The derivative report provides an analysis of the Indian derivatives market for October 1, 2010. Open interest in Nifty futures increased 2.8% while open interest in Mini Nifty futures rose 1.76%. Nifty October futures closed at a premium of 3.55 points. Put-call ratios increased for several stocks and indices including Nifty and Bank Nifty. Significant positions were observed in 6000 strike call and put options for the October series.

1. Derivative Report
India Research
Oct 01, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.80%
while Minifty futures’ open interest increased by 1.76%
as market closed at 6029.95 levels.
 The Nifty Oct future closed at a premium of 3.55
points, against a premium of 34.45 points in the last
trading session. On the other hand, Nov. future closed
at a premium of 7.30 points.
 The PCR-OI increased from 1.84 to 2.00 points.
 The Implied volatility of At-the-money options for
October series remained same at 20.00%.
 The total OI of the market is Rs2,10,711cr and the
stock futures OI is Rs52,131cr.
 Rollover for Nifty futures is 71.70% and Minifty futures
is 74.69%.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  After continuous long unwinding by FIIs in index
(%) (%) futures, we saw some buying in yesterday’s trading
ORCHIDCHEM 11240000 53.51 234.30 12.43 session. However, they continued to be sellers in the
stock futures. They were net buyers of Rs2,497cr in
JISLJALEQS 175750 18.35 1189.25 -2.26 the cash market segment.
BRFL 4932000 17.29 255.55 -1.88
 In the last trading session, significant build up was
ASIANPAINT 186250 15.77 2663.20 -3.13 visible in the 6000 call and put options. In the new
series, the 6000 strikes call and put options have
HDIL 24058000 15.61 259.05 -2.41
highest open interest.
OI Losers  After some selling pressure throughout the day,
market pulled back in the last half an hour of
OI PRICE
trading session. Strong rollover was observed in
SCRIP OI CHANGE PRICE CHANGE
(%) (%) most of the stock futures; market-wide rollover is
81.05%. This time rollover of mainly long positions
ADANIENT 2211000 -32.55 662.80 -1.54 was observed in the market.
NOIDATOLL 5488000 -24.86 31.40 -3.98  Yesterday, significant unwinding was visible in
NATIONALUM 2015000 -23.38 398.95 -1.49 NATIONALUM. Rollover is 90.32%. Stock has
immediate support around Rs395. Therefore, it is
VOLTAS 2038000 -16.82 241.40 -2.17 advisable to form long around support for the
FSL 35080000 -14.84 26.90 -1.28 target of Rs420 with a stop loss of Rs385.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 2.00 0.92 ORCHIDCHEM 68.82
RELIANCE 0.41 0.42 GTLINFRA 27.87
BANKNIFTY 3.20 0.72 PATNI 41.82
TATASTEEL 1.01 0.39 GSPL 35.35
SBIN 1.24 0.39 BRFL 21.32
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2. Derivative Report | India Research
FII Statistics for 30-Sep-2010 Turnover on 30-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 1018112 29476.14 21.44
5232.84 4652.29 580.55 554650 16750.44 -22.67
FUTURES
INDEX Stock Futures 1568970 48632.98 15.73
5825.05 6817.77 (992.72) 1742460 52535.54 -41.09
OPTIONS
STOCK Index Options 4289422 128163.2 31.61
7354.32 7836.05 (481.73) 1263679 37521.13 -11.93
FUTURES
STOCK Stock Options 155992 5332.45 -4.41
3.95 18.17 (14.22) 9602 300.75 -80.74
OPTIONS
TOTAL 18416.16 19324.28 (908.12) 3570391 107107.86 -30.80 Total 7032496 211604.77 25.02
Nifty Spot = 6029.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 103.50 Buy 6000 126.35
38.05 61.95 6138.05 37.60 62.40 5962.40
Sell 6200 65.45 Sell 5900 88.75
Buy 6100 103.50 Buy 6000 126.35
65.35 134.65 6165.35 63.85 136.15 5936.15
Sell 6300 38.15 Sell 5800 62.50
Buy 6200 65.45 Buy 5900 88.75
27.30 72.70 6227.30 26.25 73.75 5873.75
Sell 6300 38.15 Sell 5800 62.50
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 Expired in maximum profit
06-Sep-10 BHARTIARTL Ratio Put Spread Expired in loss
13-Sep-10 HINDUNILVR Call Hedge Expired in loss
13-Sep-10 NIFTY Long Put Expired in loss
20-Sep-10 RPOWER Ratio Bull Call Spread Expired in marginal loss
20-Sep-10 IFCI Ratio Bull Call Spread Expired in profit
27-Sep-10 RELIANCE Long Call Expired in loss
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