The summary discusses the Indian derivatives market activity for July 14, 2010. Open interest for Nifty futures increased by 2.49% while Minifity futures increased by 9.12%. Nifty July futures closed at a premium while August futures closed at a higher premium. Put-call ratios increased slightly. Implied volatility decreased. Several stocks saw significant changes in their open interest such as increases for PFC, JINDALSWHL, and decreases for CROMPGREAV. The document provides analysis of spreads, historical volatility, and previous trading strategies.

1. Derivative Report
India Research
July 14, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.49%,
while, Minifty futures open interest increased by 9.12%
as market closed at 5400.65 levels.
 The Nifty July future closed at a premium of 16.45
points, against a discount of 1.80 points in the last
trading session, while the Aug future closed at a
premium of 19.85 points.
 The PCR-OI has increased from 1.33 to 1.36 points.
 The Implied volatility of At-the-money options has
decreased from 16.20% to 15.50%.
 The total OI of the market is Rs1,46,078cr and the
stock futures OI is Rs39,999cr.
 Few liquid counters where cost-of-carry is positive are
GVKPIL, TTML, TV-18, MLL and TRIVENI.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FII’s small selling was seen in the Futures segment.
They were net buyers of Rs785cr in the cash market
PFC 1202000 59.63 315.30 3.43
segment.
JINDALSWHL 105125 52.36 1800.40 7.19
 On the option front, build-up was visible in the
SOBHA 148000 38.32 328.75 3.61
5500 call option and the 5400 and 5500 put
ORBITCORP 1822000 34.37 143.10 3.81 options.
BGRENERGY 381500 24.88 758.05 1.07  We have observed strong buildup in PNB before
4-5 trading sessions and stock is moving around
OI Losers those levels. We expect a positive move in the
OI PRICE counter up-to Rs1085. Therefore, traders can trade
SCRIP OI CHANGE PRICE CHANGE with positive bias in the stock with the stop loss of
(%) (%) Rs1045.
CROMPGREAV 1426000 -16.90 265.05 1.65  Significant short positions exist in PATNI and the
CESC 502000 -14.77 419.80 1.22 stock is showing strong support around Rs505-510.
Positive move of Rs550 cannot be ruled out.
EXIDEIND 2048000 -9.38 135.90 2.53 Positional traders can form long around 510-515,
EDUCOMP 3413000 -7.92 598.65 3.75 with the stop loss of Rs500.
IBREALEST 24540000 -7.87 172.15 2.35
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.36 1.17 FINANTECH 25.77
RELIANCE 0.17 0.18 MARUTI 27.18
BANKNIFTY 2.47 0.58 FORTIS 37.59
TATASTEEL 0.59 0.30 MRPL 47.55
ONGC 0.92 0.58 SUNPHARMA 26.34
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 13-July-2010 Turnover on 13-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 502618 12649.76 2.56
1414.98 1464.71 (49.72) 625904 16876.23 4.13
FUTURES
INDEX Stock Futures 623653 17951.58 12.81
5017.02 4964.54 52.48 1908502 51502.06 1.15
OPTIONS
STOCK Index Options 1690082 45178.12 5.24
1352.06 1576.82 (224.76) 1162760 31540.35 1.02
FUTURES
STOCK Stock Options 147070 4492.54 33.37
139.31 168.82 (29.51) 51813 1465.97 2.92
OPTIONS
TOTAL 7923.37 8174.88 (251.51) 3748979 101384.61 1.62 Total 2963423 80272.00 7.68
Nifty Spot = 5400.65 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 79.45 Buy 5300 35.40
46.60 53.40 5446.60 15.70 84.30 5284.30
Sell 5500 32.85 Sell 5200 19.70
Buy 5400 79.45 Buy 5300 35.40
69.25 130.75 5469.25 24.80 175.20 5275.20
Sell 5600 10.20 Sell 5100 10.60
Buy 5500 32.85 Buy 5200 19.70
22.65 77.35 5522.65 9.10 90.90 5190.90
Sell 5600 10.20 Sell 5100 10.60
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
For Private Circulation Only SEBI Registration No: INB 010996539 2

3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
28-June-2010 RELIANCE Long Put Continue
05-July 2010 TATASTEEL Put Hedge Profit booked on 13-July-2010
12-Jun-2010 RENUKA Long Call Continue
12-Jun-2010 ITC Long Put Continue
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