The document provides a summary of derivative market activity in India for August 27, 2010. Key points include: - Open interest in Nifty futures increased 5.31% while Minifty futures decreased 6.68% as the market closed at 5477.90. - Nifty September futures closed at a discount of 5.95 points and October futures closed at a discount of 3.40 points. - Implied volatility of at-the-money options decreased from 16.50% to 15%. - Rollover for Nifty, Minifty, and Banknifty futures were 76.35%, 70.22%, and 73.36% respectively.

1. Derivative Report
India Research
Aug 27, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 5.31%
while Minifty futures’ open interest decreased by
6.68% as market closed at 5477.90 levels.
 The Nifty Sep future closed at a discount of 5.95
points, against a premium of 11.75 points in the last
trading session. On the other hand, Oct future closed
at a discount of 3.40 points.
 The PCR-OI decreased from 1.71 to 1.67 points.
 The Implied volatility of At-the-money options
decreased from 16.50% to 15.00%.
 The total OI of the market is Rs2,01,134cr and the
stock futures OI is Rs51,308cr.
 Rollover for Nifty futures is 76.35%, for Minifty futures
is 70.22% and Banknifty roll-over is 73.36%.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  Some FIIs selling was visible in the Index futures
BOSCHLTD 53625 39.29 5802.95 -2.69 and the stock futures. They were net buyers of
Rs277cr in the cash market segment. As suggested
CROMPGREAV 1333000 36.02 305.95 5.85 by SGX Nifty we may see flattish to negative
DCHL 6298000 26.98 127.55 -4.56 opening.
CHENNPETRO 1511000 26.44 251.95 -0.69  Yesterday, build up was visible in most of the call
and put options. In stock options, RELIANCE 1000
OFSS 265625 21.43 2097.15 2.34
call and TATASTEEL 520 and 540 calls have
significant open interest.
OI Losers
 This time also, we have observed a good rollover of
OI PRICE
positions. Market wide rollover is 82.73% against
SCRIP OI CHANGE PRICE CHANGE
(%) (%) 84% last month. Amongst large-cap, rollover in
GAIL is less (65.53%) against 77.59% last month.
OPTOCIRCUI 1103000 -23.46 282.05 2.06
 BHEL is showing immediate support around 2450.
PETRONET 6432000 -17.54 109.80 -2.23 A negative move around 2450-2460 levels can be
VOLTAS 1896000 -15.28 206.55 1.27 used to form long positions for the target of
Rs2520, with the stop loss of Rs2430.
RNRL 33568000 -15.06 37.45 -1.96
NATIONALUM 2217000 -14.76 409.90 -2.58
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.67 1.07 CROMPGREAV 39.00
RELIANCE 0.16 0.34 NTPC 17.54
BANKNIFTY 1.79 1.16 TECHM 30.50
SBIN 1.52 0.34 DCHL 40.89
TATAMOTORS 0.75 0.42 BEML 17.01
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 26-Aug-2010 Turnover on 26-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 861876 22723.82 -3.89
3925.05 4163.38 (238.33) 578496 15763.60 -17.36
FUTURES
INDEX Stock Futures 1667382 47901.77 20.43
5113.80 4212.67 901.13 2044675 56003.35 -29.88
OPTIONS
STOCK Index Options 2922085 79838.83 11.28
7363.49 7580.36 (216.87) 1237864 33945.50 -11.99
FUTURES
STOCK Stock Options 171569 5718.37 27.55
63.11 155.99 (92.88) 11659 344.96 -82.71
OPTIONS
TOTAL 16465.45 16112.40 353.05 3872694 106057.42 -23.91 Total 5622912 156182.79 11.84
Nifty Spot = 5477.90 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 85.95 Buy 5400 81.95
45.05 54.95 5545.05 25.75 74.25 5374.25
Sell 5600 40.90 Sell 5300 56.20
Buy 5500 85.95 Buy 5400 81.95
69.90 130.10 5569.90 44.55 155.45 5355.45
Sell 5700 16.05 Sell 5200 37.40
Buy 5600 40.90 Buy 5300 56.20
24.85 75.15 5624.85 18.80 81.20 5281.20
Sell 5700 16.05 Sell 5200 37.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September 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 Loss on expiry
09-Aug-2010 RELIANCE Long Call Loss on expiry
09-Aug-2010 ICICIBANK Ratio Put Spread Loss on expiry
16-Aug-2010 NTPC Covered Call Writing Expired in profit
16-Aug-2010 LT Long Call Profit booked on 20-Aug-2010
23-Aug-2010 ISPATIND Long Call Expired in marginal loss
23-Aug-2010 CAIRN Long Put Loss on expiry
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