The document provides a summary of derivative market activity in India as of June 30, 2010. Key points include: - Nifty futures open interest increased 1.72% while Mini Nifty interest decreased 16.07% as the market closed at 5256.15. - The Nifty July future closed at a premium of 10.30 points and the August future at a premium of 10.75 points. - Implied volatility of at-the-money options increased from 18% to 19%. - Total open interest in the market was Rs. 1,14,659 crore with stock futures open interest at Rs. 33,488 crore. - Some stocks with positive cost of carry included

1. Derivative Report
India Research
June 30, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.72%,
while, Minifty futures open interest decreased by
16.07% as market closed at 5256.15 levels.
 The Nifty July future closed at a premium of 10.30
points, against a premium of 6.45 points in the last
trading session, while the Aug future also closed at a
premium of 10.75 points.
 The PCR-OI has decreased from 1.29 to 1.26 points.
 The Implied volatility of At-the-money options has
increased from 18% to 19%.
 The total OI of the market is Rs1,14659cr and the
stock futures OI is Rs33,488cr.
 Some liquid counters where cost of carry is positive are
MOSERBEAR, TV-18, KSOILS, PANTALOONR and
CHAMBLFERT.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed short positions in the Index futures.
At the same time, they were buying Index options to
ORBITCORP 882000 80.37 137.85 -50.57
hedge their shorts. They were net sellers of Rs261cr
GMDCLTD 1212000 44.63 129.25 0.35 in the cash market segment.
COREPROTEC 4929000 28.39 244.25 2.09  In the last trading session, most of the Call options
SAIL 8035000 14.67 192.90 -3.02 added significant open interest. On the other side,
the 5200 put continued to add open interest while,
EXIDEIND 1898000 14.61 129.75 -3.67 unwinding was visible in the 5300 Put option.
Market has immediate support around 5200 and it
OI Losers may be put to test this level. Due to global scenario,
OI PRICE market may breach its support.
SCRIP OI CHANGE PRICE CHANGE
 AXISBANK has resistance around 1270 levels and
(%) (%)
some unwinding from there is visible in it. We are
IOB 3304000 -9.92 103.85 0.97 expecting correction in the stock up-to Rs1180.
Traders can trade with negative bias in it.
CROMPGREAV 977000 -9.79 265.20 0.06
HINDZINC 422500 -6.84 969.05 -1.40  Some shorting was seen in ZEEL around 295-98
levels. The stock may reach Rs280. Trading with
CUMMINSIND 238000 -6.67 595.50 1.40 negative bias is advisable with the stop loss of
PFC 1098000 -6.47 296.35 2.65 Rs298.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.26 1.04 ULTRACEMCO 38.74
RELIANCE 0.19 0.26 ABIRLANUVO 43.82
BANKNIFTY 6.07 2.01 EXIDEIND 38.46
ONGC 1.03 0.49 FINANTECH 33.28
TATASTEEL 0.37 0.33 AMBUJACEM 35.14
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2. Derivative Report | India Research
FII Statistics for 29-June-2010 Turnover on 29-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 724501 17644.54 59.48
1329.30 2787.52 (1,458.22) 664030 17347.78 1.39
FUTURES
INDEX Stock Futures 585555 16482.38 4.01
5317.81 4254.20 1,063.61 1589427 41731.15 6.32
OPTIONS
STOCK Index Options 1727003 45861.31 50.29
898.92 1274.90 (375.98) 1055039 27468.22 0.12
FUTURES
STOCK Stock Options 81291 2421.50 -11.60
109.65 130.12 (20.47) 29321 857.99 20.51
OPTIONS
TOTAL 7655.68 8446.74 (791.06) 3337817 87405.14 3.40 Total 3118350 82409.73 36.97
Nifty Spot = 5256.15 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 94.35 Buy 5200 91.15
44.25 55.75 5344.25 28.90 71.10 5171.10
Sell 5400 50.10 Sell 5100 62.25
Buy 5300 94.35 Buy 5200 91.15
72.30 127.70 5372.30 49.80 150.20 5150.20
Sell 5500 22.05 Sell 5000 41.35
Buy 5400 50.10 Buy 5100 62.25
28.05 71.95 5428.05 20.90 79.10 5079.10
Sell 5500 22.05 Sell 5000 41.35
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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