- The derivative report summarizes developments in the derivatives market in India on October 26, 2010. It provides data on changes in open interest and premiums for various indexes and stocks. It also analyzes positions of FIIs and options activity. Strategies like bull call spreads and bear put spreads are explained for the Nifty index. The report concludes with a disclaimer about the information provided.

1. Derivative Report
India Research
Oct 26, 2010
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
 The Nifty futures’ open interest increased by 5.89%
while Minifty futures’ open interest decreased by
5.27% as market closed at 6105.80 levels.
 The Nifty Oct future closed at a premium of 30.40
points, against a premium of 23.70 points in the last
trading session. On the other hand, Nov future closed
at a premium of 56.55 points.
 The PCR-OI increased from 1.20 to 1.23 points.
 The Implied volatility of At-the-money options for
October series remained same at 18.00%, while for
November series it was 20.00%
 The total OI of the market is `1,93,126cr and the
stock futures OI is `55,235cr.
 Rollover for Nifty futures is 29.16%, Minifty futures is
35.59%, while market-wide rollover is 32.87%.
Nifty Vs OI
OI Gainers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
UNIONBANK 3677000 31.13 411.35 -0.59
DISHTV 20312000 25.26 57.30 3.52
ITC 33952000 21.99 169.15 -1.20
UCOBANK 26404000 18.89 131.00 3.48
BANKINDIA 5080000 16.57 519.80 -3.28
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.23 0.88
RELIANCE 0.53 0.37
TATASTEEL 0.25 0.35
INFOSYSTCH 0.19 0.46
SBIN 0.74 0.48
View
 FIIs’ views were divided in the Index futures. Some
were forming fresh longs while some were forming
fresh shorts, as build up was around 10% and gross
activity was also high.
 Yesterday, some unwinding was observed in the
6000 call option and build up was observed in the
6200 put option. In November series 6200 call
option and 5800 put options have highest open
interest.
 LITL has its immediate support around current
levels. Short covering is expected in this stock. Thus,
traders can trade with positive bias around Rs66 for
the target of Rs71 with a stop loss of Rs64.
 In the past two trading sessions UNITECH added
around 20% open interest. We may see some
positive move in the stock. So, it is advisable to use
90 call option of October expiry to trade with
positive bias.
Historical Volatility
SCRIP HV
ABGSHIP 83.34
MTNL 36.25
MLL 57.30
POWERGRID 28.66
RENUKA 44.12
OI Losers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
ESSAROIL 21526000 -11.79 147.85 -1.24
PIRHEALTH 6890000 -11.07 493.95 -4.19
ICSA 4706000 -8.90 130.55 1.04
CROMPGREAV 1911000 -7.37 322.05 -0.39
M&M 10240000 -7.31 714.70 1.87

2. Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 25-Oct-2010
Detail Buy Sell Net
Open Interest
Contracts Value Change
(Rs. in cr.) (%)
INDEX
FUTURES
5713.82 5063.08 650.73 553353 16982.61 10.35
INDEX
OPTIONS
6699.70 6480.49 219.21 2118861 64687.27 0.01
STOCK
FUTURES
8031.08 8119.43 (88.34) 1507166 45965.61 1.00
STOCK
OPTIONS
385.37 423.19 (37.82) 41761 1372.16 -3.77
TOTAL 20829.97 20086.19 743.78 4221141 129007.64 1.57
Turnover on 25-Oct-2010
Instrument
No. of
Contracts
Turnover
(Rs. in cr.)
Change
(%)
Index Futures 737647 21726.79 20.90
Stock Futures 1089349 35789.06 15.16
Index Options 3189854 98044.48 13.65
Stock Options 146408 5236.11 -1.79
Total 5163258 160796.44 14.32
Nifty Spot = 6105.80 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 60.50
42.75 57.25 6142.75
Buy 6000 6.60
4.75 95.25 5995.25
Sell 6200 17.75 Sell 5900 1.85
Buy 6100 60.50
56.75 143.25 6156.75
Buy 6000 6.60
5.45 194.55 5994.55
Sell 6300 3.75 Sell 5800 1.15
Buy 6200 17.75
14.00 86.00 6214.00
Buy 5900 1.85
0.70 99.30 5899.30
Sell 6300 3.75 Sell 5800 1.15
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

3. Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 3
Strategy Date Scrip Strategy Status
04-Oct-10 JPASSOCIAT Bull Call Spread Continue
11-Oct-10 RELIANCE Long Call Profit booked on 25-Oct-10
18-Oct-10 NIFTY Long Call Ladder Continue
18-Oct-10 CAIRN Short Straddle Continue
25-Oct-10 TATASTEEL Long Call Call not triggered
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