1. Derivative Report
India Research
Oct 19, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.65%
while Minifty futures’ open interest decreased by
6.74% as market closed at 6075.95 levels.
 The Nifty Oct future closed at a premium of 46.25
points, against a premium of 29.35 points in the last
trading session. On the other hand, Nov future closed
at a premium of 64.80 points.
 The PCR-OI decreased from 1.28 to 1.26 points.
 The Implied volatility of At-the-money options
decreased from 20.00% to 19.75%.
 The total OI of the market is `1,83,881cr and the
stock futures OI is `51,881cr.
 Few liquid counters where cost of carry is positive are
RELIANCE, KFA, GSPL, RELMEDIA and EKC.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed short positions in the Index futures
and the stock futures. They were net buyers of
GSPL 13920000 30.83 116.95 1.61 `336cr in the cash market segment.
BIOCON 4729000 19.36 403.10 0.78
 Yesterday, a considerable buildup was observed in
LICHSGFIN 3770250 15.68 1351.10 -2.12 the 6000 and 6100 call options and 6100 put
option. On the other hand, unwinding was
CROMPGREAV 2503000 11.89 308.95 -1.97
observed in the 6200 and 6300 put options.
RELMEDIA 2882000 10.89 267.35 -1.89
 Some long formations were observed in
RELCAPITAL yesterday. We may see a positive move
OI Losers
in the stock up to `865-`870. Traders can trade
OI PRICE with positive bias with a stop loss of `835.
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  MUNDRAPORT has witnessed significant shorting
from higher levels and open interest base has
VIJAYABANK 17592000 -21.58 103.60 -2.45 almost been doubled. The stock has support
ORCHIDCHEM 8924000 -9.03 302.25 -2.42 around current levels. We may see a positive move
in the counter due to short covering. Therefore, it is
COLPAL 609500 -7.72 858.15 1.51 advisable to trade with positive bias around `157
SRTRANSFIN 319500 -6.85 769.70 1.09 for the target of `172 with a stop loss of `150.
KFA 12936000 -5.38 74.95 -2.41
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.26 0.96 PETRONET 56.59
RELIANCE 0.36 0.24 JINDALSAW 31.03
TATASTEEL 0.29 0.31 PIRHEALTH 31.29
INFOSYSTCH 0.21 0.23 HCLTECH 33.44
SBIN 0.85 0.39 NAGARCONST 38.48
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 18-Oct-2010 Turnover on 18-Oct-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 715399 20668.46 13.03
2097.71 2271.84 (174.13) 531111 16246.25 2.68
FUTURES
INDEX Stock Futures 675092 22377.26 -4.31
7358.32 7600.35 (242.04) 2083241 63288.81 -0.28
OPTIONS
STOCK Index Options 3037704 93157.95 3.09
1648.08 2518.13 (870.05) 1477596 44869.02 0.93
FUTURES
STOCK Stock Options 134538 4725.14 -19.47
298.40 303.45 (5.05) 39507 1292.18 -1.74
OPTIONS
TOTAL 11402.50 12693.77 (1291.27) 4131455 125696.27 0.51 Total 4562733 140928.81 2.19
Nifty Spot = 6075.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 89.65 Buy 6000 37.55
44.00 56.00 6144.00 18.00 82.00 5982.00
Sell 6200 45.65 Sell 5900 19.55
Buy 6100 89.65 Buy 6000 37.55
67.85 132.15 6167.85 26.70 173.30 5973.30
Sell 6300 21.80 Sell 5800 10.85
Buy 6200 45.65 Buy 5900 19.55
23.85 76.15 6223.85 8.70 91.30 5891.30
Sell 6300 21.80 Sell 5800 10.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October 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-Oct-10 JPASSOCIAT Bull Call Spread Continue
11-Oct-10 RELIANCE Long Call Continue
18-Oct-10 NIFTY Long Call Ladder Continue
18-Oct-10 CAIRN Short Straddle Continue
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