The document provides a summary of derivative market activity in India for June 25, 2010. Key points include: 1) Nifty futures open interest increased 3.42% while Minifity futures decreased 1.62% as the market closed at 5320.60. 2) Several stocks saw significant changes in open interest, both increases like HCLTECH (112%) and decreases like TATAPOWER (-11.23%). 3) The put-call ratio for Nifty futures increased to 1.87 from 1.84. Historical volatility decreased for some stocks. 4) FIIs were net buyers of stocks and index futures but net sellers of index options and stock futures. Total

1. Derivative Report
India Research
June 25, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 3.42%,
while, Minifty futures open interest decreased by
1.62% as market closed at 5320.60 levels.
 The Nifty July future closed at a discount of 3.75
points, as against a premium of 16.35 points in the
last trading session, while the Aug future also closed at
a same discount of 3.75 points.
 The PCR-OI increased from 1.84 to 1.87 points.
 The Implied volatility of At-the-money options
decreased from 19.00% to 18.00%.
 Rollover for Nifty futures is 70.28% and for Minifty
futures it is 70.83%. Market wide rollover is 82.34%
 The total OI of the market is Rs.1,64,681cr and the
stock futures OI is Rs37,801cr.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  A small buying was visible in the Index Futures from
(%) (%) the FIIs side. They continued shorting Stock futures,
at the same time; their buying was Rs1154cr in the
HCLTECH 6292700 112.00 364.15 -2.31
cash market segment. After a flattish opening
BGRENERGY 466100 68.69 719.20 -3.50 today, we may see some selling pressure in the
market.
GODREJIND 3575900 52.07 170.50 6.66
KOTAKBANK 5787850 47.10 756.10 -3.57  Yesterday, most of the call and put options added
significant open interest. New series data is
BOSCHLTD 24475 28.14 5384.25 -2.54 showing highest buildup in the 5500 call option
and the 5200 Put option.
OI Losers
 In the past few trading sessions, some unwinding
OI PRICE was visible in TATAMOTORS and the stock is
SCRIP OI CHANGE PRICE CHANGE trading on higher side. Positional traders can form
(%) (%)
short positions for the target of Rs740-745 with the
TATAPOWER 1777750 -11.23 1318.95 -0.16 stop loss at Rs810.
IVRCLINFRA 5008000 -10.46 182.95 -0.73  HINDUNILVR gave a positive move only because of
TATACHEM 1497750 -10.19 328.30 2.47
short covering. The stock may give some correction
in the coming trading sessions. Therefore,
DIVISLAB 818000 -10.00 763.25 -1.55 positional traders can form short positions for the
ITC 14753500 -9.87 305.75 0.96
target of Rs250, with the stop loss of Rs277.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.87 1.04 GODREJIND 49.55
RELIANCE 0.32 0.35 STERLINBIO 30.80
TATASTEEL 0.53 0.31 KOTAKBANK 34.92
ONGC 0.94 0.68 ROLTA 32.55
RCOM 0.87 0.31 BEL 30.43
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 24-June-2010 Turnover on 24-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 1100068 27594.53 32.13
6090.39 5868.30 222.08 652402 17241.08 -31.97
FUTURES
INDEX Stock Futures 1186744 34580.69 19.55
8934.74 8689.66 245.08 1348367 35847.77 -42.19
OPTIONS
STOCK Index Options 3354889 89048.55 55.36
4761.67 5714.81 (953.14) 1028538 26938.44 -8.74
FUTURES
STOCK Stock Options 113379 3613.73 13.55
50.32 119.12 (68.80) 9308 256.76 -80.94
OPTIONS
TOTAL 19837.12 20391.89 (554.77) 3038615 80284.04 -31.98 Total 5755080 154837.50 40.36
Nifty Spot = 5320.60 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 71.95 Buy 5300 113.90
36.00 64.00 5436.00 31.80 68.20 5268.20
Sell 5500 35.95 Sell 5200 82.10
Buy 5400 71.95 Buy 5300 113.90
54.95 145.05 5454.95 54.80 145.20 5245.20
Sell 5600 17.00 Sell 5100 59.10
Buy 5500 35.95 Buy 5200 82.10
18.95 81.05 5518.95 23.00 77.00 5177.00
Sell 5600 17.00 Sell 5100 59.10
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
31-May-2010 Nifty Long Put Ladder Expired in marginal profit
07-Jun-2010 HINDUNILVR Ratio Put Spread Expired in marginal Loss
07-Jun-2010 RCOM Ratio Put Spread No profit no loss on expiry
14-Jun-2010 HINDALCO Ratio Call Spread Profit booked on 23-Jun-2010
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 Loss on Expiry
DISCLAIMER:
This document is not for public distribution and has been furnished to you solely for your information and must not be reproduced or redistributed to any other person.
Persons into whose possession this document may come are required to observe these restrictions.
Opinion expressed is our current opinion as of the date appearing on this material only. While we endeavor 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. Prospective investors and others are cautioned that any forward-
looking statements are not predictions and may be subject to change without notice. Our proprietary trading and investment businesses may make investment decisions
that are inconsistent with the recommendations expressed herein.
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 and are for
general guidance only. While every effort is made to ensure the accuracy and completeness of information contained, the company takes no guarantee and assumes no
liability for any errors or omissions of the information. No one can use the information as the basis for any claim, demand or cause of action.
Recipients of this material should rely on their own investigations and take their own professional advice. Each recipient of this document should make such investigations
as it deems necessary to arrive at an independent evaluation of an investment in the securities of 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. Price and value of the investments referred to in this material may
go up or down. Past performance is not a guide for future performance.
Certain transactions - futures, options and other derivatives as well as non-investment grade securities - involve substantial risks and are not suitable for all investors.
Reports based on technical analysis centers on studying charts of a stock's price movement 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.
We do not undertake to advise you as to any change of our views expressed in this document. While we would endeavor to update the information herein on a reasonable
basis, Angel Broking, its subsidiaries and associated companies, their directors and employees are under no obligation to update or keep the information current. Also
there may be regulatory, compliance, or other reasons that may prevent Angel Broking and affiliates from doing so. Prospective investors and others are cautioned that
any forward-looking statements are not predictions and may be subject to change without notice.
Angel Broking Limited and affiliates, including the analyst who has issued this report, may, on the date of this report, and from time to time, have long or short positions
in, and buy or sell the securities of the companies mentioned herein or engage in any other transaction involving such securities and earn brokerage or compensation or
act as advisor or have other potential conflict of interest with respect to company/ies mentioned herein or inconsistent with any recommendation and related information
and opinions.
Angel Broking Limited and 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.
Sebi Registration No.: INB 010996539
Derivative Research Team derivatives.desk@angeltrade.com
For Private Circulation Only SEBI Registration No: INB 010996539 3