1. Derivative Report
India Research
Oct 28, 2010
SEBI Registration No: INB 010996539 For Private Circulation Only 1
Comments
 The Nifty futures’ open interest increased by 1.70%
while Minifty futures’ open interest increased by 7.71%
as market closed at 6012.65 levels.
 The Nifty Oct future closed at a premium of 24.85
points, against a premium of 26.25 points in the last
trading session. On the other hand, Nov future closed
at a premium of 54.95 points.
 The PCR-OI decreased from 1.22 to 1.18 points.
 The Implied volatility of At-the-money options for
October series increased from 17.75% to 22.00%,
while for November series, it increased from
19.00% to 19.75%.
 The total OI of the market is `1,98,928cr and the
stock futures OI is `55,439cr.
 Rollover for Nifty futures is 53.19%, Minifty futures is
45.69%, while market-wide rollover is 60.41%.
Nifty Vs OI
OI Gainers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
ONMOBILE 1060000 24.56 330.40 -6.20
KOTAKBANK 4818000 15.43 480.10 -2.44
SYNDIBANK 10324000 14.92 143.35 0.84
BANKBARODA 2181000 13.68 991.30 1.20
HINDUNILVR 15252000 12.77 293.00 -1.76
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.18 0.96
RELIANCE 0.58 0.30
TATASTEEL 0.22 0.43
INFOSYSTCH 0.19 0.56
SBIN 0.56 0.62
View
 FIIs have formed some short positions in the Index
futures and unwound some of their longs in the
stock futures.
 Yesterday, build up was observed in the 6000 and
6100 call option, and the 5900 and 6000 put
options of Oct series. In Nov. expiry most of the call
and put options added significant open interest.
The 6200 call and 5800 put options have highest
open interest in new series.
 In new series less rollover, in the Index futures as
well as market wide, was observed till now. Few
large cap stocks where rollover is less are
HDFCBANK, GAIL, SAIL, LT and ITC.
 After continuous short formations from higher levels
some unwinding was observed in NATIONALUM
yesterday. Stock has strong support around current
levels. It is advisable to trade with bias in the Nov.
series around `396 for the target of `415 with a
stop loss of `388.
 Traders can trade with negative bias in GRASIM for
the target of `2210 with a stop loss of `2310, as
stock is showing further weakness in it.
Historical Volatility
SCRIP HV
UNIONBANK 44.85
ASIANPAINT 26.69
ONMOBILE 52.99
NTPC 27.30
SRTRANSFIN 34.73
OI Losers
SCRIP OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
CHAMBLFERT 18760000 -18.68 82.10 -5.14
STER 19886000 -17.11 172.80 0.35
ICSA 3220000 -15.66 133.60 1.21
SRTRANSFIN 284500 -15.33 810.15 4.26
HEXAWARE 3680000 -13.45 86.05 2.38

2. Derivative Report | India Research
For Private Circulation Only SEBI Registration No: INB 010996539 2
FII Statistics for 27-Oct-2010
Detail Buy Sell Net
Open Interest
Contracts Value Change
(Rs. in cr.) (%)
INDEX
FUTURES
7480.74 7852.85 (372.11) 668550 20226.85 3.06
INDEX
OPTIONS
10931.76 10177.51 754.25 2125413 63897.24 0.15
STOCK
FUTURES
9886.94 10358.63 (471.69) 1497776 45385.59 -0.46
STOCK
OPTIONS
369.29 390.76 (21.47) 37932 1238.94 -6.03
TOTAL 28668.73 28779.75 (111.02) 4329671 130748.61 0.31
Turnover on 27-Oct-2010
Instrument
No. of
Contracts
Turnover
(Rs. in cr.)
Change
(%)
Index Futures 976391 28573.78 37.52
Stock Futures 1412330 46787.74 15.79
Index Options 4113242 125320.97 60.27
Stock Options 164467 5885 17.08
Total 6666430 206567.49 43.05
Nifty Spot = 6012.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 117.35
41.65 58.35 6141.65
Buy 6000 107.05
33.95 66.05 5966.05
Sell 6200 75.70 Sell 5900 73.10
Buy 6100 117.35
72.65 127.35 6172.65
Buy 6000 107.05
57.90 142.10 5942.10
Sell 6300 44.70 Sell 5800 49.15
Buy 6200 75.70
31.00 69.00 6231.00
Buy 5900 73.10
23.95 76.05 5876.05
Sell 6300 44.70 Sell 5800 49.15
Note: Above mentioned Bullish or Bearish Spreads in Nifty (November 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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