The Nifty futures open interest decreased by 7.66% while the Minifity futures open interest decreased by 14.62% as the market closed at 5193.60 levels. Some short covering was observed in large caps while long formations increased in mid-caps. The put-call ratio for Nifty increased to 1.16 from 1.11. Market sentiment is positive on the back of global cues with the SGX Nifty suggesting an opening above 5200.

1. Derivative Report
India Research
May 11, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 7.66%,
while, Minifty futures open interest decreased by
14.62%, as market closed at 5193.60 levels.
The Nifty May future closed at a premium of 5.55
points, as against a premium of 1.75 points in the last
trading session, while the June future closed at a
premium of 6.65 points.
The PCR-OI increased from 1.11 to 1.16 points.
The Implied volatility of At-the-money options
decreased from 25.00% to 20.50%.
The total open interest of the market is Rs1,26,604cr
of which Stock futures’ open interest is Rs36,067cr.
Some liquid counters were cost of carry is positive are
BANKINDIA, CHAMBLFERT, ROLTA, BAJAJAUTO and
GRASIM.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Yesterday, short covering was observed in most of
the large-cap stocks. However, many mid-caps
HINDZINC 555250 66.49 1119.8 3.68 added open interest as long formation. FIIs have
JISLJALEQS 100750 42.40 1000.95 3.66 also covered significant short positions in the Index
futures. A blend of short covering and some long
BANKINDIA 2269550 29.49 334.45 -3.82 formations was visible in stock futures by them.
CHAMBLFERT 9842850 29.33 59.25 -1.99
On the option side, the 5000 to 5200 puts added
SCI 868800 24.40 166.8 2.65 significant open interest. However, some unwinding
has taken place in the 5000 and 5100 calls.
OI Losers
On the back of positive global cues, market has
OI PRICE given a good positive move. SGX Nifty is suggesting
SCRIP OI CHANGE PRICE CHANGE an opening above 5200 level, today.
(%) (%)
INDIAINFO has shown a support around Rs.104
TULIP 144500 -19.83 916.05 5.80 and from there short covering was observed. We
OFSS 364500 -17.57 2041.35 0.26 may see further upside in the Stock. Therefore, it is
advisable to trade with positive bias for the target
WIPRO 2608200 -10.81 672.30 5.43 price of Rs. 115.
RELIANCE 14727600 -10.45 1079.40 4.51
SAIL 8093250 -10.17 218.10 4.96
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.16 1.05 CIPLA 43.63
RELIANCE 0.32 0.33 SIEMENS 37.08
BANKNIFTY 2.64 0.33 DISHTV 56.02
RNRL 0.38 0.41 M&M 38.16
ICICIBANK 1.48 0.36 IVRCLINFRA 56.10
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2. Derivative Report | India Research
FII Statistics for 10-May-2010 Turnover on 10-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 745870 17846.47 -13.03
4561.95 2115.53 2,446.42 490942 12742.05 -15.56
FUTURES
INDEX Stock Futures 534847 17533.44 -14.09
5645.28 6019.93 (374.64) 1708884 44346.70 1.78
OPTIONS
STOCK Index Options 2286481 59148.49 5.70
2103.16 1446.82 656.34 1007022 30133.40 -0.34
FUTURES
STOCK Stock Options 128340 4419.54 -31.11
286.07 333.63 (47.56) 34914 1152.75 3.54
OPTIONS
TOTAL 12596.47 9915.91 2,680.56 3241762 88374.90 -1.90 Total 3695538 98947.95 -4.22
Nifty Spot = 5193.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 43.55 Buy 5200 92.85
27.65 72.35 5327.65 34.40 65.60 5165.60
Sell 5400 15.90 Sell 5100 58.45
Buy 5300 43.55 Buy 5200 92.85
37.75 162.25 5337.75 55.65 144.35 5144.35
Sell 5500 5.80 Sell 5000 37.20
Buy 5400 15.90 Buy 5100 58.45
10.10 89.90 5410.10 21.25 78.75 5078.75
Sell 5500 5.80 Sell 5000 37.20
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
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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
08-05-2010 HINDUNILVR Short Strangle Continue
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