The document provides a summary of derivative market activity in India for September 27, 2010. It notes that open interest for Nifty futures increased slightly while open interest for Mini Nifty futures increased more significantly. The Nifty September future closed at a premium. Implied volatility for at-the-money options decreased. Specific stocks that saw increases in open interest included SOBHA, FINANTECH, and JINDALSWHL. Stocks with decreases in open interest included IDEA, ZEEL, and HINDZINC. The document also provides details on FII positions, turnover, volatility levels for various stocks, suggested trading strategies, and open derivative strategies.

1. Derivative Report
India Research
Sep 27, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 0.41%
while Minifty futures’ open interest increased by 7.01%
as market closed at 6018.30 levels.
 The Nifty Sep future closed at a premium of 16.25
points, against a premium of 12.20 points in the last
trading session. On the other hand, Oct future closed
at a premium of 30.25 points.
 The PCR-OI increased from 1.87 to 1.93 points.
 The Implied volatility of At-the-money options
decreased from 16.00% to 12.00%.
 The total OI of the market is Rs2,13,687cr and the
stock futures OI is Rs53,077cr.
 Few liquid counters where cost of carry is positive are
ISPATIND, ABGSHIP, PATELENG, STERLINBIO and
IOB.
OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  FIIs have formed some short positions in the Index
SOBHA 347000 57.01 391.85 6.67 futures and the stock futures. They were net buyers
of Rs1,150cr in the cash market segment.
FINANTECH 2078750 37.51 1223.00 -10.93
 In the last trading session, barring 6000 and 6100
JINDALSWHL 697000 31.29 2067.20 8.95
put options unwinding was visible in most of the
SRTRANSFIN 242000 26.37 757.85 -0.31 puts, and the 6000 and 6100 put options added
substantial open interest. On the call front,
NAGARFERT 46912000 17.30 31.20 1.46
considerable unwinding was observed in 6000 and
below strikes.
OI Losers
 In the past few trading sessions, HCC and HDIL
OI PRICE
added significant open interest. Increasing CoC
SCRIP OI CHANGE PRICE CHANGE
(%) (%) suggests stocks may take support at current levels.
Therefore, it is advisable to form long for the target
IDEA 26944000 -28.22 77.35 1.18 of Rs66 and Rs280 with the stop loss of Rs58 and
ZEEL 4854000 -22.51 305.30 -0.39 Rs 261respectively.
HINDZINC 474750 -10.76 1083.80 1.34  Day traders can trade with positive bias in IDEA.
Significant shorts have been covered in it which was
ORCHIDCHEM 10138000 -10.57 208.30 0.26 around 28% in the last trading session.
EXIDEIND 1918000 -9.61 162.80 4.16
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.93 1.32 FINANTECH 62.62
RELIANCE 0.44 0.28 JINDALSWHL 55.30
BANKNIFTY 2.90 1.26 IDFC 36.26
TATASTEEL 0.95 0.43 SOBHA 48.65
SBIN 0.96 0.60 FEDERALBNK 38.26
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 24-Sep-2010 Turnover on 24-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 678222 19436.53 16.28
3684.17 4382.63 (698.46) 806720 24333.34 2.70
FUTURES
INDEX Stock Futures 1000791 30918.2 23.12
6184.56 5814.98 369.58 2960988 89107.06 -0.32
OPTIONS
STOCK Index Options 3014310 89735.9 33.78
5024.91 5764.20 (739.29) 1404916 41883.75 0.85
FUTURES
STOCK Stock Options 152275 5031.71 8.37
682.52 661.24 21.28 52734 1653.83 -4.31
OPTIONS
TOTAL 15576.15 16623.04 (1046.89) 5225358 156977.98 0.40 Total 4845598 145122.34 27.81
Nifty Spot = 6018.30 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6100 16.45 Buy 6000 22.90
12.80 87.20 6112.80 14.35 85.65 5985.65
Sell 6200 3.65 Sell 5900 8.55
Buy 6100 16.45 Buy 6000 22.90
15.05 184.95 6115.05 18.75 181.25 5981.25
Sell 6300 1.40 Sell 5800 4.15
Buy 6200 3.65 Buy 5900 8.55
2.25 97.75 6202.25 4.40 95.60 5895.60
Sell 6300 1.40 Sell 5800 4.15
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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