The document provides a summary of derivative market activity in India for August 20, 2010. Key points include: - Open interest for Nifty futures increased 3.31% while Mini Nifty futures increased 18.91% as the market closed at 5540.20. - Nifty August futures closed at a discount of 12.50 points. - Implied volatility of at-the-money options decreased from 13% to 12%. - Total open interest in the market was Rs. 1,88,226cr with stock futures open interest at Rs.51,756cr.

1. Derivative Report
India Research
Aug 20, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 3.31%
while Minifty futures’ open interest increased by
18.91% as market closed at 5540.20 levels.
 The Nifty Aug future closed at a discount of 12.50
points, against a premium of 3.90 points in the last
trading session. On the other hand, Sep future closed
at a discount of 4.55 points.
 The PCR-OI increased from 1.57 to 1.60 points.
 The Implied volatility of At-the-money options
decreased from 13% to 12%.
 The total OI of the market is Rs1,88,226cr and the
stock futures OI is Rs51,756cr.
 Few liquid counters where cost of carry is positive are
ABAN, FSL, GLAXO, RELMEDIA and COREPROTEC.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  A blend of short covering and some long
OPTOCIRCUI 1367000 29.45 271.90 -1.82 formations was visible in the Index futures from the
FIIs’ side. They were net buyers of Rs821cr in the
ASIANPAINT 62750 28.39 2704.10 2.00 cash market segment.
PETRONET 9516000 23.58 112.40 9.87
 Yesterday, a huge build up was visible in the 5400
NHPC 39992000 23.46 31.30 1.95 and 5500 Put options; however, significant
unwinding has been observed in the 5400 Call
MINIFTY 2020140 18.91 5540.20 1.11
options.
OI Losers  After a significant positive move, TATACOMM is
showing some weakness from current levels and
OI PRICE
also most of the telecom stocks are not giving
SCRIP OI CHANGE PRICE CHANGE
(%) (%) support to the market. We may see a negative
move in the stock. Therefore, traders can trade with
IDEA 40628000 -20.93 69.95 0.00 negative bias for the target of Rs315-317, with the
SRTRANSFIN 177000 -19.18 731.95 2.90 stop loss of Rs342.
ONMOBILE 886000 -14.48 351.15 6.31  TATASTEEL has its support around Rs510-512. Gap
down opening around these levels can be used to
UNIPHOS 8462000 -12.49 198.95 0.81 form longs for the target of Rs538, with the stop
TV-18 9464000 -11.29 88.65 4.91 loss of Rs497.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.60 1.28 KFA 71.51
RELIANCE 0.19 0.18 RUCHISOYA 46.63
BANKNIFTY 1.56 0.68 INDIACEM 38.33
SBIN 1.35 0.65 AMBUJACEM 48.63
TATAMOTORS 1.11 0.43 ACC 31.09
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 19-Aug-2010 Turnover on 19-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 582971 15280 5.73
2562.55 2129.56 432.98 655032 18094.79 -0.14
FUTURES
INDEX Stock Futures 884140 26389.13 4.15
10601.06 7411.88 3189.17 2438136 67539.77 5.46
OPTIONS
STOCK Index Options 2844853 77886.95 31.47
3904.55 3583.54 321.02 1391796 38861.46 0.81
FUTURES
STOCK Stock Options 157748 5092.65 -23.33
478.63 486.99 (8.36) 65897 2038.27 2.02
OPTIONS
TOTAL 17546.79 13611.97 3934.82 4550861 126534.29 3.12 Total 4469712 124648.73 17.96
Nifty Spot = 5540.20 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 10.30 Buy 5500 26.45
8.90 91.10 5608.90 17.80 82.20 5482.20
Sell 5700 1.40 Sell 5400 8.65
Buy 5600 10.30 Buy 5500 26.45
9.50 190.50 5609.50 22.45 177.55 5477.55
Sell 5800 0.80 Sell 5300 4.00
Buy 5700 1.40 Buy 5400 8.65
0.60 99.40 5700.60 4.65 95.35 5395.35
Sell 5800 0.80 Sell 5300 4.00
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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