1. Derivative Report
India Research
Aug 26, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 2.74%
while Minifty futures’ open interest decreased by
12.37% as market closed at 5462.35 levels.
 The Nifty Aug future closed at a premium of 7.50
points, against a premium of 5.25 points in the last
trading session. On the other hand, Sep future closed
at a premium of 11.75 points.
 The PCR-OI decreased from 1.73 to 1.71 points.
 The Implied volatility of At-the-money options
increased from 15.50% to 16.50%.
 The total OI of the market is Rs1,98,065cr and the
stock futures OI is Rs51,100cr.
 Rollover for Nifty futures is 59.11%, for Minifty futures
is 51.87%. Rollover for BANKNIFTY futures is 55.95%
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs did some profit booking in the Index futures
PATELENG 1216500 9.35 376.15 -3.74 and the stock futures. Yesterday, after a long time,
their cash base selling was visible of Rs365cr.
NAGARCONST 5512000 7.36 154.90 -3.79
 Yesterday, again unwinding was visible in the 5500
CHENNPETRO 1195000 7.08 253.70 -1.30
put option and build up in the 5500 call option. In
ZEEL 2953000 6.41 290.75 -1.71 Sep. expiry the 5500 and 5600 call option and the
5300 and 5400 put options added significant open
HINDPETRO 11048000 6.12 517.10 -0.55
interest.
OI Losers  KSOILS has strong support around current levels.
We expect the stock to hold its support this time too.
OI PRICE
Therefore, positional traders can form long
SCRIP OI CHANGE PRICE CHANGE
(%) (%) positions around Rs50-51 in Sep. futures, for the
target of Rs55, with the stop loss of Rs48.
CROMPGREAV 980000 -18.06 289.05 1.40
 Market with rollover is 62.35%, slightly less in
PETRONET 7800000 -17.34 112.30 -2.09 comparison to last month of 64.73%. Few Financial
BHUSANSTL 315125 -13.31 1822.15 -1.17 stocks where Rollover is less over last month are
HDFC, HDFCBANK, ICICIBANK and SBIN.
BEML 231000 -13.08 1022.10 0.16
ACC 2006750 -12.50 868.90 0.36
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.71 1.25 JINDALSAW 24.73
RELIANCE 0.18 0.24 NATIONALUM 39.57
BANKNIFTY 1.80 0.99 PATELENG 31.88
SBIN 1.45 0.39 TATAPOWER 15.90
TATAMOTORS 0.81 0.56 GLAXO 27.45
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2. Derivative Report | India Research
FII Statistics for 25-Aug-2010 Turnover on 25-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 899134 23643.39 2.07
6577.57 7466.00 (888.43) 700041 19110.36 -3.17
FUTURES
INDEX Stock Futures 1360855 39776.98 10.38
8149.65 5595.17 2554.48 2915829 79637.12 4.20
OPTIONS
STOCK Index Options 2621503 71746.56 4.88
8523.70 8812.09 (288.39) 1406496 38696.73 -0.80
FUTURES
STOCK Stock Options 137994 4483.24 -3.99
43.62 45.14 (1.52) 67440 2050.67 -1.35
OPTIONS
TOTAL 23294.55 21918.41 1376.14 5089806 139494.88 1.64 Total 5019486 139650.17 5.57
Nifty Spot = 5462.35 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 7.65 Buy 5400 3.00
7.45 92.55 5507.45 2.50 97.50 5397.50
Sell 5600 0.20 Sell 5300 0.50
Buy 5500 7.65 Buy 5400 3.00
7.50 192.50 5507.50 2.55 197.45 5397.45
Sell 5700 0.15 Sell 5200 0.45
Buy 5600 0.20 Buy 5300 0.50
0.05 99.95 5600.05 0.05 99.95 5299.95
Sell 5700 0.15 Sell 5200 0.45
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
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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
23-Aug-2010 ISPATIND Long Call Continue
23-Aug-2010 CAIRN Long Put Continue
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