The summary is: 1) The Nifty futures open interest increased 5.99% while the Minifity futures open interest decreased 10.96% as the market closed at 5254.15. 2) The Nifty May future closed at a discount of 9.10 points compared to a premium of 0.75 points in the previous session. 3) The PCR-OI increased from 1.24 to 1.28 points.

1. Derivative Report
India Research
April 30, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest increased by 5.99%,
while, Minifty futures open interest decreased by
10.96%, as market closed at 5254.15 levels.
The Nifty May future closed at a discount of 9.10
points, as against a premium of 0.75 points in the last
trading session, while the June future closed at a
discount of 7.65 points.
The PCR-OI increased from 1.24 to 1.28 points.
The Implied volatility of At-the-money options has
decreased from 21.00% to 19.00%.
Rollover for the Nifty Futures is 76% and for Minifty
Futures it is 69%. Market wide rollover is 84%.
The total open interest of the market is Rs1,23,266cr
of which Stock futures’ open interest is Rs39,882cr.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%) FIIs have again formed short positions in the Index
Futures while they were net buyers in the Stock
CUMMINSIND 414200 196.60 578.15 7.85 futures. Responding positively to Greece aid boost,
YESBANK 5132600 29.61 293.25 5.75 all major world indices are trading in green and as
suggested by SGX Nifty, we may see a positive
DENABANK 9056250 28.25 86.9 5.40 opening.
CROMPGREAV 2537500 27.64 251.65 -1.43
Yesterday, significant build up was visible in the
ANDHRABANK 5927100 27.57 127.55 5.54 5300 and 5400 Call options and 5200 and 5000
Put options. May Series has been started with
OI Losers highest open interest in 5200 put options which we
believe is likely to act as a strong support at least
OI PRICE for initial part of the series.
SCRIP OI CHANGE PRICE CHANGE
(%) (%) Ranbaxy has strong support around Rs.433.
JISLJALEQS 54000 -14.29 1113.50 2.06 Significant short positions exist in the counter. Due
to short covering we may see a positive move in the
FSL 30143500 -14.17 29.80 0.17 stock. Positional traders can trade with positive bias
HOTELEELA 8325000 -13.82 49.65 2.48 for the target of Rs 465, with the stop loss of
around Rs420.
POWERGRID 11168850 -12.38 110.45 -3.87
JPPOWER 8168750 -11.57 73.95 0.68
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.28 1.30 CUMMINSIND 46.60
RELIANCE 0.16 0.24 ULTRACEMCO 37.21
BANKNIFTY 2.79 4.82 DENABANK 40.16
BHARTIARTL 0.28 0.74 ANDHRABANK 45.41
SUZLON 0.22 0.40 YESBANK 48.08
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2. Derivative Report | India Research
FII Statistics for 29-April-2010 Turnover on 29-April-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 804444 21063.27 -16.22
4681.20 4885.34 (204.14) 595427 15717.80 22.59
FUTURES
INDEX Stock Futures 1147870 39096.33 12.58
4731.43 4547.40 184.03 1752902 45750.86 48.50
OPTIONS
STOCK Index Options 2311944 60962.85 -25.74
4870.91 4764.74 106.17 1001227 32317.35 11.16
FUTURES
STOCK Stock Options 117648 4313.42 -10.58
209.82 289.15 (79.33) 47129 1549.18 205.30
OPTIONS
TOTAL 14493.37 14486.63 6.74 3396685 95335 31.54 Total 4381906 125435.85 -14.55
Nifty Spot = 5254.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 81.80 Buy 5200 96.20
40.45 59.55 5340.45 31.40 68.60 5168.60
Sell 5400 41.35 Sell 5100 64.80
Buy 5300 81.80 Buy 5200 96.20
64.35 135.65 5364.35 54.50 145.50 5145.50
Sell 5500 17.45 Sell 5000 41.70
Buy 5400 41.35 Buy 5100 64.80
23.90 76.10 5423.90 23.10 76.90 5076.90
Sell 5500 17.45 Sell 5000 41.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May 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 Date Scrip Strategy Status
29-March-2010 SUZLON Long Call Loss on Expiry
29-March-2010 IDBI Long Call Profit Booked on 06-Apr-2010
05-April-2010 RNRL Long Call Profit Booked on 29-Apr-2010
05-April-2010 HUL Long Put Profit Booked on 08-Apr-2010
12-April-2010 JPASSOCIAT Ratio Call Spread Marginal Loss on Expiry
19-April-2010 BHARTIARTL Long Call Did not trigger
26-April-2010 CAIRN Long Call Did not trigger
26-April-2010 PUNJLLYOD Long Call Loss on Expiry
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