The derivative report summarizes developments in the Indian derivatives market on August 11, 2010. Open interest in Nifty futures increased by 1.85% while open interest in Minifity futures decreased by 7.11%. Implied volatility of at-the-money options increased. Few stocks saw cost of carry turn positive including Suzlon, TTML, NHPC, Ruchisoya and FSL. Put-call ratio for Nifty increased to 1.43 from 1.39. Historical volatility remained high for stocks like Ibrealeast, Tata Motors and Mundraport.

1. Derivative Report
India Research
Aug 11, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.85%
while Minifty futures’ open interest decreased by
7.11% as market closed at 5460.70 levels.
 The Nifty Aug future closed at a premium of 0.25
points, against a discount of 4.15 points in the last
trading session. On the other hand, Sep future closed
at a premium of 5.00 points.
 The PCR-OI increased from 1.39 to 1.43 points.
 The Implied volatility of At-the-money options
increased from 13.75% to 14.75%.
 The total OI of the market is Rs1,57,149cr and the
stock futures OI is Rs44,944cr.
 Few liquid counters where cost of carry is positive are
SUZLON, TTML, NHPC, RUCHISOYA and FSL.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  Although FIIs have formed some short positions in
ADANIPOWER 1862000 29.67 140.75 3.04 the Index futures, they were net buyers of Rs599cr
in the cash market segment. Global cues are
TATAMOTORS 14247000 19.84 957.30 4.12 negative. We may see a negative opening today.
PATELENG 816000 15.34 415.70 -1.19
 Yesterday, significant build-up was visible in the
ORBITCORP 4002000 13.44 133.25 3.02 5500 call option and the 5300 put option. Build-up
in puts was mainly because of buying, as IV of most
IVRCLINFRA 5488000 12.37 170.35 -2.85
of the put options has increased and were hovering
around 16% -17%.
OI Losers
 Significant unwinding from higher levels was visible
OI PRICE
in BRFL. We may see some correction in the stock
SCRIP OI CHANGE PRICE CHANGE
(%) (%) due to profit booking. Therefore, traders can trade
with negative bias around Rs265, for the target of
IBREALEST 13356000 -19.35 185.90 5.81 Rs250 with the stop loss of Rs272.
ABAN 2889750 -17.96 880.40 -3.51  SESAGOA has resistance around current levels.
EDUCOMP 2888500 -14.58 688.15 5.05 Opening around Rs375 can be used to trade with
negative bias for the target of Rs 350, with the stop
SUNTV 213000 -14.46 471.05 -0.07 loss of Rs384.
INDIAINFO 12434000 -12.73 100.15 -1.09
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.43 1.16 IBREALEST 43.88
RELIANCE 0.20 0.15 TATAMOTORS 46.16
BANKNIFTY 1.81 2.41 MUNDRAPORT 30.86
TATAMOTORS 0.73 0.32 CHAMBLFERT 30.07
SBIN 1.41 1.08 PIRHEALTH 33.33
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 10-Aug-2010 Turnover on 10-Aug-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 409125 10532.18 32.58
1210.96 1540.58 (329.62) 622482 16945.34 1.90
FUTURES
INDEX Stock Futures 641895 20086.91 42.50
4026.83 3538.24 488.59 2036087 55581.39 3.60
OPTIONS
STOCK Index Options 1488659 40531.82 23.34
1174.97 1127.84 47.14 1289532 35465.28 0.05
FUTURES
STOCK Stock Options 167953 5945.93 43.26
337.66 393.89 (56.23) 48404 1518.41 20.07
OPTIONS
TOTAL 6750.43 6600.55 149.88 3996505 109510.42 2.33 Total 2707632 77096.84 30.55
Nifty Spot = 5460.70 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 44.25 Buy 5400 46.80
32.20 67.80 5532.20 21.15 78.85 5378.85
Sell 5600 12.05 Sell 5300 25.65
Buy 5500 44.25 Buy 5400 46.80
41.55 158.45 5541.55 33.60 166.40 5366.40
Sell 5700 2.70 Sell 5200 13.20
Buy 5600 12.05 Buy 5300 25.65
9.35 90.65 5609.35 12.45 87.55 5287.55
Sell 5700 2.70 Sell 5200 13.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August 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
02-Aug-2010 IDBI Long Call Continue
02-Aug-2010 NIFTY Ratio Put Spread Continue
09-Aug-2010 RELIANCE Long Call Continue
09-Aug-2010 ICICIBANK Ratio Put Spread Continue
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