The document provides a summary of derivative market activity in India for September 30, 2010. Key points include: - Open interest for Nifty futures decreased by 2.01% while for Mini Nifty futures it decreased by 4.92% as the market closed at 5991.30. - Nifty September futures closed at a premium of 9.10 points while October futures closed at a premium of 34.45 points. - Implied volatility for September options decreased to 15% from 18% while for October options it increased to 20% from 19%. - Rollover for Nifty futures was 60.17% and for Mini Nifty futures was 62.57%.

1. Derivative Report
India Research
Sep 30, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 2.01%
while Minifty futures’ open interest decreased by
4.92% as market closed at 5991.30 levels.
 The Nifty Sep future closed at a premium of 9.10
points, against a premium of 20.40 points in the last
trading session. On the other hand, Oct future closed
at a premium of 34.45 points.
 The PCR-OI decreased from 1.98 to 1.84 points.
 The Implied volatility of At-the-money options for
September series decreased from 18.00% to 15.00%,
while for October series increased from 19.00% to
20.00%.
 The total OI of the market is Rs2,11,792cr and the
stock futures OI is Rs52,595cr.
 Rollover for Nifty futures is 60.17% and Minifty futures
is 62.57%, while market-wide rollover is 63.89%.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE  Again unwinding of long positions was observed in
(%) (%) the Index futures from the FIIs’ side and shorting
APIL 1177500 31.05 810.75 3.91 was observed in the Stock futures. They were net
buyers of Rs756cr in the cash market segment.
SIEMENS 1751000 27.62 821.60 0.64
 Yesterday, significant unwinding was observed in
GLAXO 241375 16.96 2240.95 3.81 the 6100 put option and build up in the 6000 call
IOB 5948000 12.14 132.05 -2.69 option. In October series, 5200 put option added
highest open interest and, the 6000 call option and
BEML 235500 10.30 1106.05 -0.62 the 5500 strike put have highest open interest.
OI Losers  Rollover in Nifty Index was almost same as it was in
the last month. However, strong rollover was
OI PRICE observed in most of the stock futures. Over the
SCRIP OI CHANGE PRICE CHANGE month, open interest of GAIL has reduced
(%) (%)
significantly and rollover is also less till now.
NOIDATOLL 7304000 -17.38 32.70 -2.24 Positional traders who have long positions can
book their profit.
MARUTI 2599500 -14.78 1430.05 -2.59
 TATASTEEL has resistance around Rs660 and some
ACC 2331250 -13.05 1005.15 -1.58
weakness was observed in the stock yesterday. It is
DLF 17080000 -10.44 372.95 -1.34 advisable to form short positions around resistance
for the target of Rs630 with a stop loss of Rs674.
GSPL 10604000 -10.35 114.55 1.06
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.84 1.15 STER 53.82
RELIANCE 0.43 0.24 GLAXO 32.88
BANKNIFTY 2.76 1.52 IVRCLINFRA 35.15
TATASTEEL 0.98 0.36 ONGC 23.41
SBIN 1.12 0.53 APIL 36.31
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 29-Sep-2010 Turnover on 29-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 835036 24272.58 4.42
6666.72 7084.97 (418.25) 717219 21568.88 -1.44
FUTURES
INDEX Stock Futures 1334098 42022.94 8.94
5967.83 6521.42 (553.59) 2957825 88613.89 -0.85
OPTIONS
STOCK Index Options 3246311 97378.18 16.78
8324.39 8991.11 (666.72) 1434811 42729.68 0.55
FUTURES
STOCK Stock Options 158755 5578.28 22.03
484.73 516.56 (31.83) 49859 1554.72 -2.90
OPTIONS
TOTAL 21443.67 23114.06 (1670.39) 5159714 154467.17 -0.57 Total 5574200 169251.98 13.00
Nifty Spot = 5991.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6000 146.20 Buy 5900 89.35
48.65 51.35 6048.65 26.35 73.65 5873.65
Sell 6100 97.55 Sell 5800 63.00
Buy 6000 146.20 Buy 5900 89.35
84.60 115.40 6084.60 45.10 154.90 5854.90
Sell 6200 61.60 Sell 5700 44.25
Buy 6100 97.55 Buy 5800 63.00
35.95 64.05 6135.95 18.75 81.25 5781.25
Sell 6200 61.60 Sell 5700 44.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October 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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