDEOIND, GTLINFRA and INDIACEM.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.98 1.10 SIEMENS 29.24
RELIANCE 0.44 0.28 ABB 37.98
BANKNIFTY 2.72 0.67 BIOCON 31.12
TATASTEEL 1.09 0.51 SINTEX 40.79
SBIN 1.09 0.55 BANKINDIA 36.69
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 28-Sep-2010 Turnover on 28-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 795530 23245.7 21.47
6191.30 6793.04 (601.74) 727689 22027.57 -1.23
FUTURES
INDEX Stock Futures 1246679 38575.1 9.49
5460.61 5278.44 182.17 2983308 89945.81 0.65
OPTIONS
STOCK Index Options 2772361 83384.75 3.74
8857.04 9333.93 (476.89) 1426941 42806.80 0.55
FUTURES
STOCK Stock Options 137220 4571.29 -16.89
462.99 491.52 (28.53) 51346 1612.11 -1.71
OPTIONS
TOTAL 20971.94 21896.93 (924.99) 5189284 156392.29 0.33 Total 4951790 149776.84 6.79
Nifty Spot = 6029.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 10.40 Buy 6000 12.70
8.75 91.25 6108.75 9.30 90.70 5990.70
Sell 6200 1.65 Sell 5900 3.40
Buy 6100 10.40 Buy 6000 12.70
10.00 190.00 6110.00 11.45 188.55 5988.55
Sell 6300 0.40 Sell 5800 1.25
Buy 6200 1.65 Buy 5900 3.40
1.25 98.75 6201.25 2.15 97.85 5897.85
Sell 6300 0.40 Sell 5800 1.25
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
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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