The document provides a summary of derivative market activity in India for June 10, 2010. It notes that open interest for Nifty futures decreased slightly while open interest for Minifty futures decreased more sharply. Some individual stocks saw increases in open interest like Hindalco and declines like GMDCLTD. Implied volatility for at-the-money options decreased. FII activity showed net buying in index futures and stock futures.

1. Derivative Report
India Research
June 10, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest marginally decreased
by 0.09%, while, Minifty futures open interest
decreased by 8.83% as market closed at 5000.30
levels.
 The Nifty June future closed at a discount of 9.90
points, as against a discount of 26.40 points in the last
trading session, while the July future closed at a
discount of 12.95 points.
 The PCR-OI increased from 1.32 to 1.33 points.
 The Implied volatility of At-the-money options
decreased from 27.00% to 26.00%.
 The total OI of the market is Rs.1,30,806cr and the
stock futures OI is Rs33,312cr.
 Some liquid counters where cost of carry is positive are
DISHTV, BALRAMCHIN, NAGARFERT, HINDALCO and
IBREALEST.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs covered some of their short positions in the
Index futures. They formed some long positions in
HINDALCO 37727870 18.40 132.95 0.61 the Stock futures. On the other hand, they
ASIANPAINT 34825 17.26 2283.70 2.04 continued their selling in the cash market segment.
As suggested by SGX Nifty we may see a flattish
PFC 430600 16.57 302.70 3.38 opening.
VOLTAS 1856000 15.21 189.90 2.43
 Yesterday, the 5000 Call and Put both options
ABAN 3600700 10.89 647.90 -1.61 added significant open interest. IV is also high; we
believe it is a buying of the options.
OI Losers
 Continuous short positions have been formed in
OI PRICE KSOILS. The 50-51 level is the strong support zone.
SCRIP OI CHANGE PRICE CHANGE Yesterday, a small unwinding was observed. We
(%) (%) may see a positive move in the stock up to Rs55.
GMDCLTD 560000 -27.46 117.25 -3.85 Positional traders can trade with positive bias, with
the stop loss of Rs48.50.
AUROPHARMA 1265950 -9.22 809.70 0.23
 Day traders can trade with positive bias in
FEDERALBNK 1678513 -8.30 340.00 -0.57 HINDALCO for the Target of Rs140-142, with the
BGRENERGY 84600 -7.03 642.40 0.40 stop loss of Rs130.
UNIONBANK 1165300 -6.50 306.10 0.03
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.33 1.03 KSOILS 39.54
RELIANCE 0.32 0.27 BPCL 35.54
TATASTEEL 0.41 0.30 GTLINFRA 52.08
ONGC 1.06 0.36 MRPL 44.08
RCOM 0.76 0.41 HINDALCO 65.24
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 09-June-2010 Turnover on 09-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 875409 20157.56 12.69
1928.51 1244.96 683.55 562587 13964.97 -2.18
FUTURES
INDEX Stock Futures 504417 15870.36 1.99
3975.10 3266.15 708.94 1950256 48742.85 2.54
OPTIONS
STOCK Index Options 2137872 53937.55 8.80
1228.04 779.67 448.37 950939 26672.64 0.99
FUTURES
STOCK Stock Options 94968 3093.06 -12.03
244.29 246.65 (2.35) 38284 1154.00 0.61
OPTIONS
TOTAL 7375.94 5537.42 1,838.52 3502066 90534.46 1.31 Total 3612666 93058.52 7.53
Nifty Spot = 5000.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5000 100.95 Buy 4900 77.20
47.35 52.65 5047.35 22.95 77.05 4877.05
Sell 5100 53.60 Sell 4800 54.25
Buy 5000 100.95 Buy 4900 77.20
78.30 121.70 5078.30 40.25 159.75 4859.75
Sell 5200 22.65 Sell 4700 36.95
Buy 5100 53.60 Buy 4800 54.25
30.95 69.05 5130.95 17.30 82.70 4782.70
Sell 5200 22.65 Sell 4700 36.95
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
For Private Circulation Only SEBI Registration No: INB 010996539 2

3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
31-May-2010 Nifty Long Put Ladder Continue
07-May-2010 HINDUNILVR Ratio Put Spread Continue
07-May-2010 RCOM Ratio Put Spread Continue
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