The document provides a summary of derivative market activity in India for July 16, 2010. Open interest for Nifty futures increased slightly while open interest for Mini Nifty futures rose by over 1%. The put-call ratio for Nifty increased from 1.38 to 1.41. FIIs were net sellers of index futures but net buyers of index options and stock futures. Specific stocks like Jindal Steel, Dabur, and Axis Bank saw increases in open interest, while stocks like Polaris, Rolta, and Asian Paint saw decreases.

1. Derivative Report
India Research
July 16, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.66%,
while, Minifty futures open interest increased by 1.27%
as market closed at 5378.75 levels.
 The Nifty July future closed at a premium of 2.80
points, against a premium of 2.30 points in the last
trading session, while the Aug future closed at a
premium of 8.00 points.
 The PCR-OI has increased from 1.38 to 1.41 points.
 The Implied volatility of At-the-money options is
trading around 16.50%
 Few liquid counters where cost-of-carry is positive are
INDIAINFO, PFC, BRFL, KOTAKBANK and ALBK.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FII’s continue to remain buyers in cash market
segment but interestingly are now shorting some
JINDALSWHL 134250 32.59 1824.70 3.88
index futures. Also yesterday’s data indicate that
DABUR 1378000 23.70 212.40 -0.79 they have bought 5100 put options.
BANKINDIA 2762000 17.33 390.60 2.36
 5400-5500 is profit booking zone for the market
UNIONBANK 2800000 16.96 325.40 4.08 and we don’t see significant upside above 5400.
AXISBANK 5167250 16.87 1350.30 2.73  Rally in UNITECH has been predominantly because
of short covering. 85-86 is strong resistance; we
OI Losers expect formation of shorts to pull stock down to 77-
OI PRICE 78 levels. Trade with negative bias or buy 80 put
SCRIP OI CHANGE PRICE CHANGE option around 1.50 INR.
(%) (%)
 ASHOKLEY has shown phenomenal run from lower
POLARIS 3650000 -10.01 193.15 -6.87 levels of 62. We don’t expect further upside as
ROLTA 2324000 -9.57 181.35 -0.30 many longs now standing in it. We suggest
squaring off of longs in this counter.
ASIANPAINT 31625 -8.99 2440.15 1.04
 BEML has added significant OI around 1000 level
PATNI 1749000 -8.09 529.75 0.45
and prices have just started to inch up. We expect
SAMRUDDHI 36000 -7.69 474.40 0.70 1060 to be achieved. Trade with positive bias.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.41 1.22 LICHSGFIN 42.28
RELIANCE 0.17 0.20 NAGARCONST 39.67
BANKNIFTY 2.35 1.06 UNIONBANK 33.42
TATASTEEL 0.60 0.30 POLARIS 61.19
ONGC 0.84 0.30 BPCL 64.97
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 15-July-2010 Turnover on 15-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 472863 11851.82 4.26
1040.37 1498.08 (457.72) 643447 17243.54 1.68
FUTURES
INDEX Stock Futures 560179 16388.43 -10.71
6841.60 5447.68 1,393.93 2001274 53790.17 2.38
OPTIONS
STOCK Index Options 1761221 47251.08 -7.47
1167.19 1342.42 (175.23) 1184973 31970.25 1.61
FUTURES
STOCK Stock Options 114504 3605.04 -12.71
99.33 130.62 (31.29) 55529 1553.07 3.01
OPTIONS
TOTAL 9148.49 8418.80 729.69 3885223 104557.03 2.04 Total 2908767 79096.36 -6.85
Nifty Spot = 5378.75 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 57.70 Buy 5300 41.35
37.50 62.50 5437.50 20.65 79.35 5279.35
Sell 5500 20.20 Sell 5200 20.70
Buy 5400 57.70 Buy 5300 41.35
52.90 147.10 5452.90 30.50 169.50 5269.50
Sell 5600 4.80 Sell 5100 10.85
Buy 5500 20.20 Buy 5200 20.70
15.40 84.60 5515.40 9.85 90.15 5190.15
Sell 5600 4.80 Sell 5100 10.85
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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