The Nifty futures open interest decreased by 28.45% while the Minifity futures open interest decreased by 13.34% as the market closed at 6143.40. The Nifty October future closed at a premium of 32.90 points against a premium of 10.85 points in the previous session, while the November future closed at a premium of 44.20 points. The PCR-OI decreased from 2.00 to 1.36. FIIs were net buyers of Rs. 1,825 crores in the cash market segment and significant build up was seen in the 6200 and 6300 call option series.

1. Derivative Report
India Research
Oct 04, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 28.45%
while Minifty futures’ open interest decreased by
13.34% as market closed at 6143.40 levels.
 The Nifty Oct future closed at a premium of 32.90
points, against a premium of 10.85 points in the last
trading session. On the other hand, Nov future closed
at a premium of 44.20 points.
 The PCR-OI decreased from 2.00 to 1.36 points.
 The Implied volatility of At-the-money options
remained same at 20%.
 The total OI of the market is Rs1,42,527cr and the
stock futures OI is Rs44,933cr.
 Few liquid counters where cost of carry is positive are
STERLINBIO, ISPATIND, KOTAKBANK, MLL and
GMDCLTD.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  Although FIIs did some short covering in the Index
futures, they continued their shorting in the stock
SAIL 8959000 23.27 223.55 9.00 futures. They were net buyers of Rs1,825cr in the
OFSS 432125 12.64 2297.65 2.78 cash market segment.
IFCI 111300000 9.64 66.45 8.85  In the last trading session, significant build up was
visible in the 6200 and 6300 call option and the
COLPAL 366000 7.96 886.40 1.74
6200 call has highest open interest in the new
ISPATIND 95777000 5.95 23.35 2.41 series. On the other hand, 5900 to 6100 puts
added highest open interest.
OI Losers
 A considerable shorting was observed in
OI PRICE TATACHEM from higher levels. The stock has
SCRIP OI CHANGE PRICE CHANGE immediate support around Rs395. We may see a
(%) (%) positive move in the stock. Therefore, it is advisable
ADANIENT 1218000 -44.91 674.50 1.77 to form long around Rs400 for the target of Rs420
with a stop loss of Rs390.
VOLTAS 1226000 -39.84 242.65 0.52
 Rollover in BGRENERGY is 86% against 72% last
SBIN 3629125 -37.54 3272.15 0.98 month and some short covering was observed from
TCS 3460500 -37.22 961.60 3.74 lower levels. We may see further positive move in
the stock up to Rs810. Traders can use buy on dips
CROMPGREAV 1082000 -34.98 317.80 1.63
strategy with a stop loss of Rs760.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.36 1.07 SAIL 48.20
RELIANCE 0.30 0.17 BHEL 28.52
BANKNIFTY 0.63 0.80 IFCI 53.37
UNITECH 0.41 0.14 RECLTD 42.35
TATASTEEL 0.50 0.28 ICSA 34.46
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2. Derivative Report | India Research
FII Statistics for 01-Oct-2010 Turnover on 01-Oct-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 609260 17601.96 -40.28
1712.61 1539.18 173.43 515692 15941.39 -7.02
FUTURES
INDEX Stock Futures 820825 26725.67 -45.05
5887.14 4503.77 1383.36 1805982 55475.06 3.65
OPTIONS
STOCK Index Options 2273360 68868.77 -46.26
1678.67 2316.44 (637.77) 1299116 39457.98 2.80
FUTURES
STOCK Stock Options 149532 5035.86 -5.56
372.55 369.56 2.99 15206 492.06 58.36
OPTIONS
TOTAL 9650.95 8728.94 922.01 3635996 111366.49 1.84 Total 3852977 118232.26 -44.13
Nifty Spot = 6143.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6200 118.35 Buy 6100 98.55
43.65 56.35 6243.65 30.25 69.75 6069.75
Sell 6300 74.70 Sell 6000 68.30
Buy 6200 118.35 Buy 6100 98.55
74.65 125.35 6274.65 51.80 148.20 6048.20
Sell 6400 43.70 Sell 5900 46.75
Buy 6300 74.70 Buy 6000 68.30
31.00 69.00 6331.00 21.55 78.45 5978.45
Sell 6400 43.70 Sell 5900 46.75
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
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
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