1. Derivative Report
India Research
June 04, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 0.49%,
while, Minifty futures open interest decreased by
0.88% as market closed at 5110.50 levels.
 The Nifty June future closed at a discount of 14.55
points, as against a discount of 15.50 points in the last
trading session, while the July future closed at a
discount of 18.80 points.
 The PCR-OI increased from 1.30 to 1.35 points.
 The Implied volatility of At-the-money options
decreased from 24.00% to 21.00%.
 The total OI of the market is Rs.1,19,028cr and the
stock futures OI is Rs32,449cr.
 Some liquid counters were cost of carry is positive are
EKC, CESC, FINANTECH, PANTALOONR and
MCLEODRUSS.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE  FIIs have covered significant short positions in the
(%) (%)
Index futures and formed some long positions in
HEXAWARE 540000 90.14 75.25 1.83 the stock futures. They were net buyers of Rs406cr
in the cash market segment. We may see a flattish
EXIDEIND 484000 58.17 121.15 0.79
opening today.
YESBANK 4747800 27.52 295.25 4.13
 Yesterday, the 5000 and 5100 put options each
JISLJALEQS 98250 22.43 1036.45 -2.61 added around 35,000 contracts, which is
comparatively high. On the other hand, the 5200
CROMPGREAV 1579500 22.21 249.40 3.94
and 5300 call options added considerable open
OI Losers interest.
OI PRICE  HINDUNILVR has witnessed some long formations
SCRIP OI CHANGE PRICE CHANGE in the past few trading sessions. The stock has
(%) (%) resistance around 250-252 levels; due to long
unwinding we may see correction in the counter.
SCI 458400 -15.49 162.95 0.90 Therefore, traders can trade with negative bias for
TECHM 1672150 -10.82 714.70 6.80 the target of Rs232, with the stop loss of Rs257.
GESHIP 566400 -10.63 303.10 2.68  WIPRO added significant open interest in the past
few trading sessions. We may see a positive move
SINTEX 938000 -6.94 289.75 3.24
in the counter up-to Rs682-685. Traders can trade
JINDALSTEL 6016300 -6.91 635.00 1.69 with positive bias with the stop loss of Rs648.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.35 1.23 UNIONBANK 56.69
RELIANCE 0.38 0.30 ANDHRABANK 51.10
TATASTEEL 0.45 0.35 HINDUNILVR 32.72
SUZLON 0.53 0.20 HCC 64.17
BHARTIARTL 0.42 0.33 ZEEL 50.33
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2. Derivative Report | India Research
FII Statistics for 03-June-2010 Turnover on 03-June-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 609009 14326.71 -16.95
2688.11 906.04 1,782.06 511665 12960.79 -2.97
FUTURES
INDEX Stock Futures 469016 14301.32 -6.12
5063.78 5132.07 (68.30) 1732030 44244.16 2.95
OPTIONS
STOCK Index Options 1805422 45777.37 19.89
1195.43 721.41 474.01 916980 26216.27 0.73
FUTURES
STOCK Stock Options 85702 2583.18 -9.08
144.13 182.08 (37.95) 28124 891.41 5.04
OPTIONS
TOTAL 9091.44 6941.61 2,149.82 3188799 84312.63 1.33 Total 2969149 76988.58 4.73
Nifty Spot = 5110.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 53.60 Buy 5100 107.70
30.65 69.35 5230.65 32.80 67.20 5067.20
Sell 5300 22.95 Sell 5000 74.90
Buy 5200 53.60 Buy 5100 107.70
45.60 154.40 5245.60 56.00 144.00 5044.00
Sell 5400 8.00 Sell 4900 51.70
Buy 5300 22.95 Buy 5000 74.90
14.95 85.05 5314.95 23.20 76.80 4976.80
Sell 5400 8.00 Sell 4900 51.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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
31-May-2010 Nifty Long Put Ladder Continue
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