1. Derivative Report
India Research
Comments June 22, 2010
 The Nifty futures’ open interest decreased by 0.46%, Nifty Vs OI
while, Minifty futures open interest increased by 8.64%
as market closed at 5353.30 levels.
 The Nifty June future closed at a premium of 4.35
points, as against a discount of 1.45 points in the last
trading session, while the July future closed at a
premium of 11.10 points.
 The PCR-OI increased from 1.67 to 1.76 points.
 The Implied volatility of At-the-money options
increased from 16.00% to 17.50%.
 Rollover for Nifty futures is 27.16% and for Minifty
futures it is 37.61%
 The total OI of the market is Rs.1,53,834cr and the
stock futures OI is Rs37,822cr.
 Some liquid counters where cost of carry is positive are
GMRINFRA, DCHL, WELCORP, IDEA and BHARTIARTL.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE View
(%) (%)
 FIIs have again formed some long positions in the
CESC 569500 31.43 386.30 0.39 Index Futures, with significant buying in the Index
options. They were net buyers of Rs1564 in the cash
BGRENERGY 212400 25.16 772.85 1.95
market segment.
TATATEA 888350 24.99 1183.90 4.59
 Yesterday, a huge build-up has taken place in the
PATNI 1804600 23.76 537.65 -3.86 5300 and 5400 Put options, at the same time,
DCHL 2683400 19.08 124.70 0.12
unwinding in the 5200 and 5300 calls continued.
 BANKINDIA is showing strength, some long
OI Losers formations from lower levels have also been
OI PRICE observed. We may see a positive move up-to
SCRIP OI CHANGE PRICE CHANGE Rs370. Positional traders can form long positions
(%) (%) with the stop loss of Rs324.
TCS 4262500 -17.51 787.70 0.57  CAIRN is showing resistance around current levels.
We do not expect significant positive move from
IOB 4329800 -17.31 103.15 2.84
here. Traders can trade with negative bias for the
DABUR 654300 -16.90 191.15 2.69 target of Rs296, with the stop loss of Rs317.
GESHIP 868000 -16.52 307.55 3.05
INFOSYSTCH 2506525 -14.39 2800.80 0.52
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.76 1.02 SESAGOA 76.28
RELIANCE 0.37 0.32 STER 64.97
TATASTEEL 0.56 0.28 ABIRLANUVO 39.96
ONGC 0.97 0.38 TATASTEEL 52.91
RCOM 0.88 0.49 TATATEA 38.46
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2. Derivative Report | India Research
FII Statistics for 21-June-2010 Turnover on 21-June-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 720715 18146.68 21.86
3587.25 3161.73 425.52 592670 15782.40 3.99
FUTURES
INDEX Stock Futures 871065 25841.14 17.93
7541.99 6450.49 1,091.50 2206206 59016.39 4.35
OPTIONS
STOCK Index Options 2725795 72042.41 25.36
5577.81 5773.31 (195.50) 1084981 30812.40 0.18
FUTURES
STOCK Stock Options 114074 3738.96 -14.65
245.11 245.96 (0.85) 47701 1587.75 0.01
OPTIONS
TOTAL 16952.16 15631.49 1,320.67 3931558 107198.94 3.06 Total 4431649 119769.19 21.40
Nifty Spot = 5353.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 19.65 Buy 5300 16.55
17.45 82.55 5417.45 11.75 88.25 5288.25
Sell 5500 2.20 Sell 5200 4.80
Buy 5400 19.65 Buy 5300 16.55
19.25 180.75 5419.25 14.10 185.90 5285.90
Sell 5600 0.40 Sell 5100 2.45
Buy 5500 2.20 Buy 5200 4.80
1.80 98.20 5501.80 2.35 97.65 5197.65
Sell 5600 0.40 Sell 5100 2.45
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation
Nifty Put-Call Analysis
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3. Derivative Report | India Research
Strategy Date Scrip Strategy Status
31-May-2010 Nifty Long Put Ladder Continue
07-Jun-2010 HINDUNILVR Ratio Put Spread Continue
07-Jun-2010 RCOM Ratio Put Spread Continue
14-Jun-2010 HINDALCO Ratio Call Spread Continue
14-Jun-2010 LT Short Straddle Loss Booked on 17-Jun-2010
21-Jun-2010 ICICIBANK Long Put Did not trigger
21-Jun-2010 ASHOKLEY Long Call Continue
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