The document provides a summary of derivative market activity in India as of September 13, 2010. Key points include: - Open interest in Nifty and Mini Nifty futures increased between 3-5% as the markets closed at 5640.05. - Nifty September futures closed at a discount of 8.20 points while October futures closed at a discount of 3.15 points. - Total open interest in the market was Rs. 1,90,183 crore with stock futures open interest at Rs. 50,452 crore. - Voltas, Ashok Leyland, and BankIndia saw open interest increases over 15% while Opto Circuits, Ultratech C

1. Derivative Report
India Research
Sep 13, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 3.69%
while Minifty futures’ open interest increased by 5.28%
as market closed at 5640.05 levels.
 The Nifty Sep future closed at a discount of 8.20
points, against a discount of 11.20 points in the last
trading session. On the other hand, Oct future closed
at a discount of 3.15 points.
 The PCR-OI increased from 1.47 to 1.48 points.
 The Implied volatility of At-the-money options has
decreased from 12.50% to 11.50%.
 The total OI of the market is Rs1,90,183cr and the
stock futures OI is Rs50,452cr.
 Few liquid counters where cost of carry is positive are
HOTELEELA, ABIRLANUVO, NHPC, MLL and
BALRAMCHIN.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 FIIs have formed long positions in the Index futures
VOLTAS 2254000 21.18 227.70 4.14 and the stock futures. They were net buyers of
Rs988cr in the cash market segment. In the past
ASHOKLEY 14348000 17.72 72.35 -2.10
two trading sessions US markets closed positive. As
BANKINDIA 3337000 15.47 489.45 5.70 suggested by SGX Nifty we may see an opening
CROMPGREAV 1447000 15.39 304.00 -1.06
around 5660 levels.
GSPL 8392000 13.16 115.60 -2.49  In the last trading session, unwinding was visible in
most of the call options and a substantial build up
OI Losers has taken place in many put options.
OI PRICE  RELINFRA has strong support around Rs990-1000.
SCRIP OI CHANGE PRICE CHANGE Positional traders can form long positions around
(%) (%) support for the target of Rs1050 with the stop loss
of Rs975.
OPTOCIRCUI 1048000 -11.26 299.90 3.45
ULTRACEMCO 863500 -8.77 1026.30 3.35  In the past two trading sessions, around 30% open
interest added in CROMPGREAV. Traders can use
ALBK 3276000 -7.93 227.50 0.91 buy on dips strategy in this stock.
BHARATFORG 5218000 -6.80 368.90 1.74
IDEA 37280000 -5.91 76.75 1.12
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.48 1.21 BANKINDIA 40.21
RELIANCE 0.33 0.34 ABIRLANUVO 40.02
BANKNIFTY 2.13 1.53 HDFCBANK 24.42
TATASTEEL 0.70 0.46 M&M 27.31
TATAMOTORS 0.45 0.46 VOLTAS 37.32
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 09-Sep-2010 Turnover on 09-Sep-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 458424 12226.26 -11.67
1560.34 1348.17 212.17 678688 19055.08 4.04
FUTURES
INDEX Stock Futures 639957 19842.25 -1.51
4921.03 3552.38 1368.65 2642362 74520.74 3.41
OPTIONS
STOCK Index Options 2206274 61462.49 12.12
1507.27 1035.59 471.68 1335029 38190.25 1.13
FUTURES
STOCK Stock Options 160305 5234.75 17.38
796.51 811.80 (15.29) 40355 1197.27 11.22
OPTIONS
TOTAL 8785.15 6747.94 2037.21 4696434 132963.34 2.90 Total 3464960 98765.76 5.90
Nifty Spot = 5640.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5700 32.65 Buy 5600 51.40
22.75 77.25 5722.75 24.25 75.75 5575.75
Sell 5800 9.90 Sell 5500 27.15
Buy 5700 32.65 Buy 5600 51.40
29.20 170.80 5729.20 36.90 163.10 5563.10
Sell 5900 3.45 Sell 5400 14.50
Buy 5800 9.90 Buy 5500 27.15
6.45 93.55 5806.45 12.65 87.35 5487.35
Sell 5900 3.45 Sell 5400 14.50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September 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-Aug-10 RELINFRA Long Call Ladder Continue
06-Sep-10 BHARTIARTL Ratio Put Spread Continue
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