The document provides a summary of derivative market activity in India for August 23, 2010. Key points include: - Nifty futures open interest increased 0.81% while Mini Nifty interest decreased 0.71% as the market closed at 5530.65. - Nifty August futures closed at a discount of 8.10 points and September futures closed at a discount of 0.05 points. - Put-call ratio for Nifty increased to 1.65 from 1.60. Implied volatility of at-the-money options decreased to 11.50% from 12%. - Total open interest in the market was Rs. 1,90,972 cr and stock futures open interest was Rs.

1. Derivative Report
India Research
Aug 23, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.81%
while Minifty futures’ open interest decreased by
0.71% as market closed at 5530.65 levels.
 The Nifty Aug future closed at a discount of 8.10
points, against a discount of 12.50 points in the last
trading session. On the other hand, Sep future closed
at a discount of 0.05 points.
 The PCR-OI increased from 1.60 to 1.65 points.
 The Implied volatility of At-the-money options
decreased from 12% to 11.50%.
 The total OI of the market is Rs1,90,972cr and the
stock futures OI is Rs52,394cr.
 Few liquid counters where cost of carry is positive are
ABAN, TRIVENI, KSOILS, TTML and JINDALSWHL.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed some short positions in the Index
JISLJALEQS 133000 46.15 1201.70 -3.54 futures and the stock futures. They continued their
buying in the Index options and were net buyers of
APOLLOTYRE 11776000 27.23 71.85 5.35 Rs663cr in the cash market segment.
CROMPGREAV 1120000 24.72 285.25 -2.68
 In the last trading session, unwinding in most of the
UNITECH 80532000 19.13 85.10 1.61 Call options and build-up in 5500 put option was
visible. In September series, the 5600 call and the
BOSCHLTD 39125 18.11 5962.20 1.97
5300 and 5400 Put options have significant open
interest.
OI Losers
 JPPOWER has significant short positions and the
OI PRICE
stock is trading around its support levels. Some
SCRIP OI CHANGE PRICE CHANGE
(%) (%) buying was also visible from Rs66-67. We may see
a positive move in the stock. Traders can trade with
SRTRANSFIN 117500 -33.62 770.75 5.30 positive bias for the target of Rs70 with the stop loss
RANBAXY 3633000 -14.21 492.60 3.41 of Rs65.50.
GRASIM 504500 -13.35 2094.25 -1.99  Traders can trade with positive bias in DRREDDY
around 1320-1322 for the target of Rs1355-1360
ABAN 2633250 -11.31 833.40 -0.35 with the stop loss of Rs1305.
PFC 1029000 -11.22 333.05 -0.66
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.65 1.28 LT 24.95
RELIANCE 0.19 0.20 SRTRANSFIN 47.91
BANKNIFTY 1.53 1.36 RELMEDIA 42.88
SBIN 1.24 0.59 RANBAXY 30.07
TATAMOTORS 0.98 0.51 LUPIN 25.54
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 20-Aug-2010 Turnover on 20-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 395381 10438.69 -31.68
1183.40 1964.44 (781.04) 677264 18683.89 3.39
FUTURES
INDEX Stock Futures 845595 24754.3 -6.20
7576.99 5825.28 1751.70 2546406 70415.50 4.44
OPTIONS
STOCK
3519.14 3651.84 (132.70) 1412139 39394.83 1.46 Index Options 1917252 52650.85 -32.40
FUTURES
STOCK
506.06 556.19 (50.13) 67315 2061.23 2.15 Stock Options 163444 5232.89 2.75
OPTIONS
TOTAL 12785.59 11997.75 787.83 4703124 130555.46 3.35 Total 3321672 93076.73 -25.33
Nifty Spot = 5530.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 6.20 Buy 5500 23.50
5.15 94.85 5605.15 17.40 82.60 5482.60
Sell 5700 1.05 Sell 5400 6.10
Buy 5600 6.20 Buy 5500 23.50
5.70 194.30 5605.70 21.00 179.00 5479.00
Sell 5800 0.50 Sell 5300 2.50
Buy 5700 1.05 Buy 5400 6.10
0.55 99.45 5700.55 3.60 96.40 5396.40
Sell 5800 0.50 Sell 5300 2.50
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 Profit booked on 20-Aug-2010
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