The document provides a summary of India's derivative market activity for March 25, 2010. It notes that open interest for Nifty futures increased by 9.33% while open interest for Minifity futures decreased by 0.28%. Rollover levels for Nifty futures was 52% and for Minifity futures was 44%. The total open interest in the market was Rs1,35,077cr, with stock futures open interest being Rs36,003cr. Top gainers in open interest included MCLEODRUSS, AREVAT&D, and SIEMENS, while top losers included TATACHEM, CROMPGREAV, and LICHSGFIN.

1. Derivative Report
India Research
March 25, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 9.33%,
while, Minifty futures open interest decreased by
0.28%, as market closed at 5225.30 levels.
The Nifty March future closed at a premium of 1.40
points as against a premium of 8.10 points in the last
trading session, while the April future closed at a
premium of 13.70 points.
The PCR-OI remains at 1.67 points.
The Implied volatility of At-the-money options
decreased from 17.50% to 15.00%.
Rollover for the Nifty Futures is 52% and for Minifty
Futures it is 44%. While market wide Rollover is 55%.
The total open interest of the market is Rs1,35,077cr
of which Stock futures’ open interest is Rs36,003cr.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE US Markets closed down around .50% after around
(%) (%) 1.00% positive move on 23rd-Mar and most of the
Asian markets are negative. SGX Nifty is suggesting
MCLEODRUSS 3010500 92.91 262 1.59 a flattish to negative opening.
AREVAT&D 1206750 85.37 306.35 10.24 In last trading session mainly unwinding was visible
SIEMENS 1163344 21.33 737.6 0.86 in most of the March contracts. However, build-up
in the 5000 and 5200 April puts was observed.
HINDZINC 353500 16.67 1213.25 -1.93
We have observed good amount of long formations
JISLJALEQS 42250 12.67 940.5 -2.07 in HDFCBANK in the past few trading sessions. We
expect some correction in the counter due to long
OI Losers unwinding. Therefore, traders can trade with
OI PRICE negative bias in it.
SCRIP OI CHANGE PRICE CHANGE After significant correction from higher levels, last
(%) (%) trading day was showing good build-up in
TATACHEM 1236600 -12.68 311.55 0.58 JPPOWER. We believe it was long formations from
lower levels. So, buying is advisable for the target
CROMPGREAV 1839250 -11.90 252.05 1.04 of around Rs.71-72.
LICHSGFIN 1442450 -10.31 805.85 0.26 Some liquid stocks where rollover is less are
CUMMINSIND 210900 -9.39 505.15 1.30 RECLTD, WELGUJ, UNIONBANK, GAIL and
HINDALCO.
VOLTAS 1417500 -9.33 177.20 0.31
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.67 1.13 AREVAT&D 55.51
RELIANCE 0.69 0.36 APIL 29.02
ICICIBANK 1.20 1.00 LITL 57.66
SBIN 0.23 0.31 HDFCBANK 24.38
SUZLON 0.26 0.32 CAIRN 35.63
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2. Derivative Report | India Research
FII Statistics for 23-March-2010 Turnover on 23-March-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 829532 21560.02 10.40
6869.94 6291.40 578.54 608196 16143.28 22.17
FUTURES
INDEX Stock Futures 1006392 34366.89 21.12
4539.01 4617.79 (78.78) 1747044 45776.78 1.82
OPTIONS
STOCK Index Options 2290054 59793.25 15.78
8290.22 8391.74 (101.53) 881511 29008.32 0.17
FUTURES
STOCK Stock Options 84203 2969.94 -0.43
103.08 109.86 (6.78) 26058 900.78 0.36
OPTIONS
TOTAL 19802.24 19410.80 391.45 3262809 91829.16 4.59 Total 4210181 118690.10 15.76
Nifty Spot = 5225.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5200 134.40 Buy 5100 28.90
52.70 47.30 5252.70 10.45 89.55 5089.55
Sell 5300 81.70 Sell 5000 18.45
Buy 5200 134.40 Buy 5100 28.90
89.45 110.55 5289.45 16.45 183.55 5083.55
Sell 5400 44.95 Sell 4900 12.45
Buy 5300 81.70 Buy 5000 18.45
36.75 63.25 5336.75 6.00 94.00 4994.00
Sell 5400 44.95 Sell 4900 12.45
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
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3. Derivative Report | India Research
Strategy Tracker
Strategy Date Scrip Strategy Status
02-March-2010 RELIANCE Long Put Ladder Continue
08-March-2010 NIFTY Long Put Continue
08-March-2010 TTML Bull Call Spread Continue
15-March-2010 DLF Ratio Call Spread Continue
22-March-2010 ITC Short Straddle Continue
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