1. Derivative Report
India Research
July 13, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.28%,
while, Minifty futures open interest increased by 7.65%
as market closed at 5383.00 levels.
 The Nifty July future closed at a discount of 1.80
points, against a premium of 1.60 points in the last
trading session, while the Aug future closed at a
discount of 0.35 points.
 The PCR-OI has increased from 1.31 to 1.33 points.
 The Implied volatility of At-the-money options has
decreased from 17.70% to 16.20%.
 The total OI of the market is Rs1,42,257cr and the
stock futures OI is Rs39,076cr.
 Few liquid counters where cost of carry is positive are
KSOILS, KFA, GTL, STERLINBIO and ISPATIND.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs continued their buying in the Index futures and
the stock futures. They were net buyers of Rs1002cr
ROLTA 2808000 27.52 183.80 4.70
in the cash market segment. As suggested by
DENABANK 8124000 27.34 98.40 5.30 SGX Nifty, we may see an opening around 5400
mark.
POLARIS 4184000 20.58 213.50 9.21
HDFCBANK 3702125 19.36 2049.45 2.33  Yesterday, some unwinding was visible in the 5300
call option; however, buildup was observed in the
UNIONBANK 1961000 18.20 311.90 -0.13
5500 call, and 5400 and 5500 put options. At such
low IVs of 16%-16.50%, we believe it is mainly
OI Losers buying of the options. Therefore, buying of
OI PRICE 5400 put option is advisable to trade with negative
SCRIP OI CHANGE PRICE CHANGE bias.
(%) (%)
 Continuous build-up was observed in
CESC 589000 -17.51 414.75 2.67 NAGARCONST and the stock has been moving in a
YESBANK 6598000 -9.64 285.85 0.05 very narrow range in the past few trading sessions.
We expect a positive move in the counter up-to
BOSCHLTD 14125 -8.87 5758.90 0.28 Rs193-195. Therefore, trading with a positive bias
OPTOCIRCUI 512000 -7.41 259.55 6.57 is advisable, with the stop loss of Rs180.
CAIRN 11252000 -6.81 311.90 3.55
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.33 1.14 OPTOCIRCUI 38.97
RELIANCE 0.17 0.23 POLARIS 54.83
BANKNIFTY 3.00 0.68 EDUCOMP 49.14
TATASTEEL 0.52 0.31 DENABANK 41.45
ONGC 0.93 0.38 ROLTA 36.73
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2. Derivative Report | India Research
FII Statistics for 12-July-2010 Turnover on 12-July-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 493124 12334.36 16.96
1910.80 1301.38 609.43 601088 16092.57 -2.90
FUTURES
INDEX Stock Futures 545709 15913.31 -1.30
5240.77 4846.54 394.24 1886721 50746.78 0.87
OPTIONS
STOCK Index Options 1610537 42927.63 18.79
1604.89 1014.58 590.31 1151054 30935.36 1.39
FUTURES
STOCK Stock Options 109580 3368.60 -4.94
112.53 122.61 (10.08) 50344 1406.96 3.82
OPTIONS
TOTAL 8869.00 7285.10 1,583.89 3689207 99181.66 0.44 Total 2758950 74543.90 12.35
Nifty Spot = 5383.00 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 65.45 Buy 5300 49.90
39.10 60.90 5439.10 21.10 78.90 5278.90
Sell 5500 26.35 Sell 5200 28.80
Buy 5400 65.45 Buy 5300 49.90
56.90 143.10 5456.90 33.65 166.35 5266.35
Sell 5600 8.55 Sell 5100 16.25
Buy 5500 26.35 Buy 5200 28.80
17.80 82.20 5517.80 12.55 87.45 5187.45
Sell 5600 8.55 Sell 5100 16.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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
28-June-2010 RELIANCE Long Put Continue
05-July 2010 NIFTY Put Hedge Continue
12-Jun-2010 RENUKA Long Call Continue
12-Jun-2010 ITC Long Put Continue
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