The derivative report summarizes developments in the Indian derivatives market on April 16, 2010. Open interest in Nifty futures increased slightly by 0.79% while open interest in Mini Nifty futures rose more at 4.58%. The report also notes increases and decreases in open interest for various individual stocks and changes in metrics like the put-call ratio. It provides commentary on expected market movements and recommends trading strategies for particular stocks.

1. Derivative Report
India Research
April 16, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 0.79%,
while, Minifty futures open interest increased by
4.58%, as market closed at 5273.60 levels.
The Nifty April future closed at a premium of 3.70
points, as against a premium of 6.65 points in the last
trading session, while the May future closed at a
premium of 7.35 points.
The PCR-OI decreased from 1.28 to 1.23 points.
The Implied volatility of At-the-money options
increased from 17.50% to 19.00%.
The total open interest of the market is Rs1,24,563cr
of which Stock futures’ open interest is Rs35,532cr.
Some liquid stocks where cost of carry is positive are
KFA, PIRHEALTH, LICHSGFIN, ALBK and STERLINBIO.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Some long unwinding was observed from FIIs’ side
(%) (%) in the Index Futures. Global cues are suggesting a
flattish opening.
LICHSGFIN 1794350 17.74 852.1 -4.42
Yesterday, significant build-up was observed in the
MCDOWELL-N 1544500 16.83 1273.65 -4.29 5300 call option. On the other hand, unwinding
CNXIT 44700 16.71 6171.75 0.50
was visible in the 5300 and 5200 put options, that
is not significant enough to suggest any major
GLAXO 23100 16.67 1810.2 0.51 correction in the market. The 5200 put has highest
CANBK 1068000 11.53 405.05 -2.23 contracts and the level is a strong support for the
market.
OI Losers JPASSOCIAT is consolidating around 150 levels
and some build-up has been observed in the past
OI PRICE
few trading sessions. Buy on dips strategy is
SCRIP OI CHANGE PRICE CHANGE
(%) (%)
advisable for the target of Rs.160. Stop loss should
be Rs. 145.
JISLJALEQS 33250 -14.19 1030.25 2.29
After a significant short covering BANKINDIA is
DRREDDY 762000 -12.73 1230.20 3.29 again showing some weakness. Traders can trade
with negative bias in it, for the target of Rs.340,
MPHASIS 2655200 -11.82 661.75 1.09
with the stop loss of Rs.364.
POLARIS 2534000 -11.27 176.95 0.03 ABAN has increased mainly due to short covering.
TATACHEM 1193400 -11.07 328.35 -1.59 Traders can trade with negative bias in it.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.23 1.05 GTL 17.70
RELIANCE 0.28 0.31 ABIRLANUVO 34.51
INFOSYSTCH 1.10 0.52 JPPOWER 32.12
BHARTIARTL 0.46 0.33 ROLTA 38.10
SUZLON 0.24 0.11 MCDOWELL-N 39.99
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2. Derivative Report | India Research
FII Statistics for 15-April-2010 Turnover on 15-April-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 513334 13269.77 43.47
1147.14 2009.01 (861.87) 516666 13851.99 -0.74
FUTURES
INDEX Stock Futures 452909 17032.31 -0.91
2620.70 2145.34 475.36 1495442 39458.30 1.41
OPTIONS
STOCK Index Options 1441862 38637.97 26.58
1459.03 1491.10 (32.07) 900001 29886.06 0.69
FUTURES
STOCK Stock Options 116188 4774.49 -2.82
287.46 259.70 27.76 29468 956.53 14.56
OPTIONS
TOTAL 5514.32 5905.16 (390.83) 2941577 84152.87 0.92 Total 2524293 73714.54 19.13
Nifty Spot = 5273.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 65.90 Buy 5200 52.55
37.30 62.70 5337.30 24.55 75.45 5175.45
Sell 5400 28.60 Sell 5100 28.00
Buy 5300 65.90 Buy 5200 52.55
56.80 143.20 5356.80 37.85 162.15 5162.15
Sell 5500 9.10 Sell 5000 14.70
Buy 5400 28.60 Buy 5100 28.00
19.50 80.50 5419.50 13.30 86.70 5086.70
Sell 5500 9.10 Sell 5000 14.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (April 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
29-March-2010 SUZLON Long Call Continue
29-March-2010 IDBI Long Call Profit Booked on 06-Apr-2010
05-April-2010 RNRL Long Call Continue
05-April-2010 HUL Long Put Profit Booked on 08-Apr-2010
12-April-2010 JPASSOCIAT Ratio Call Spread Continue
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