The document provides a summary of derivative market activity in India for June 29, 2010. Open interest in Nifty futures increased by 2.52% while open interest in Mini Nifty futures rose by 13.22%. Key points covered include changes in open interest and premium levels for various contracts, implied volatility, total open interest in the market, and top gainers and losers by change in open interest.

1. Derivative Report
India Research
June 29, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.52%,
while, Minifty futures open interest increased by
13.22% as market closed at 5333.50 levels.
 The Nifty July future closed at a premium of 6.45
points, against a premium of 14.65 points in the last
trading session, while the Aug future also closed at a
premium of 9.30 points.
 The PCR-OI is at the same level 1.29 points.
 The Implied volatility of At-the-money options is 18%.
 The total OI of the market is Rs.1,10,518cr and the
stock futures OI is Rs33,453cr.
 Some liquid counters where cost of carry is positive are
FSL, KSOILS, NOIDATOLL, MOSERBEAR and
FEDERALBANK.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  In the last trading session, FIIs were more active in
(%) (%) Option segment in comparison with Futures. Their
buying was Rs793cr in the cash market segment.
COREPROTEC 3839000 404.47 239.25 3.55
Global cues are suggesting a flattish opening
ORBITCORP 489000 117.33 278.90 4.03 today.
JISLJALEQS 101750 42.31 1105.60 -0.71  Put options continued to add significant open-
BGRENERGY 351500 30.43 708.50 1.15 interest. However, some build-up was visible in
most of the Call options.
ABGSHIP 352000 24.82 265.95 -0.88
 Continuous short formations were visible in
OI Losers JINDALSTEL. Yesterday, the stock added around
12% OI, which we believe is the long formations
OI PRICE from lower levels. Therefore, it is advisable for
SCRIP OI CHANGE PRICE CHANGE positional traders to form long positions around
(%) (%)
Rs 636, for the target of Rs668, with the stop loss of
GTLINFRA 30488000 -11.33 47.10 3.86 Rs628.
BPCL 3251500 -8.25 642.50 3.51  Yesterday, a long formation was visible in ROLTA.
GMRINFRA 30360000 -6.03 58.15 1.75
Positive move up-to Rs180 can be expected.
Traders can trade with positive bias with the stop
PUNJLLOYD 16264000 -5.77 134.55 4.42 loss of Rs165.
TRIVENI 5374000 -4.99 101.85 6.15
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.29 1.18 BALRAMCHIN 55.43
RELIANCE 0.20 0.18 AUROPHARMA 32.07
BANKNIFTY 6.29 0.33 TITAN 25.30
ONGC 1.06 0.69 VIDEOIND 41.84
TATASTEEL 0.40 0.28 EXIDEIND 34.80
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2. Derivative Report | India Research
FII Statistics for 28-June-2010 Turnover on 28-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 451798 11063.91 -33.35
1000.29 975.08 25.21 654950 17353.82 -0.96
FUTURES
INDEX Stock Futures 535899 15847.27 -13.19
3859.73 3481.99 377.74 1494946 39828.62 2.48
OPTIONS
STOCK Index Options 1147215 30516.21 -23.47
950.01 1000.42 (50.41) 1053733 27859.50 1.40
FUTURES
STOCK Stock Options 87842 2739.34 1.78
238.31 62.92 175.38 24330 718.95 63.63
OPTIONS
TOTAL 6048.33 5520.41 527.93 3227959 85760.89 1.70 Total 2222754 60166.73 -22.29
Nifty Spot = 5333.50 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5400 76.50 Buy 5300 95.15
39.00 61.00 5439.00 29.25 70.75 5270.75
Sell 5500 37.50 Sell 5200 65.90
Buy 5400 76.50 Buy 5300 95.15
60.20 139.80 5460.20 50.05 149.95 5249.95
Sell 5600 16.30 Sell 5100 45.10
Buy 5500 37.50 Buy 5200 65.90
21.20 78.80 5521.20 20.80 79.20 5179.20
Sell 5600 16.30 Sell 5100 45.10
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
28-July-2010 Reliance Long Put Continue
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