The derivative report summarizes developments in the Indian derivatives market on August 17, 2010. Open interest in Nifty futures increased slightly while decreasing for MiniNifty futures. The Nifty August future was at a discount while the September future was at a premium. Implied volatility and total open interest in the market increased. Specific stocks like Cairn, Sesa Goa, and Alkem saw large increases in open interest while others like Petronet and Minifity saw decreases. FII activity and option strategies are also summarized.

1. Derivative Report
India Research
Aug 17, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.29%
while Minifty futures’ open interest decreased by
13.72% as market closed at 5418.30 levels.
 The Nifty Aug future closed at a discount of 0.85
points, against a premium of 4.35 points in the last
trading session. On the other hand, Sep future closed
at a premium of 5.25 points.
 The PCR-OI decreased from 1.49 to 1.44 points.
 The Implied volatility of At-the-money options
increased from 15.50 to 16%.
 The total OI of the market is Rs1,72,118cr and the
stock futures OI is Rs48,201cr.
 Few liquid counters where cost of carry is positive are
GLAXO, GTL, GTOFFSHORE, RUCHISOYA and
NHPC.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
 FIIs continued to be a buyer in the Index options.
(%) (%)
Though they shorted stock futures, were net buyers
CAIRN 19207000 31.29 332.85 -6.36 of Rs400cr in the cash market segment.
SESAGOA 17731500 21.23 322.00 -8.94  Yesterday, build-up was visible in the 5400 and
ALBK 4360000 21.11 217.80 3.10 5500 call options. However, considerable
unwinding was visible in the 5400 and 5500 put
CIPLA 6399000 20.15 304.00 -3.45 options.
CONCOR 36500 19.67 1356.10 -0.76  In the past few trading sessions, STER added more
than 30% open interest and stock is showing
OI Losers support around current levels. We may see positive
OI PRICE move in the counter due to short covering.
SCRIP OI CHANGE PRICE CHANGE Therefore, positional traders can form long
(%) (%) positions for the target of Rs170, with the stop loss
of Rs155.
PETRONET 6340000 -16.27 102.20 -3.17
 IDEA is moving around current levels since 10 days.
MINIFTY 1323040 -13.72 5418.30 -0.62
We have observed some selling from higher levels.
ORIENTBANK 2409000 -11.69 430.45 2.59 Therefore, trades can trade with negative bias
INDIAINFO 10524000 -7.46 99.30 -1.10
around Rs72, for the target of Rs66-67 keep a stop
loss of Rs74.
JISLJALEQS 95500 -5.68 1255.15 1.36
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.44 1.30 SUZLON 47.81
RELIANCE 0.19 0.19 CUMMINSIND 40.76
SBIN 1.55 0.64 SESAGOA 59.98
BANKNIFTY 1.93 1.81 CIPLA 23.21
TATAMOTORS 0.96 0.75 CAIRN 44.48
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 16-Aug-2010 Turnover on 16-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 547522 13950.16 11.98
1732.62 1618.39 114.23 656882 17775.26 0.32
FUTURES
INDEX Stock Futures 742092 21564.04 -3.87
7567.48 6931.31 636.17 2272006 61547.81 2.25
OPTIONS
STOCK Index Options 2255035 61355.97 14.48
2019.56 2575.82 (556.27) 1345488 36948.49 1.65
FUTURES
STOCK Stock Options 171028 5450.6 -14.52
486.46 529.94 (43.47) 60432 1897.94 0.67
OPTIONS
TOTAL 11806.13 11655.46 150.67 4334808 118169.51 1.75 Total 3715677 102320.77 7.86
Nifty Spot = 5418.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 20.65 Buy 5400 50.65
16.50 83.50 5516.50 26.75 73.25 5373.25
Sell 5600 4.15 Sell 5300 23.90
Buy 5500 20.65 Buy 5400 50.65
19.70 180.30 5519.70 40.10 159.90 5359.90
Sell 5700 0.95 Sell 5200 10.55
Buy 5600 4.15 Buy 5300 23.90
3.20 96.80 5603.20 13.35 86.65 5286.65
Sell 5700 0.95 Sell 5200 10.55
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
16-Aug-2010 NTPC Covered Call Writing Continue
16-Aug-2010 LT Long Call Continue
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