The derivative report provides an analysis of the Indian derivatives market for July 07, 2010. It summarizes that the Nifty futures open interest decreased by 1.29% while the Minifity futures open interest increased by 5%. Key gainers in open interest were Hexaware, IOB, and PNB. Key losers were Bosch, Samruddhi, and Ashok Leyland. The report also provides analysis of specific stocks and strategies, noting some trades such as long put positions in Reliance and put hedges in Nifty.

1. Derivative Report
India Research
July 07, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 1.29%,
while Minifty futures’ open interest increased by 5.00%
as market closed at 5289.05 levels.
 The Nifty July future closed at a premium of 17.85
points, against a premium of 13.20 points in the last
trading session, while the Aug future closed at a
premium of 21.75 points.
 The PCR-OI increased from 1.27 to 1.29 points.
 The Implied volatility of At-the-money options has
decreased from 20.50% to 18%.
 The total OI of the market is Rs1,31,857cr and the
stock futures OI is Rs36,573cr.
 Some liquid counters where cost of carry is positive are
KSOILS, DISHTV, PRAJIND, GVKPIL and TTML.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
 Yesterday, significant short covering was seen from
(%) (%)
FII’s side. They also bought of Rs342cr in the cash
HEXAWARE 1484000 33.94 78.65 1.55 market segment.
IOB 4168000 31.57 107.95 5.01
 Yesterday, some unwinding was observed in the
PNB 1945500 21.27 1074.95 0.02 5200 and 5300 call options, as market gave a
positive move after some time. Still it is in range of
DABUR 1000000 19.33 205.75 1.78
5200 and 5400. The 5400 call continued to add
COREPROTEC 6657000 19.05 241.55 -0.12 open interest and many put options also showed
some build-up.
OI Losers
 In past few trading sessions, short positions have
OI PRICE been formed in INDIAINFO. Even yesterday the
SCRIP OI CHANGE PRICE CHANGE stock added around 6% open interest and CoC has
(%) (%)
also increased. We expect some positive move in
BOSCHLTD 12625 -19.20 5621.70 3.97 the counter up to Rs100. Therefore, traders can
trade with positive bias around 93-94 level with the
SAMRUDDHI 38000 -14.61 480.05 1.42
stop loss of Rs91.
ASHOKLEY 19668000 -11.37 67.10 2.44
 Traders can trade with positive bias in HDIL around
BANKINDIA 1730000 -7.49 373.90 2.55 Rs241-243, with the stop loss of Rs 235. The stock
OPTOCIRCUI 591000 -6.19 239.75 0.48 may show a positive move up to Rs257.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 1.06 ROLTA 32.56
RELIANCE 0.22 0.26 IOB 39.81
BANKNIFTY 4.15 0.81 BHARATFORG 47.04
TATASTEEL 0.32 0.19 SUNPHARMA 29.14
SBIN 0.78 0.42 BOSCHLTD 36.23
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2. Derivative Report | India Research
FII Statistics for 06-July-2010 Turnover on 06-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 454376 11051.91 60.76
1769.46 708.52 1,060.94 693479 18306.57 -3.95
FUTURES
INDEX Stock Futures 417810 11617.71 39.06
3038.71 3278.67 (239.96) 1772056 46823.85 1.16
OPTIONS
STOCK Index Options 1329585 35016.16 87.83
645.34 791.52 (146.17) 1123123 29449.88 0.83
FUTURES
STOCK Stock Options 66859 1966.57 1.76
58.57 89.63 (31.07) 45497 1276.55 3.01
OPTIONS
TOTAL 5512.08 4868.34 643.74 3634155 95856.84 0.06 Total 2268630 59652.35 66.61
Nifty Spot = 5289.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 99.25 Buy 5200 61.40
50.00 50.00 5350.00 21.20 78.80 5178.80
Sell 5400 49.25 Sell 5100 40.20
Buy 5300 99.25 Buy 5200 61.40
80.25 119.75 5380.25 37.00 163.00 5163.00
Sell 5500 19.00 Sell 5000 24.40
Buy 5400 49.25 Buy 5100 40.20
30.25 69.75 5430.25 15.80 84.20 5084.20
Sell 5500 19.00 Sell 5000 24.40
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 Nifty Put Hedge Continue
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