- The open interest for Nifty futures decreased by 1.99% while for Minifutures it decreased by 0.89% as the market closed at 5322.45. - Implied volatility for at-the-money options increased from 15% to 17.5%. Rollover for Nifty futures was 25.28% and for Minifutures was 35.28%. - FIIs were net buyers of Rs. 234cr in the cash market segment and did some short covering in the Index futures.

1. Derivative Report
India Research
April 27, 2010
Sebi Registration No: INB 010996539 For Private Circulation Only 1
Comments
The Nifty futures’ open interest decreased by 1.99%,
while, Minifty futures open interest decreased by
0.89%, as market closed at 5322.45 levels.
The Nifty April future closed at a discount of 2.55
points, as against a premium of 0.90 points in the last
trading session, while the May future closed at a
discount of 1.50 points.
The PCR-OI decreased from 1.35 to 1.33 points.
The Implied volatility of At-the-money options has
increased from 15.00% to 17.50%.
Rollover for the Nifty Futures is 25.28% and for Minifty
Futures it is 35.28%. Market wide rollover is 32.90%.
The total open interest of the market is Rs1,38,898cr
of which Stock futures’ open interest is Rs40,833cr.
Nifty Vs OI
OI Gainers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
SUNPHARMA 718425 42.48 1603.15 -4.81
PFC 594000 18.42 282.25 2.99
GTOFFSHORE 1116000 15.05 453.5 7.80
ANDHRABANK 5184200 14.18 125.05 3.73
TATACOMM 2902725 14.07 275.65 -0.72
OI Losers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
CESC 577500 -15.59 411.90 4.30
AUROPHARMA 2080400 -12.92 935.15 0.82
PETRONET 8276400 -8.82 82.45 0.12
COLPAL 169400 -8.33 754.80 0.46
CONCOR 20500 -7.87 1438.45 -0.44
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.33 0.99
RELIANCE 0.25 0.21
BHARTIARTL 0.38 0.29
INFOSYSTCH 0.72 0.53
SUZLON 0.22 0.19
View
FIIs did some short covering in the Index Futures.
They were net buyers of Rs. 234cr in the cash
market segment.
Yesterday, mainly unwinding was visible in the
5200 call option. However, the 5300 put option
added considerable open interest. For May series,
most of the call options and the 5300 and 5100
put options added significant open interest.
Due to profit booking SIEMENS has shown some
weakness and previously the stock has taken
support around Rs.700. Dips around support can
be used to go long for the target of Rs. 725-730.
Yesterday, most of the Metal counters have given a
good positive move. JSWSTEEL has short positions
in it. Due to short covering further positive move
can be expected.
Historical Volatility
SCRIP HV
INDIANB 70.66
GTOFFSHORE 43.13
STER 38.69
SUNPHARMA 40.00
CESC 35.10

2. Derivative Report | India Research
For Private Circulation Only Sebi Registration No: INB 010996539 2
FII Statistics for 26-April-2010
Detail Buy Sell Net
Open Interest
Contracts Value Change
(Rs. in cr.) (%)
INDEX
FUTURES
3244.72 3092.46 152.25 529928 14294.84 -2.92
INDEX
OPTIONS
2328.04 2128.02 200.02 1681349 44781.67 1.76
STOCK
FUTURES
6203.54 6172.46 31.08 998952 33138.24 2.00
STOCK
OPTIONS
397.15 414.36 (17.21) 35849 1189.35 -0.69
TOTAL 12173.44 11807.30 366.14 3246078 93404.11 1.01
Turnover on 26-April-2010
Instrument
No. of
Contracts
Turnover
(Rs. in cr.)
Change
(%)
Index Futures 421027 11253.83 -29.16
Stock Futures 766821 26504.11 18.61
Index Options 1522109 40532.59 -31.77
Stock Options 97637 3903.34 -18.93
Total 2807594 82193.87 -19.77
Nifty Spot = 5322.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 44.10
37.05 62.95 5337.05
Buy 5200 7.15
4.55 95.45 5195.45
Sell 5400 7.05 Sell 5100 2.60
Buy 5300 44.10
43.45 156.55 5343.45
Buy 5200 7.15
5.95 194.05 5194.05
Sell 5500 0.65 Sell 5000 1.20
Buy 5400 7.05
6.40 93.60 5406.40
Buy 5100 2.60
1.40 98.60 5098.60
Sell 5500 0.65 Sell 5000 1.20
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

3. Derivative Report | India Research
For Private Circulation Only Sebi Registration No: INB 010996539 3
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
19-April-2010 BHARTIARTL Long Call Did not trigger
26-April-2010 CAIRN Long Call Did not trigger
26-April-2010 PUNJLLYOD Long Call Continue
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