The document provides a summary of derivative market activity in India as of September 09, 2010. Open interest in Nifty futures increased slightly while open interest in Mini Nifty futures rose by 0.69%. The Nifty September future closed at a discount of 11.20 points. Put-call ratio for Nifty increased to 1.47. Total open interest in the market was Rs. 1,84,322 crore with stock futures open interest at Rs. 49,529 crore. Few stocks saw positive cost of carry including TTML, STERLINBIO, MTNL, NHPC, FSL and NOIDATOLL.

1. Derivative Report
India Research
Sep 09, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.54%
while Minifty futures’ open interest increased by 0.69%
as market closed at 5607.85 levels.
 The Nifty Sep future closed at a discount of 11.20
points, against a discount of 12.35 points in the last
trading session. On the other hand, Oct future closed
at a discount of 6.50 points.
 The PCR-OI increased from 1.44 to 1.47 points.
 The Implied volatility of At-the-money options is still at
the same levels of 12.50%.
 The total OI of the market is Rs1,84,322cr and the
stock futures OI is Rs49,529cr.
 Few liquid counters where cost of carry is positive are
TTML, STERLINBIO, MTNL, NHPC, FSL and
NOIDATOLL.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 FIIs have formed some short positions in the Index
GVKPIL 29672000 37.12 49.90 2.67 futures. They were net buyers of Rs282cr in the cash
market segment. As suggested by SGX Nifty we
BGRENERGY 581000 27.27 847.95 -0.49
may see a flattish opening.
IDBI 21128000 17.77 133.85 5.27
 Yesterday, the 5300 and 5600 Put options added
HINDZINC 364250 17.31 1096.55 -1.02 significant open interest. However, unwinding was
IOB 4700000 17.15 140.10 3.13 visible in most of the call options.
 In the past few trading sessions, continuous long
OI Losers formation was visible in OFSS. Buy on dips, around
OI PRICE Rs2100 levels, is advisable in the stock for the
SCRIP OI CHANGE PRICE CHANGE target of Rs2180 with the stop loss of Rs2070.
(%) (%)
 Yesterday, some buying was visible in IBREALEST.
LUPIN 2962500 -6.73 375.50 1.95 After some short covering, long formation can
POLARIS 3564000 -5.91 177.90 0.65 further pull up the stock. Therefore, trading with
positive bias is advisable around 175 levels for the
BEML 162250 -4.84 1172.30 -1.32 target of Rs187.
ISPATIND 85426000 -4.70 20.30 0.25
RELMEDIA 2775000 -4.64 211.90 1.83
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.47 1.10 MLL 52.70
RELIANCE 0.33 0.21 IDBI 42.30
BANKNIFTY 2.01 2.09 NOIDATOLL 37.69
TATASTEEL 0.62 0.45 COREPROTEC 42.34
TATAMOTORS 0.47 0.37 OFSS 21.24
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 08-Sep-2010 Turnover on 08-Sep-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 520535 13841.16 21.17
1065.70 1653.09 (587.40) 652361 18183.30 2.03
FUTURES
INDEX Stock Futures 653689 20145.77 3.71
3409.87 3310.38 99.49 2555299 71647.82 -0.08
OPTIONS
STOCK Index Options 1968859 54818.00 -11.96
1051.83 1110.25 (58.42) 1320104 37540.13 0.90
FUTURES
STOCK Stock Options 138656 4459.55 -3.56
588.31 585.24 3.07 36284 1070.48 15.93
OPTIONS
TOTAL 6115.71 6658.96 (543.25) 4564048 128441.72 0.61 Total 3281739 93264.48 -4.58
Nifty Spot = 5607.85 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 66.10 Buy 5500 39.90
41.55 58.45 5641.55 18.00 82.00 5482.00
Sell 5700 24.55 Sell 5400 21.90
Buy 5600 66.10 Buy 5500 39.90
58.70 141.30 5658.70 28.65 171.35 5471.35
Sell 5800 7.40 Sell 5300 11.25
Buy 5700 24.55 Buy 5400 21.90
17.15 82.85 5717.15 10.65 89.35 5389.35
Sell 5800 7.40 Sell 5300 11.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September Series) are given as an information and not as a recommendation
Nifty Put-Call Analysis
For Private Circulation Only SEBI Registration No: INB 010996539 2

3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
30-Aug-10 RELINFRA Long Call Ladder Continue
06-Sep-10 BHARTIARTL Ratio Put Spread Continue
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