The document provides a summary of derivative trading activity in India for September 21, 2010. Key points include: - Open interest for Nifty futures increased 2.71% while Minifity futures increased 1.99% as the market closed at 5980.45. - Nifty September futures closed at a premium of 13.65 points and October futures closed at a premium of 26.85 points. - Total open interest in the market was Rs. 2,11,074cr with stock futures open interest at Rs. 51,646cr. - FIIs were net buyers of Rs. 1,793cr in the cash market and added long positions in index futures while forming some

1. Derivative Report
India Research
Sep 21, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 2.71%
while Minifty futures’ open interest increased by 1.99%
as market closed at 5980.45 levels.
 The Nifty Sep future closed at a premium of 13.65
points, against a premium of 19.10 points in the last
trading session. On the other hand, Oct future closed
at a premium of 26.85 points.
 The PCR-OI increased from 1.75 to 1.84 points.
 The Implied volatility of At-the-money options
remained same at 16.00%.
 The total OI of the market is Rs2,11,074cr and the
stock futures OI is Rs51,646cr.
 Few liquid counters where cost of carry is positive are
ISPATIND, HINDZINC, UNIPHOS, GTL and
PANTALOONR.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  FIIs have formed long positions in the index futures
(%) (%) and have formed some short positions in the stock
SRTRANSFIN 197500 46.84 798.85 3.13 futures. FIIs were net buyers of Rs1,793cr in the
cash market segment. US markets closed up
VOLTAS 2676000 31.56 236.30 4.28 around 1.5%. As suggested by SGX Nifty we may
INDIAINFO 14892000 31.18 108.80 4.07 see a positive opening today.
JINDALSWHL 471000 31.06 1880.75 4.51  Yesterday, unwinding has taken place in most of
the In-the-money call options and build up was
HEXAWARE 3328000 30.41 79.00 9.87
visible in the 6100 call. On the other hand, huge
build up was observed in the 5900 and 6000 put
OI Losers options.
OI PRICE
 CESC added around 50% open interest in the past
SCRIP OI CHANGE PRICE CHANGE
(%) (%) few trading sessions and positive cost of carry was
also increasing. We may see a positive move in the
OPTOCIRCUI 740000 -16.48 321.90 -0.69 stock up to Rs445. Therefore, it is advisable to form
BANKINDIA 2743000 -16.42 496.50 -0.39 long positions with a stop loss of Rs405.
CIPLA 7286000 -12.73 315.95 2.28  UNIPHOS is trading around current levels in the
past few trading sessions. Positive move up to
SOBHA 203000 -10.57 382.55 0.87 Rs200 is expected. Thus, trading with positive bias
HCLTECH 2566000 -9.17 422.10 0.68 is advisable with a stop loss of Rs182.
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.84 1.06 HEXAWARE 57.99
RELIANCE 0.48 0.19 COLPAL 28.43
BANKNIFTY 2.37 1.75 ITC 31.69
TATASTEEL 0.87 0.38 HINDUNILVR 26.48
SBIN 1.01 0.52 FSL 44.46
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 20-Sep-2010 Turnover on 20-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 693069 19695.34 29.60
3933.76 2657.14 1,276.61 840814 25184.29 6.30
FUTURES
INDEX Stock Futures 855591 26524.87 11.89
7554.12 7383.81 170.31 2896542 86622.66 2.60
OPTIONS
STOCK Index Options 3125763 92236 27.89
2594.30 3088.75 (494.45) 1371886 40934.08 1.09
FUTURES
STOCK Stock Options 193223 6182.3 12.13
775.83 766.04 9.79 53003 1662.83 -0.74
OPTIONS
TOTAL 14858.00 13895.74 962.26 5162245 154403.85 2.74 Total 4867646 144638.51 24.11
Nifty Spot = 5980.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6000 59.75 Buy 5900 28.75
33.45 66.55 6033.45 14.20 85.80 5885.80
Sell 6100 26.30 Sell 5800 14.55
Buy 6000 59.75 Buy 5900 28.75
48.85 151.15 6048.85 21.05 178.95 5878.95
Sell 6200 10.90 Sell 5700 7.70
Buy 6100 26.30 Buy 5800 14.55
15.40 84.60 6115.40 6.85 93.15 5793.15
Sell 6200 10.90 Sell 5700 7.70
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
20-Sep-10 RPOWER Ratio Bull Call Spread Continue
20-Sep-10 IFCI Ratio Bull Call Spread Continue
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