1. Derivative Report
India Research
Oct 27, 2010
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
 The Nifty futures’ open interest increased by 8.94%
while Minifty futures’ open interest increased by 2.06%
as market closed at 6082 levels.
 The Nifty Oct future closed at a premium of 26.25
points, against a premium of 30.40 points in the last
trading session. On the other hand, Nov future closed
at a premium of 55.05 points.
 The PCR-OI decreased from 1.23 to 1.22 points.
 The Implied volatility of At-the-money options for
October series decreased from 18.00% to 17.75%,
while for November series, it decreased from
20.00% to 19.00%.
 The total OI of the market is `1,95,940cr and the
stock futures OI is `55,863cr.
 Rollover for Nifty futures is 38.64%, Minifty futures is
38.95%, while market-wide rollover is 45.10%.
Nifty Vs OI
OI Gainers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
ORCHIDCHEM 10438000 47.30 340.45 2.73
DENABANK 16656000 22.43 137.75 8.76
TECHM 1723250 19.77 786.35 2.84
BHEL 3551125 18.92 2489.40 -1.47
KOTAKBANK 4174000 15.46 492.10 -1.98
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.22 0.89
RELIANCE 0.55 0.28
TATASTEEL 0.21 0.49
INFOSYSTCH 0.18 0.31
SBIN 0.71 0.46
View
 FIIs data is showing strong build up in open interest
but there are no major changes in the net figure.
This suggests they have differences in their views.
Some are forming fresh long while others are
forming fresh short positions.
 Yesterday, significant build up was observed in the
6200 call option and unwinding was observed in
the 6200 put option of Oct. expiry. In Nov. expiry
the 6300 call option and the 6000 put option
added highest open interest.
 Since start of the month continuously HINDZINC
has witnessed unwinding in open interest and
yesterday it reduced open interest by 11%. Rollover
is also less in this stock. It is advisable to form short
position in Nov. contracts for the target of `1210
with a stop loss of `1280.
 CESC is showing some strength and stock has short
positions too. We may see a short covering in the
stock up to `400. It is advisable to trade with
positive bias with a stop loss of `377.
Historical Volatility
SCRIP HV
DENABANK 55.88
TITAN 39.97
UNIPHOS 57.74
DCHL 38.38
MARUTI 32.18
OI Losers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
DISHTV 15032000 -25.99 59.25 3.40
ICSA 3818000 -18.87 132.00 1.11
HINDZINC 278750 -10.87 1255.40 -0.56
IDEA 19724000 -10.23 69.45 -3.00
ROLTA 6040000 -9.15 172.40 2.22

2. Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 26-Oct-2010
Detail Buy Sell Net
Open Interest
Contracts Value Change
(` in cr.) (%)
INDEX
FUTURES
6836.63 6971.40 (134.78) 648725 19837.99 17.24
INDEX
OPTIONS
4911.44 4590.29 321.16 2122234 64537.58 0.16
STOCK
FUTURES
7708.60 8561.49 (852.89) 1504773 45860.09 -0.16
STOCK
OPTIONS
341.21 338.18 3.02 40365 1328.47 -3.34
TOTAL 19797.88 20461.37 (663.49) 4316097 131564.13 2.25
Turnover on 26-Oct-2010
Instrument
No. of
Contracts
Turnover
(` in cr.)
Change
(%)
Index Futures 701402 20777.59 -4.37
Stock Futures 1200477 40406.41 12.90
Index Options 2546293 78193.43 -20.25
Stock Options 136724 5026.41 -4.00
Total 4584896 144403.84 -10.19
Nifty Spot = 6082.00 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 37.45
30.75 69.25 6130.75
Buy 6000 6.25
5.00 95.00 5995.00
Sell 6200 6.70 Sell 5900 1.25
Buy 6100 37.45
36.30 163.70 6136.30
Buy 6000 6.25
5.60 194.40 5994.40
Sell 6300 1.15 Sell 5800 0.65
Buy 6200 6.70
5.55 94.45 6205.55
Buy 5900 1.25
0.60 99.40 5899.40
Sell 6300 1.15 Sell 5800 0.65
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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