The derivative report summarizes developments in the Indian derivatives market on August 18, 2010. Open interest in Nifty futures increased by 1.16% while open interest in Mini Nifty futures rose by 1.68%. The report also notes increases in open interest for certain stocks and decreases for others. Implied volatility decreased and put-call ratios changed for some indexes and stocks. The report provides commentary on FII positions and analysis of option strategies for Nifty.

1. Derivative Report
India Research
Aug 18, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.16%
while Minifty futures’ open interest increased by 1.68%
as market closed at 5414.15 levels.
 The Nifty Aug future closed at a premium of 10.65
points, against a discount of 0.85 points in the last
trading session. On the other hand, Sep future closed
at a premium of 18.35 points.
 The PCR-OI increased from 1.44 to 1.45 points.
 The Implied volatility of At-the-money options
decreased from 16.0 to 15.5%.
 The total OI of the market is Rs1,76,807cr and the
stock futures OI is Rs49,413cr.
 Few liquid counters where cost of carry is positive are
KSOILS, GTL, ISPATIND, NHPC and TV-18.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs again formed some short positions in the stock
DENABANK 11568000 21.26 107.40 3.37 futures and bought Index options. They continued
their buying in the cash market segment. Global
UCOBANK 14908000 18.51 113.70 5.57 cues are positive. We may see a flattish to positive
PETRONET 7492000 18.17 101.15 -1.03 opening.
TATACOMM 2062000 17.09 338.10 4.72  Yesterday, some buildup was visible in both the
5400 and 5500 call options and the 5200 to 5400
BANKBARODA 2965500 16.48 832.45 6.01
put options.
OI Losers  GVKPIL has significant short positions and the
41-42 level is a strong support zone for the stock.
OI PRICE
Positional traders can form long positions from its
SCRIP OI CHANGE PRICE CHANGE
(%) (%) support, for the target price of Rs45, with the stop
loss of Rs39.
ALBK 3760000 -13.76 215.30 -1.15
 ESSAROIL added substantial open interest between
DABUR 2870000 -13.71 203.90 1.32 129-131 levels. We may see a positive move in the
BGRENERGY 370000 -7.85 823.60 0.38 stock. Therefore, traders can trade with positive bias
from Rs130, for the target of Rs135. Keep a stop
MUNDRAPORT 869500 -5.08 790.50 -0.40 loss of Rs128.
DISHTV 13144000 -4.64 51.60 0.00
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.45 1.30 SYNDIBANK 47.67
RELIANCE 0.19 0.17 BANKBARODA 35.06
SBIN 1.48 0.73 INDIAINFO 50.04
BANKNIFTY 1.80 1.14 FORTIS 32.31
TATAMOTORS 0.95 0.50 VIJAYABANK 43.81
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 17-Aug-2010 Turnover on 17-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 370734 9533.69 -31.66
1012.48 851.53 160.95 648162 17571.22 -1.33
FUTURES
INDEX Stock Futures 688268 20699.21 -4.01
5143.97 4092.60 1051.36 2303896 62366.62 1.40
OPTIONS
STOCK Index Options 1655940 44884.83 -26.85
2506.44 2632.27 (125.82) 1365696 37544.68 1.50
FUTURES
STOCK Stock Options 136676 4441.09 -18.52
398.90 431.87 (32.97) 61804 1927.12 2.27
OPTIONS
TOTAL 9061.80 8008.28 1053.52 4379558 119409.63 1.03 Total 2851618 79558.82 -22.25
Nifty Spot = 5414.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 19.30 Buy 5400 44.25
16.25 83.75 5516.25 24.90 75.10 5375.10
Sell 5600 3.05 Sell 5300 19.35
Buy 5500 19.30 Buy 5400 44.25
18.50 181.50 5518.50 36.60 163.40 5363.40
Sell 5700 0.80 Sell 5200 7.65
Buy 5600 3.05 Buy 5300 19.35
2.25 97.75 5602.25 11.70 88.30 5288.30
Sell 5700 0.80 Sell 5200 7.65
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 Profit booked on 17-Aug-2010
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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