The document provides a summary of derivative market activity in India for May 12, 2010. Open interest for Nifty futures decreased slightly while open interest for Minifutures also saw a small decrease. The Nifty June futures contract closed at a discount. Total open interest in the market was over Rs. 1,27,087 crore with stock futures open interest being Rs. 35,310 crore. Some stocks with positive cost of carry included NEYVELILIG, KSOILS, STERLINBIO, BRFL and ISPATIND. The document also lists put-call ratios, open interest gainers and losers, and provides analysis on specific options strategies.

1. Derivative Report
India Research
May 12, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 0.47%,
while, Minifty futures open interest decreased by
0.15%, as market closed at 5136.15 levels.
The Nifty May future closed at a discount of 3.25
points, as against a premium of 5.55 points in the last
trading session, while the June future closed at a
discount of 3.20 points.
The PCR-OI decreased from 1.16 to 1.13 points.
The Implied volatility of At-the-money options
increased from 20.00% to 22.50%.
The total open interest of the market is Rs1,27,087cr
of which Stock futures’ open interest is Rs35,310cr.
Some liquid counters were cost of carry is positive are
NEYVELILIG, KSOILS, STERLINBIO, BRFL and
ISPATIND.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs did some profit booking in the Stock futures.
However, they bought Index options in a big way.
JISLJALEQS 127500 26.55 979.05 -2.19 Global cues are suggesting a flattish opening
BOSCHLTD 5800 20.83 5018.2 -1.05 today.
CUMMINSIND 338200 15.96 561.1 -0.51 A mixed build-up was observed in the Index
options. Although the 5300 call option has highest
RANBAXY 5704800 13.35 457.9 0.77
open interest, the 5200 to 5400 calls have more or
SINTEX 1202600 12.88 305.2 0.44 less same open interest. On the other hand, the
4900 and 5000 puts have almost same open-
OI Losers interest.
OI PRICE MLL has strong support around Rs.52 and short
SCRIP OI CHANGE PRICE CHANGE positions are standing in the stock. Baltic Dry Index
(%) (%) is increasing. We may see short covering in it.
TULIP 131250 -9.17 908.25 -0.85 Therefore, positional traders can trade with positive
bias for the target of Rs.58, with the stop loss of
TITAN 220832 -9.00 2168.25 -0.44 around Rs.49.
HINDZINC 509250 -8.28 1114.70 -0.46 Base metal prices in LME are weak. We may see
APOLLOTYRE 5831000 -8.14 67.80 -1.53 further correction in metal stocks.
VOLTAS 1755000 -7.28 177.35 -0.17
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.13 1.04 RCOM 36.26
RELIANCE 0.30 0.56 IDEA 44.16
BANKNIFTY 2.34 0.50 PIRHEALTH 56.70
RNRL 0.38 0.30 BAJAJHIND 63.11
ICICIBANK 1.50 0.64 JINDALSAW 49.69
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2. Derivative Report | India Research
FII Statistics for 11-May-2010 Turnover on 11-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 651926 15681.60 -12.13
2587.24 2503.89 83.34 487797 12497.18 -0.64
FUTURES
INDEX Stock Futures 488003 16324.14 -6.90
6025.69 3864.84 2,160.85 1712490 43951.86 0.21
OPTIONS
STOCK Index Options 1905443 49536.72 -16.25
1125.39 1368.68 (243.29) 1002492 29408.76 -0.45
FUTURES
STOCK Stock Options 103062 3757.31 -14.98
238.31 265.46 (27.15) 35685 1157.47 2.21
OPTIONS
TOTAL 9976.63 8002.88 1,973.75 3238464 87015.27 -0.10 Total 3148434 85299.77 -13.79
Nifty Spot = 5136.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 63.55 Buy 5100 86.90
36.15 63.85 5236.15 29.90 70.10 5070.10
Sell 5300 27.40 Sell 5000 57.00
Buy 5200 63.55 Buy 5100 86.90
54.85 145.15 5254.85 49.70 150.30 5050.30
Sell 5400 8.70 Sell 4900 37.20
Buy 5300 27.40 Buy 5000 57.00
18.70 81.30 5318.70 19.80 80.20 4980.20
Sell 5400 8.70 Sell 4900 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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