The summary is: 1) The derivative report analyzes the performance of the Nifty futures, options, and key stocks from the previous trading session on July 18, 2011. 2) It provides details on changes in open interest, premium levels, volatility, and turnover for various derivatives contracts. 3) Trading strategies and technical analysis is also given for some stocks along with risk-reward profiles of sample spreads trades for the Nifty.

1. Derivative Report
India Research
July 19, 2011
Comments Nifty Vs OI
 The Nifty futures’ open interest decreased by 1.27% while
Minifty futures’ open interest increased by 2.60% as
market closed at 5567.05 levels.
 The Nifty July future closed at a premium of 5.70 points,
against a premium of 5.85 points in the last trading
session, while the Aug futures closed at a premium of
25.15 points.
 The Implied Volatility of at the money options increased
from 17.30% to 17.90%.
 The PCR-OI increased from 1.18 to 1.20 points.
 The total OI of the market is `137,531cr and the stock
futures OI is `34,760cr.
 Few liquid stocks where CoC is positive are MOSERBAER,
RUCHISOYA, ALOKTEXT, NHPC and TRIVENI.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
View
(%) (%)  A blend of short covering and some long unwinding
CIPLA 4250000 17.96 317.05 -2.18 was observed in the Index futures from FIIs and they
formed some short positions in the stock futures. They
INDIANB 1016000 12.89 228.00 2.31 were net sellers of just `93cr in the cash market
APIL 848000 11.36 606.55 5.61 segment.
OIL 14750 9.26 1281.85 -2.14  Yesterday, a considerable build up was observed in
ESCORTS 5340000 8.94 103.35 -2.18 the 5400 and 5500 Put options, while there was not
much change observed in Call options.
OI Losers
 PUNJLLOYD added around 8% open interest in the
OI PRICE last trading session. CoC has also increased
SCRIP OI CHANGE PRICE CHANGE considerably. We may see a positive move up to `79.
(%) (%) Traders can trade with positive bias with a stop loss
BPCL 1444000 -8.35 672.80 0.11 of `74.50.
BHEL 2216375 -6.41 1977.65 2.51  MPHASIS has immediate support around `430. Some
HINDALCO 17624000 -5.50 182.40 3.28 buying was observed in the counter from there. We
may see a positive move up to `450. Traders can
ONGC 10912000 -5.19 276.95 -0.70 form long positions with a stop loss of `424.
GLAXO 22500 -4.76 2301.25 -1.87
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.20 0.84 APIL 46.66
INFY 0.30 0.30 HEXAWARE 42.88
RELIANCE 0.46 0.55 TATACOMM 49.01
SBIN 0.96 0.55 NCC 39.29
TCS 0.53 0.47 BIOCON 35.11
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 18-July-2011 Turnover on 18-July-2011
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 277296 7270.35 -36.14
1257.68 1106.65 151.03 440558 12264.89 -4.64
FUTURES
INDEX Stock Futures 346584 9978.31 -10.72
4593.48 4768.34 (174.86) 1531984 42645.18 0.15
OPTIONS
STOCK Index Options 2208188 62313.57 -19.84
1300.35 1444.51 (144.16) 1150326 32364.83 0.78
FUTURES
STOCK Stock Options 94822 2702.99 -21.86
257.29 240.06 17.23 43183 1210.22 -1.19
OPTIONS
TOTAL 7408.80 7559.56 (150.76) 3166051 88485.12 -4.91 Total 2926890 82265.22 -20.71
Nifty Spot = 5567.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 53.95 Buy 5500 40.65
32.55 67.45 5632.55 21.70 78.30 5478.30
Sell 5700 21.40 Sell 5400 18.95
Buy 5600 53.95 Buy 5500 40.65
46.30 153.70 5646.30 30.70 169.30 5469.30
Sell 5800 7.65 Sell 5300 9.95
Buy 5700 21.40 Buy 5400 18.95
13.75 86.25 5713.75 9.00 91.00 5391.00
Sell 5800 7.65 Sell 5300 9.95
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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
04-July-2011 NIFTY Long Call Continue
11-July-2011 RELIANCE Long Call Ladder Continue
18-July-2011 RELINFRA Bull Call Spread Continue
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