The document provides a summary of derivative market activity in India for September 16, 2010. Key points include: - Open interest for Nifty futures increased 4.21% while for Minifity futures it rose 2.51% as the market closed at 5860.95. - Nifty September futures closed at a discount of 0.85 points versus a premium of 16.45 points previously. October futures closed at a premium of 9.75 points. - Total open interest in the market was Rs. 2,03,458 crore with stock futures open interest at Rs. 51,389 crore.

1. Derivative Report
India Research
Sep 16, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 4.21%
while Minifty futures’ open interest increased by 2.51%
as market closed at 5860.95 levels.
 The Nifty Sep future closed at a discount of 0.85
points, against a premium of 16.45 points in the last
trading session. On the other hand, Oct future closed
at a premium of 9.75 points.
 The PCR-OI increased from 1.73 to 1.79 points.
 The Implied volatility of At-the-money options
increased from 16.00% to 17.00%.
 The total OI of the market is Rs2,03,458cr and the
stock futures OI is Rs51,389cr.
 Few liquid counters where cost of carry is positive are
ROLTA, STERLINBIO, GSPL, MCLEODRUSS and
ORCHIDCHEM.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs continued their buying in the cash segment, in
CONCOR 77250 34.35 1310.55 0.63 which they were net buyers of Rs2215cr. They have
formed some short positions in the stock futures.
SRTRANSFIN 127500 26.24 796.85 0.89
 In the last trading session, again unwinding in In-
PETRONET 7172000 15.31 106.95 -2.46
the-money call options was visible and build up was
SUNTV 439500 14.30 493.55 -1.76 visible in the 6000 and 6100 calls. On the other
hand, 5800 and 5900 Put options added
GSPL 12440000 14.17 109.25 0.64
significant open interest.
OI Losers  After continuous build-up in the past few trading
sessions, yesterday IFCI has given a positive move.
OI PRICE
We may see a further positive move in the stock up
SCRIP OI CHANGE PRICE CHANGE
(%) (%) to Rs65. Thus, buying is advisable around Rs59-60,
with the stop loss of Rs57.50.
LICHSGFIN 3130500 -13.79 1275.35 4.08
 Some long unwinding was visible in LT in the last
EXIDEIND 1374000 -11.24 165.70 0.21 two trading sessions. We may see a correction in
ORIENTBANK 2186000 -9.56 463.90 0.12 the stock up to Rs1870. Positive move around
Rs1940 can be used to form shorts with the stop
ASHOKLEY 13096000 -8.60 76.15 -1.42 loss of Rs1970.
SUNPHARMA 765375 -8.60 1805.90 3.40
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.79 0.96 OFSS 31.89
RELIANCE 0.44 0.21 SIEMENS 26.42
BANKNIFTY 2.41 2.07 SUNPHARMA 24.05
TATASTEEL 0.73 0.35 IDFC 31.03
SBIN 1.12 0.81 GAIL 31.70
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 15-Sep-2010 Turnover on 15-Sep-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 685381 19134.23 -12.04
2552.07 2488.85 63.22 740232 21654.09 7.16
FUTURES
INDEX Stock Futures 770424 24882.91 -7.89
8272.34 9899.48 (1627.14) 2758768 80853.74 1.44
OPTIONS
STOCK Index Options 2943553 85535.21 -15.41
1564.11 1723.73 (159.61) 1356118 39742.27 0.43
FUTURES
STOCK Stock Options 195405 6474.24 -0.25
946.15 995.38 (49.24) 50049 1549.92 14.34
OPTIONS
TOTAL 13334.67 15107.44 (1772.77) 4905167 143800.02 2.10 Total 4594763 136026.59 -13.01
Nifty Spot = 5860.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5900 57.75 Buy 5800 56.30
34.75 65.25 5934.75 22.65 77.35 5777.35
Sell 6000 23.00 Sell 5700 33.65
Buy 5900 57.75 Buy 5800 56.30
48.35 151.65 5948.35 35.35 164.65 5764.65
Sell 6100 9.40 Sell 5600 20.95
Buy 6000 23.00 Buy 5700 33.65
13.60 86.40 6013.60 12.70 87.30 5687.30
Sell 6100 9.40 Sell 5600 20.95
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September 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
30-Aug-10 RELINFRA Long Call Ladder Continue
06-Sep-10 BHARTIARTL Ratio Put Spread Continue
13-Sep-10 HINDUNILVR Call Hedge Continue
13-Sep-10 NIFTY Long Put Continue
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