The summary is: 1) The derivative report analyzes the movement in Nifty futures, options, and individual stocks between July 14-15, 2011. 2) Nifty futures open interest decreased while mini Nifty open interest increased as the market closed at 5599.80. 3) Implied volatility of at-the-money options increased from 17.6% to 18%.

1. Derivative Report
India Research
July 15, 2011
Comments Nifty Vs OI
 The Nifty futures’ open interest decreased by 1.86% while
Minifty futures’ open interest increased by 1.10% as
market closed at 5599.80 levels.
 The Nifty July future closed at a premium of 0.45 points,
against a premium of 14.30 points in the last trading
session, while the Aug futures closed at a premium of
15.15 points.
 The Implied Volatility of at the money options increased
from 17.60% to 18.00%.
 The PCR-OI increased from 1.20 to 1.23 points.
 The total OI of the market is `131,943cr and the stock
futures OI is `34,692cr.
 Few liquid stocks where CoC is positive are LITL, MTNL,
KFA, NATIONALUM and NHPC.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
View
(%) (%)  FIIs did some long unwinding in the Index futures.
PFC 6394000 29.12 213.15 9.62 They were net buyers of `211cr in the cash market
segment.
GSPL 6912000 20.00 95.95 -5.61
NEYVELILIG 2456000 19.11 101.35 1.10  Yesterday, significant build up was observed in the
5600 and 5700 Put options and some build up was
IVRCLINFRA 12028000 15.12 69.20 0.44 observed in the 5600 call option.
TECHM 512500 15.04 751.25 1.47
 CROMPGREAV added significant open interest in the
OI Losers past few trading sessions. Yesterday, some buying
was observed in the stock. We may see a positive
OI PRICE move up to `255-257. Traders can use buy on dips
SCRIP OI CHANGE PRICE CHANGE with a stop loss of `238.
(%) (%)
OIL 14250 -34.48 1317.75 1.66  GTOFFSHORE is suggesting some long formations.
CoC has also increased. We may see a positive move
INDIANB 869000 -11.05 220.35 3.60 up to `225. Traders can form long positions with a
LUPIN 1765000 -9.63 479.10 2.14 stop loss of `208.
AREVAT&D 714000 -9.16 255.25 2.18
GMDCLTD 698000 -8.88 163.25 -0.85
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.23 1.00 PFC 60.75
INFY 0.33 0.31 RECLTD 45.94
RELIANCE 0.45 0.48 GSPL 43.67
SBIN 0.91 0.62 PTC 46.49
TCS 0.68 0.72 INDIANB 32.91
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 14-July-2011 Turnover on 14-July-2011
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 671261 17650.63 74.27
2564.48 2670.24 (105.75) 443516 12405.65 -4.52
FUTURES
INDEX Stock Futures 552009 16061.11 48.21
11158.91 11065.41 93.50 1500006 42000.02 3.58
OPTIONS
STOCK Index Options 4023254 113587.89 65.92
1627.56 1458.34 169.22 1136533 32046.59 1.06
FUTURES
STOCK Stock Options 173805 5126.55 51.28
586.39 666.54 (80.15) 42077 1189.42 9.64
OPTIONS
TOTAL 15937.34 15860.53 76.81 3122132 87641.68 9.75 Total 5420329 152426.17 64.23
Nifty Spot = 5599.80 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 77.50 Buy 5500 42.85
39.15 60.85 5639.15 19.85 80.15 5480.15
Sell 5700 38.35 Sell 5400 23.00
Buy 5600 77.50 Buy 5500 42.85
60.75 139.25 5660.75 30.60 169.40 5469.40
Sell 5800 16.75 Sell 5300 12.25
Buy 5700 38.35 Buy 5400 23.00
21.60 78.40 5721.60 10.75 89.25 5389.25
Sell 5800 16.75 Sell 5300 12.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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
04-July-2011 NIFTY Long Call Continue
11-July-2011 RELIANCE Long Call Ladder Continue
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