1. Derivative Report
India Research
Aug 19, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.14%
while Minifty futures’ open interest increased by
26.29% as market closed at 5479.15 levels.
 The Nifty Aug future closed at a premium of 3.90
points, against a premium of 10.65 points in the last
trading session. On the other hand, Sep future closed
at a premium of 8.20 points.
 The PCR-OI increased from 1.45 to 1.57 points.
 The Implied volatility of At-the-money options
decreased from 15.5% to 13%.
 The total OI of the market is Rs1,80,788cr and the
stock futures OI is Rs50,692cr.
 Few liquid counters where cost of carry is positive are
GTL, STERLINBIO, NAGARCONST, MOSERBAER and
RNRL.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  After some selling in the past few trading sessions in
(%) (%) the Stock futures, FIIs formed some long positions in
the Index futures and the Stock futures yesterday.
TULIP 1743750 54.49 177.20 -2.29 They were net buyers of Rs675cr in the cash market
GESHIP 1255000 40.22 307.25 2.13 segment.
CHAMBLFERT 12456000 32.29 72.45 6.94  Substantial unwinding was visible in the 5400 and
5500 call options; on the other hand, 5400 and
MINIFTY 1698920 26.29 5479.15 1.20
5500 put options added significant open interest.
JINDALSAW 9823000 19.52 205.65 1.43
 SAIL has strong support around Rs190 and the
stock has significant short positions. Yesterday,
OI Losers
some buying was visible in the counter from support
OI PRICE levels. We may see a positive move in the counter
SCRIP OI CHANGE PRICE CHANGE up to Rs202 due to short covering. Positional
(%) (%) traders can form long positions around 192-193
ANDHRABANK 4854000 -10.28 165.10 3.93 levels, with the stop loss of Rs189.
CANBK 2252500 -10.04 527.00 1.77  RELINFRA has its immediate support around 1030-
1040 levels. CoC has also increased. We may see
PFC 1153000 -9.78 337.65 -0.50 a bounce due to short covering in the stock.
APOLLOTYRE 9348000 -9.42 69.10 5.50 Therefore, trading with positive bias is advisable for
the target of Rs1090. Keep a stop loss of Rs 1015.
ONMOBILE 1036000 -8.80 330.30 1.46
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.57 1.21 CHAMBLFERT 41.23
RELIANCE 0.18 0.28 MOSERBAER 41.81
BANKNIFTY 1.78 1.18 SUNPHARMA 25.73
SBIN 1.43 0.54 RANBAXY 27.62
TATAMOTORS 0.99 0.46 HDFCBANK 24.24
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 18-Aug-2010 Turnover on 18-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 562791 14451.64 51.58
1830.82 1313.67 517.15 655962 17969.82 1.20
FUTURES
INDEX Stock Futures 812141 25337.02 22.41
5175.97 5041.41 134.56 2311853 63333.20 0.35
OPTIONS
STOCK Index Options 2179367 59243.51 31.99
3146.83 2952.47 194.36 1380664 38219.75 1.10
FUTURES
STOCK Stock Options 190577 6641.89 49.56
767.09 799.30 (32.21) 64591 2000.15 4.51
OPTIONS
TOTAL 10920.72 10106.85 813.86 4413070 121522.92 0.77 Total 3744876 105674.06 32.83
Nifty Spot = 5479.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 33.00 Buy 5400 20.60
26.85 73.15 5526.85 12.65 87.35 5387.35
Sell 5600 6.15 Sell 5300 7.95
Buy 5500 33.00 Buy 5400 20.60
31.75 168.25 5531.75 17.05 182.95 5382.95
Sell 5700 1.25 Sell 5200 3.55
Buy 5600 6.15 Buy 5300 7.95
4.90 95.10 5604.90 4.40 95.60 5295.60
Sell 5700 1.25 Sell 5200 3.55
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 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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