The document provides a summary of derivative market activity in India for July 27, 2010. Key points include: - Open interest for Nifty and Mini Nifty futures decreased by 4.23% and 4.53% respectively as the market closed at 5418.60. - Nifty July futures closed at a premium while August futures closed at a higher premium. - Total open interest in the market was Rs. 1,70,070cr with stock futures open interest at Rs. 44,921cr. - Notable gainers in open interest included Maruti, Indian Bank, and CESC while losers included Lupin, Allahabad Bank, and APL Apollo Tubes.

1. Derivative Report
India Research
July 27, 2010
Comments Nifty Vs OI
 The Nifty futures’ open interest decreased by 4.23%,
while Minifty futures open interest decreased by 4.53%
as market closed at 5418.60 levels.
 The Nifty July future closed at a premium of 3.95
points, against a discount of 5.3 points in the last
trading session. On the contrary, Aug future closed at
a premium of 11.65 points.
 The PCR-OI remained same at 1.47 points.
 The Implied volatility of At-the-money options has
increased from 16% to 17.50%.
 The total OI of the market is Rs1,70,070cr and the
stock futures OI is Rs44,921cr.
 Rollover for the Nifty futures is 28.55% and for Minifty
futures it is 43.97%.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
View
(%) (%)  FIIs continued their buying in the Index options.
MARUTI 5361250 49.00 1191.45 -12.28 Yesterday’s weakness in the market was mainly due
to DIIs’ selling. They were net sellers of Rs719cr in
INDIANB 2378000 24.76 221.75 -11.78 the cash market.
CESC 854000 15.09 387.85 -2.51
 Yesterday, unwinding was visible in most of the Call
IFCI 93848000 14.37 61.70 3.78 and Put options of July series. However, many put
BGRENERGY 482000 12.22 711.35 -4.00 options of Aug. series added considerable open
interest.
OI Losers
 After significant long formation with a good positive
OI PRICE move, unwinding was observed around 185 levels
SCRIP OI CHANGE PRICE CHANGE in ALBK. This suggests participants who had longs
(%) (%) were covering their positions. Thus, traders can
LUPIN 448250 -18.94 1965.65 3.61 trade with negative bias for the target of Rs170,
with the stop loss of Rs192.
ALBK 2154000 -17.28 184.55 -0.35
APIL 481500 -12.22 682.40 -3.12  Amongst RELIANCE put options 1050 strike has
highest build-up. We may see further selling
HINDZINC 455500 -11.81 999.30 0.59 pressure in the stock below this level.
ACC 2354000 -11.69 824.05 0.50
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.47 1.09 MARUTI 65.15
RELIANCE 0.18 0.28 HEROHONDA 40.65
BANKNIFTY 2.57 0.82 INDIANB 67.44
TATASTEEL 1.08 0.53 LUPIN 24.87
SBIN 1.02 0.67 JPASSOCIAT 42.67
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 26-July-2010 Turnover on 26-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 539174 13932.88 1.69
4429.93 4415.98 13.96 608905 16425.96 -6.67
FUTURES
INDEX Stock Futures 930536 26419.95 14.63
5113.70 4555.29 558.41 2260206 61203.24 3.28
OPTIONS
STOCK Index Options 1952539 52712.57 -17.96
5682.12 5959.31 (277.19) 1291585 35159.90 0.46
FUTURES
STOCK Stock Options 127404 3850.29 4.70
202.59 286.65 (84.06) 58358 1657.71 1.61
OPTIONS
TOTAL 15428.34 15217.22 211.11 4219054 114446.81 0.84 Total 3549653 96915.69 -7.42
Nifty Spot = 5418.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5500 10.1 Buy 5400 25.45
8.20 91.80 5508.20 20.60 79.40 5379.40
Sell 5600 1.9 Sell 5300 4.85
Buy 5500 10.1 Buy 5400 25.45
9.00 191.00 5509.00 23.80 176.20 5376.20
Sell 5700 1.1 Sell 5200 1.65
Buy 5600 1.9 Buy 5300 4.85
0.80 99.20 5600.80 3.20 96.80 5296.80
Sell 5700 1.1 Sell 5200 1.65
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
05-July 2010 TATASTEEL Put Hedge Profit booked on 13-July-2010
12-Jun-2010 RENUKA Long Call Loss booked on 19-July-2010
12-Jun-2010 ITC Long Put Profit booked on 19-July-2010
19-Jul-2010 SBIN Long Put Loss booked on 22-July-2010
26-Jul-2010 BHARTIARTL Call Hedge Continue
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible
for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel
Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor
make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While
Angel Broking Limited endeavours to update on a reasonable basis the information discussed in this material, there may be
regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment banking or
other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of this report or
in the past.
Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or
in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).
Derivative Research Team derivatives.desk@angeltrade.com
For Private Circulation Only SEBI Registration No: INB 010996539 3