The document provides a summary of derivative market activity in India for September 22, 2010. It notes that open interest for Nifty futures decreased by 2.74% while Minifity futures decreased by 5.82% as the market closed at 6009.05. Implied volatility of at-the-money options increased from 16% to 18%. Few stocks where cost-of-carry is positive are listed. Significant short positions exist in PATNI and it is advisable to trade SAIL with a negative bias.

1. Derivative Report
India Research
Sep 22, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest decreased by 2.74%
while Minifty futures’ open interest decreased by
5.82% as market closed at 6009.05 levels.
 The Nifty Sep future closed at a premium of 2.60
points, against a premium of 13.65 points in the last
trading session. On the other hand, Oct future closed
at a premium of 13.60 points.
 The PCR-OI increased from 1.84 to 1.86 points.
 The Implied volatility of At-the-money options
increased from 16.00% to 18.00%.
 The total OI of the market is Rs2,13,224cr and the
stock futures OI is Rs51,207cr.
 Few liquid counters where Cost-of-Carry is positive are
DIVISLAB, TULIP, TECHM, UNIPHOS and PATNI.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
View
(%) (%)
 FIIs have formed some short positions in the Index
ROLTA 5158000 29.73 174.50 3.38 futures and a blend of long unwinding and some
shorting was visible in the stock futures. They
PFC 1016000 18.55 342.70 -3.01 continued their buying in the cash market segment
BGRENERGY 894500 16.09 782.90 -2.79 of Rs2,312cr.
TECHM 1952500 13.47 727.75 1.25  Yesterday, unwinding was visible in the 5600 to
5800 call options and build up at 6100 and 6200
LITL 21764000 10.28 67.35 -1.82
calls. On the other hand, 5900 and 6000 put
options added significant open interest.
OI Losers
 Significant short positions exist in PATNI and it is
OI PRICE
SCRIP OI CHANGE PRICE CHANGE showing its support around Rs445-450. Short
(%) (%) covering bounce is likely as some buying from
lower levels was observed in the stock. Therefore, it
ORCHIDCHEM 7434000 -16.53 198.65 -4.08 is advisable to trade with positive bias, for the target
BHUSANSTL 1738750 -15.75 422.15 -1.89 of Rs475, with a stop loss of Rs437.
VOLTAS 2358000 -11.88 232.60 -1.57  SAIL is trading around its resistance of Rs207.
Trading with negative bias up to Rs198 is advisable
ABAN 3222250 -11.51 834.80 -0.61
in the stock. Keep a stop loss at Rs 211.
ITC 30136000 -11.09 172.65 -2.26
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.86 0.97 TATAPOWER 23.80
RELIANCE 0.50 0.32 TCS 34.80
BANKNIFTY 2.45 1.35 RANBAXY 42.62
TATASTEEL 0.86 0.39 RECLTD 33.85
SBIN 0.99 0.56 ROLTA 27.68
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 21-Sep-2010 Turnover on 21-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 778067 22206.73 12.75
3447.80 3964.98 (517.17) 851132 25569.08 1.23
FUTURES
INDEX Stock Futures 882805 27933.8 5.31
11355.35 12341.77 (986.42) 3009745 90435.99 3.91
OPTIONS
STOCK Index Options 3361126 100553.42 9.02
2897.55 3515.64 (618.09) 1369641 40779.75 -0.16
FUTURES
STOCK Stock Options 173727 5832.41 -5.66
734.46 787.94 (53.48) 55880 1757.82 5.43
OPTIONS
TOTAL 18435.17 20610.33 (2175.16) 5286398 158542.65 2.41 Total 5195725 156526.36 8.22
Nifty Spot = 6009.05 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 33.50 Buy 6000 60.10
19.05 80.95 6119.05 31.55 68.45 5968.45
Sell 6200 14.45 Sell 5900 28.55
Buy 6100 33.50 Buy 6000 60.10
26.70 173.30 6126.70 45.45 154.55 5954.55
Sell 6300 6.80 Sell 5800 14.65
Buy 6200 14.45 Buy 5900 28.55
7.65 92.35 6207.65 13.90 86.10 5886.10
Sell 6300 6.80 Sell 5800 14.65
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
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
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.
Angel Broking Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in this
document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions 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.
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, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking or any of its affiliates/ group companies shall not be in any way responsible
for any loss or damage that may arise to any person from any inadvertent error in the information contained in this report. Angel
Broking Limited has not independently verified all the information contained within this document. Accordingly, we cannot testify, nor
make any representation or warranty, express or implied, to the accuracy, contents or data contained within this document. While
Angel Broking Limited endeavours 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.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Limited and its 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.
Neither Angel Broking Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or
in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section).
Derivative Research Team derivatives.desk@angeltrade.com
For Private Circulation Only SEBI Registration No: INB 010996539 3