The document provides a summary of derivative market activity in India for June 17, 2010. It notes that open interest in Nifty futures increased while Minifut futures decreased. Several stocks saw increases or decreases in open interest. Put-call ratios and implied volatility also changed. Analysis of specific stocks like RCOM and ZEEL is also provided.

1. Derivative Report
India Research
June 17, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 3.84%,
while, Minifty futures open interest decreased by
1.02% as market closed at 5233.35 levels.
 The Nifty June future closed at a discount of 6.90
points, as against a premium of 11.95 points in the
last trading session, while the July future closed at a
discount of 10.30 points.
 The PCR-OI increased from 1.53 to 1.56 points.
 The Implied volatility of At-the-money options
increased from 17.50% to 18.50%.
 The total OI of the market is Rs.1,45,665cr and the
stock futures OI is Rs37,034cr.
 Some liquid counters where cost of carry is positive are
PANTALOONR, GTLINFRA, DCHL, HINDPETRO and
MTNL.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  A blend of short covering and some long
formations was visible in the Index futures from FIIs
BOSCHLTD 7125 171.43 5543.60 6.75 side; also they were net buyers of Rs784cr in the
EXIDEIND 1796000 49.92 124.70 1.51 cash market segment.
UNIPHOS 4290200 42.53 185.90 3.54  The 5200 call option continued to add considerable
open interest. There was some buying visible in the
SUNTV 218000 32.93 402.55 -2.34
5100 and 5200 put options. IV of puts has also
LICHSGFIN 1920500 17.58 999.70 2.79 increased.
OI Losers  Significant long position exists in RCOM. It is
difficult for the stock to sustain above 190 levels.
OI PRICE Positive move up-to Rs190 can be used to form
SCRIP OI CHANGE PRICE CHANGE short positions for the target of Rs175, with the stop
(%) (%) loss of Rs197.
HINDZINC 375500 -15.48 1013.70 1.93
 ZEEL has given a positive move due to short
SOBHA 76000 -14.61 294.25 0.53 covering. The stock has resistance around
302-305. We may see correction in the stock up to
CROMPGREAV 1312000 -13.34 257.50 0.94
Rs285. Stop loss should be at 311.
SYNDIBANK 2976200 -13.21 92.75 -4.68
ABAN 2899350 -12.51 708.65 4.37
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.56 1.43 BOSCHLTD 37.44
RELIANCE 0.41 0.29 MTNL 60.47
TATASTEEL 0.49 0.44 TTML 49.74
ONGC 0.98 0.56 NATIONALUM 34.11
RCOM 0.82 0.25 GTLINFRA 54.45
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 16-June-2010 Turnover on 16-June-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 550118 13451.26 -13.18
1952.48 891.70 1,060.78 546632 14205.85 -0.25
FUTURES
INDEX Stock Futures 745276 22045.51 10.90
5144.41 4712.44 431.97 1964292 51365.80 0.03
OPTIONS
STOCK Index Options 2084740 54004.72 -14.36
3562.70 3304.99 257.71 1038907 29634.91 4.22
FUTURES
STOCK Stock Options 119165 3701.65 -13.01
332.71 339.15 (6.43) 45632 1442.92 1.83
OPTIONS
TOTAL 10992.31 9248.27 1,744.04 3595463 96649.49 1.18 Total 3499299 93203.13 -9.24
Nifty Spot = 5233.35 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 19.25 Buy 5200 45.05
14.95 85.05 5314.95 21.90 78.10 5178.10
Sell 5400 4.30 Sell 5100 23.15
Buy 5300 19.25 Buy 5200 45.05
18.40 181.60 5318.40 33.50 166.50 5166.50
Sell 5500 0.85 Sell 5000 11.55
Buy 5400 4.30 Buy 5100 23.15
3.45 96.55 5403.45 11.60 88.40 5088.40
Sell 5500 0.85 Sell 5000 11.55
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June 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
31-May-2010 Nifty Long Put Ladder Continue
07-Jun-2010 HINDUNILVR Ratio Put Spread Continue
07-Jun-2010 RCOM Ratio Put Spread Continue
14-Jun-2010 HINDALCO Ratio Call Spread Continue
14-Jun-2010 LT Short Straddle Continue
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