The open interest in Nifty futures decreased by 1.64% while the open interest in Mini Nifty futures decreased by 14.88% as the market closed at 5262.45 levels. Put-call ratio increased slightly to 1.17. Some stocks saw an increase in open interest such as ASIANPAINT, EDUCOMP, OPTOCIRCUI, and TECHM, while others such as INDIANB, SIEMENS, MCLEODRUSS, and SCI saw a decrease. Bullish and bearish option strategies on Nifty are presented for April series.

1. Derivative Report
India Research
March 31, 2010
Comments
Nifty Vs OI
The Nifty futures’ open interest decreased by 1.64%,
while, Minifty futures open interest decreased by
14.88%, as market closed at 5262.45 levels.
The Nifty April future closed at a premium of 11.45
points as against a premium of 15.95 points in the last
trading session, while the May future closed at a
premium of 16.75 points.
The PCR-OI increased from 1.16 to 1.17 points.
The Implied volatility of At-the-money options is at
17.00%.
The total open interest of the market is Rs93,851cr of
which Stock futures’ open interest is Rs31,647cr.
Some liquid stocks where cost of carry is positive are
ISPATIND, ICSA, NOIDATOLL, GTLINFRA and
RELMEDIA.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE Although the market has corrected from higher
(%) (%) levels, FIIs and DIIs both were net buyers in the
cash market segment; however, some short
ASIANPAINT 15800 27.42 2070.15 1.73 formation was visible in the futures.
EDUCOMP 2297625 18.17 734.25 -3.27 In option segment, we have not observed significant
OPTOCIRCUI 1430040 14.36 215.75 -2.79 unwinding in any Puts. Moreover, build-up in the
5300 call and 5400 put options has been
TECHM 1053600 13.80 882.55 -2.41 witnessed. We do not expect any significant
NEYVELILIG 2662375 9.86 146.7 0.10 correction in the market. If in any case it comes
around 5220 levels, buying would be advisable.
OI Losers Barring TATAMOTORS most of the Auto-counters
OI PRICE were showing some short formations. After
SCRIP OI CHANGE PRICE CHANGE significant positive move, we expect BAJAJ-AUTO to
(%) (%) correct from current levels. So, Traders can trade
with negative bias for the target price of around
INDIANB 640200 -11.55 174.40 3.26
Rs.1880-1890.
SIEMENS 637696 -11.11 740.45 -1.16
Yesterday, mainly unwinding was visible in most of
MCLEODRUSS 2364300 -10.98 278.55 3.57 the counters but NATIONALUM was showing some
SCI 986400 -10.07 157.25 0.35
build-up. We expect further positive move in the
Stock. Traders can trade with positive bias in it.
TATATEA 286000 -8.61 988.50 2.23
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.17 0.99 BANKINDIA 38.42
RELIANCE 0.29 0.34 HDFCBANK 28.18
BHARTIARTL 0.72 0.50 INFOSYSTCH 26.23
SUZLON 0.30 0.12 GRASIM 25.44
INFOSYSTCH 0.39 0.48 HCLTECH 30.71
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2. Derivative Report | India Research
FII Statistics for 30-March-2010 Turnover on 30-March-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 427487 11198.10 6.14
814.30 1282.19 (467.89) 453860 12133.71 1.57
FUTURES
INDEX Stock Futures 392482 14478.56 -1.77
2410.95 1934.90 476.05 1121792 29538.10 3.33
OPTIONS
STOCK Index Options 1216254 32562.45 8.96
1080.83 1152.47 (71.63) 824019 27209.22 1.25
FUTURES
STOCK Stock Options 52324 1983.93 5.95
55.27 61.08 (5.82) 10746 278.61 6.81
OPTIONS
TOTAL 4361.35 4430.64 (69.29) 2410417 69159.63 2.29 Total 2088547 60223.04 5.57
Nifty Spot = 5262.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 91.65 Buy 5200 77.70
42.50 57.50 5342.50 27.30 72.70 5172.70
Sell 5400 49.15 Sell 5100 50.40
Buy 5300 91.65 Buy 5200 77.70
69.25 130.75 5369.25 45.45 154.55 5154.55
Sell 5500 22.40 Sell 5000 32.25
Buy 5400 49.15 Buy 5100 50.40
26.75 73.25 5426.75 18.15 81.85 5081.85
Sell 5500 22.40 Sell 5000 32.25
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
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
29-March-2010 SUZLON Long Call Continue
29-March-2010 IDBI Long Call Continue
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