The derivative report summarizes developments in the Indian derivatives market on May 05, 2010. Open interest in Nifty futures increased by 6% while open interest in Mini Nifty futures rose by 36.12%. The PCR for Nifty decreased from 1.16 to 1.12. Some stocks saw significant increases in open interest like Jindal Steel and Ultracemco, while others like Religare and Divis Labs saw decreases. The report also covers put-call ratios, open positions of FIIs, and provides analysis of option strategies like bull call spreads and bear put spreads.

1. Derivative Report
India Research
May 05, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 6.00%,
while, Minifty futures open interest increased by
36.12%, as market closed at 5148.50 levels.
The Nifty May future closed at a discount of 6.65
points, as against a discount of 4.30 points in the last
trading session, while the June future closed at a
discount of 5.05 points.
The PCR-OI decreased from 1.16 to 1.12 points.
The Implied volatility of At-the-money options
increased from 19.50% to 20.50%.
The total open interest of the market is Rs1,11,773cr
of which Stock futures’ open interest is Rs34,723cr.
Some liquid counters were cost of carry is positive are
GTOFFSHORE, GMRINFRA, NOIDATOLL,
BALRAMCHIN and ULTRACEMCO.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Again short formations have been built in the Index
(%) (%) futures, which is suggesting further correction in the
market. Although FIIs selling in cash market was
FEDERALBNK 727605 26.48 287 -1.56 not significant, DIIs were net sellers of Rs.438cr. FIIs
PATNI 785200 25.31 567.65 5.96 have formed short positions in the Index futures and
the Stock futures.
HCLTECH 2551900 19.33 398.35 2.30
Yesterday, huge open interest has been added in
JINDALSTEL 4609920 17.90 719.5 -1.55
the 5100 and 5200 call options. Some unwinding
ULTRACEMCO 1287200 17.70 926.85 -3.00 was visible in the 5200 and 5300 put options.
SGXNIFTY is suggesting a gap down opening
OI Losers around 5050 level.
OI PRICE Yesterday, unwinding was visible in BANKNIFTY.
SCRIP OI CHANGE PRICE CHANGE After a gap down opening, fresh short formation
(%) (%)
may drift it down further.
RECLTD 2958150 -20.99 258.45 -0.37
Significant build-up has been witnessed in
DIVISLAB 579700 -20.15 691.85 4.05 JINDALSTEL and the counter has long positions in
it. Due to both long unwinding and short formation,
TITAN 225158 -14.41 2145.65 -2.01
we may see correction in the stock around Rs650.
ASHOKLEY 12395900 -10.79 60.95 0.33
Crude price has decreased by 5%. Buy on dips
TULIP 197500 -10.73 876.65 -2.02 strategies are advisable for OMCs.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.12 0.94 BRFL 51.12
RELIANCE 0.21 0.31 RNRL 57.46
BANKNIFTY 3.48 0.58 GRASIM 28.67
RNRL 0.42 0.22 JSWSTEEL 49.89
SUZLON 0.31 0.12 PATNI 42.85
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2. Derivative Report | India Research
FII Statistics for 04-May-2010 Turnover on 04-May-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 570849 13736.02 62.53
1212.30 1951.13 (738.83) 542114 13916.40 1.81
FUTURES
INDEX Stock Futures 504432 17106.40 23.77
4279.15 3189.75 1,089.40 1408391 36228.24 3.69
OPTIONS
STOCK Index Options 1579808 41685.87 45.78
1268.32 1402.63 (134.32) 997494 29292.48 1.48
FUTURES
STOCK Stock Options 112958 3983.95 30.11
309.90 291.47 18.43 29902 960.96 31.10
OPTIONS
TOTAL 7069.67 6834.98 234.69 2977901 80398.08 2.81 Total 2768047 76512.24 41.87
Nifty Spot = 5148.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 77.95 Buy 5100 93.30
38.20 61.80 5238.20 31.35 68.65 5068.65
Sell 5300 39.75 Sell 5000 61.95
Buy 5200 77.95 Buy 5100 93.30
61.70 138.30 5261.70 53.70 146.30 5046.30
Sell 5400 16.25 Sell 4900 39.60
Buy 5300 39.75 Buy 5000 61.95
23.50 76.50 5323.50 22.35 77.65 4977.65
Sell 5400 16.25 Sell 4900 39.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May 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
30-04-2010 RELCAPITAL Long Call Ladder Continue
30-04-2010 NAGARFERT Long Call Continue
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