The document is a derivative report from April 1, 2010 analyzing India's derivative market. It summarizes that the Nifty futures open interest increased slightly while the Mini Nifty interest decreased. It also notes that several stocks have positive cost-of-carry including TV-18, Sterlinbio, Noidatoll, TTML, and Apollotyre. FIIs were net sellers in the cash market and open interest increased across most contracts. Bullish and bearish option strategies are presented for the Nifty.

1. Derivative Report
India Research
April 01, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 1.22%,
while, Minifty futures open interest decreased by
3.06%, as market closed at 5249.10 levels.
The Nifty April future closed at a premium of 12.50
points as against a premium of 11.45 points in the last
trading session, while the May future closed at a
premium of 18.25 points.
The PCR-OI is at 1.17 points.
The Implied volatility of At-the-money options is at
17.50%.
The total open interest of the market is Rs97,692cr of
which Stock futures’ open interest is Rs32,097cr.
Some liquid stocks where cost-of-carry is positive are
TV-18, STERLINBIO, NOIDATOLL, TTML and
APOLLOTYRE.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE The US Markets closed down around 0.50%, but
(%) (%) the Asian markets are giving positive clues. As
suggested by SGX Nifty we may see a positive
BGRENERGY 128800 116.11 537.15 4.26
opening.
ASHOKLEY 11316750 56.95 55.8 3.14
Although market was showing negative movement,
TECHM 1343400 27.51 853.1 -3.34 substantial build-up was observed in the 5200 put
option. On the other hand the 5300 call option has
PFC 531600 26.93 258.35 -0.21
highest open interest and added around 13000
NOIDATOLL 13038000 24.12 32.65 -4.53 contracts, yesterday. The 5200 level may act as an
immediate support for the market. Over-all buy on
OI Losers dips strategy is advisable.
OI PRICE BHARTIARTL has strong resistance at Rs320, as the
SCRIP OI CHANGE PRICE CHANGE 320 strike call has highest contracts. Positive move
(%) (%) around this level can be used to go short for the
TATACHEM 1026000 -16.85 328.15 2.58 target of around Rs.305, with the stop loss of
Rs.326.
MCLEODRUSS 2092500 -11.50 270.55 -2.87
Continuous unwinding is visible in TATAPOWER in
TITAN 164800 -10.91 1840.60 0.44 the past few trading sessions. Due to profit booking
JISLJALEQS 19250 -10.47 960.60 2.10 we may see some negative movement in the
counter.
CONCOR 18000 -10.00 1318.05 -0.06
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.17 0.96 NOIDATOLL 36.74
RELIANCE 0.30 0.33 BGRENERGY 38.19
BHARTIARTL 0.70 0.38 HDFC 29.08
SUZLON 0.31 0.21 TECHM 34.75
INFOSYSTCH 0.39 0.40 TCS 25.29
Sebi Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 31-March-2010 Turnover on 31-March-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 531089 13686.34 22.22
856.65 1539.94 (683.30) 466060 12427.54 2.69
FUTURES
INDEX Stock Futures 392793 14546.96 0.47
3210.97 3495.72 (284.75) 1150265 30210.52 2.54
OPTIONS
STOCK Index Options 1368248 36441.52 11.91
873.30 995.07 (121.77) 834244 27587.29 1.24
FUTURES
STOCK Stock Options 53568 2117.65 6.74
74.29 86.19 (11.90) 11469 303.83 6.73
OPTIONS
TOTAL 5015.21 6116.93 (1,101.72) 2462038 70529.18 2.14 Total 2345698 66792.46 10.91
Nifty Spot = 5249.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 87.00 Buy 5200 83.00
42.00 58.00 5342.00 30.00 70.00 5170.00
Sell 5400 45.00 Sell 5100 53.00
Buy 5300 87.00 Buy 5200 83.00
68.00 132.00 5368.00 50.00 150.00 5150.00
Sell 5500 19.00 Sell 5000 33.00
Buy 5400 45.00 Buy 5100 53.00
26.00 74.00 5426.00 20.00 80.00 5080.00
Sell 5500 19.00 Sell 5000 33.00
Note: Above mentioned Bullish or Bearish Spreads in Nifty (April 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
29-March-2010 SUZLON Long Call Continue
29-March-2010 IDBI Long Call Continue
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