The document provides a summary of derivative market activity in India for July 02, 2010. Open interest in Nifty futures increased slightly while decreasing for Mini Nifty futures. The Nifty July future traded at a premium. Put-call ratios were stable and implied volatility increased. Several individual stocks saw increases or decreases in open interest.

1. Derivative Report
India Research
July 02, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.66%,
while Minifty futures’ open interest decreased by
11.65% as market closed at 5251.40 levels.
 The Nifty July future closed at a premium of 6.90
points, against a premium of 3.75 points in the last
trading session, while the Aug future closed at a
premium of 10.85 points.
 The PCR-OI is at the same level of 1.30 points.
 The Implied volatility of At-the-money options has
increased from 19% to 20%.
 The total OI of the market is Rs1,24,101cr and the
stock futures OI is Rs35,294cr.
 Some liquid counters where cost of carry is positive are
DISHTV, KFA, NEYVELILIG, ROLTA and MLL.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  Although FIIs have formed significant short
(%) (%) positions in the Index futures and the Stock futures,
GRASIM 357125 20.80 1845.40 0.97
they are not selling in a big way in the cash market
segment. Lots of their activities were seen in the
SAMRUDDHI 21500 19.44 476.20 -2.64 Stock options.
NEYVELILIG 1468000 11.72 160.05 2.50
 Yesterday, mainly 5300 call options and many put
ORIENTBANK 931000 10.97 318.90 -2.25 options added considerable open interest. As was
yesterday, we may see a range bound market in
BAJAJ-AUTO 627375 9.73 2494.55 0.28
today’s trading session too.
OI Losers  In the past few trading sessions, PTC is showing
OI PRICE continuous build-up. Rs98-99 is the good support
SCRIP OI CHANGE PRICE CHANGE zone for the stock. We advise positional traders to
(%) (%) form long positions for the target of Rs105, with the
stop loss of Rs96.
SUNTV 283000 -10.30 431.05 -1.36
UNIONBANK 1052000 -9.08 313.50 0.79  Some stock options where significant activity was
visible are ICICIBANK, INFOSYSTCH, NTPC,
PFC 828000 -8.61 298.25 -0.63 RELIANCE and SBIN.
ZEEL 1640000 -7.81 298.85 -1.97
OPTOCIRCUI 655000 -7.62 238.05 -0.92
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.30 0.99 PNB 26.31
RELIANCE 0.21 0.29 MCLEODRUSS 52.65
BANKNIFTY 4.54 0.47 SIEMENS 29.64
ONGC 1.03 0.47 NEYVELILIG 28.86
TATASTEEL 0.34 0.40 LUPIN 22.51
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2. Derivative Report | India Research
FII Statistics for 01-July-2010 Turnover on 01-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 678245 16484.79 -0.35
1042.57 2628.51 (1,585.94) 710222 18542.73 4.97
FUTURES
INDEX Stock Futures 551354 15950.48 -13.08
5405.62 4715.27 690.35 1693860 44432.63 2.82
OPTIONS
STOCK Index Options 1540311 40714.58 -4.23
781.15 1325.17 (544.03) 1098750 28612.99 1.44
FUTURES
STOCK Stock Options 98077 2886.94 -4.39
314.68 88.12 226.57 41415 1152.91 39.10
OPTIONS
TOTAL 7544.02 8757.07 (1,213.05) 3544247 92741.25 3.12 Total 2867987 76036.79 -5.46
Nifty Spot = 5251.40 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 89.90 Buy 5200 94.00
43.90 56.10 5343.90 28.55 71.45 5171.45
Sell 5400 46.00 Sell 5100 65.45
Buy 5300 89.90 Buy 5200 94.00
71.15 128.85 5371.15 50.35 149.65 5149.65
Sell 5500 18.75 Sell 5000 43.65
Buy 5400 46.00 Buy 5100 65.45
27.25 72.75 5427.25 21.80 78.20 5078.20
Sell 5500 18.75 Sell 5000 43.65
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
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