The document provides a summary of derivative market activity in India for October 5, 2010. It notes that open interest in Nifty futures increased by 1.71% while open interest in Minifity futures decreased by 8.05%. Implied volatility of at-the-money options increased from 20% to 21% despite rising market levels. Specific stocks like NMDC, BHUSANSTL, and UCOBANK saw large increases in open interest, while stocks like ORCHIDCHEM, ZEEL, and SAIL saw decreases. The put-call ratio for various indexes and stocks is also provided.

1. Derivative Report
India Research
Oct 05, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.71%
while Minifty futures’ open interest decreased by
8.05% as market closed at 6159.45 levels.
 The Nifty Oct future closed at a premium of 26.05
points, against a premium of 32.90 points in the last
trading session. On the other hand, Nov future closed
at a premium of 43.75 points.
 The PCR-OI decreased from 1.36 to 1.35 points.
 The Implied volatility of At-the-money options
increased from 20.00% to 21.00%.
 The total OI of the market is Rs1,54,979cr and the
stock futures OI is Rs46,226cr.
 Few liquid counters where cost of carry is positive are
MTNL, TV-18, NAGARFERT, IOB and BHUSANSTL.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
(%) (%)  IV is rising despite rising market and we have
witnessed substantial rise in OI of calls and put
NMDC 1135000 56.77 284.25 2.54 yesterday indicating buying of options.
BHUSANSTL 2075000 50.16 506.65 16.65
 FII's have bought index options of Rs. 1265.35
UCOBANK 16132000 47.95 129.20 10.38 crores and have shorted index futures while
continuing their cash base buying.
CONCOR 69250 34.47 1315.20 0.49
 INFOSYSTCH is witnessing unwinding of long
TULIP 2817500 31.74 190.05 6.05
positions and 3200 call has seen substantial
writing. With rupee appreciating and IT stocks in US
OI Losers
showing weakness, we anticipate further correction
OI PRICE in counter till 2950. So trade with negative bias with
SCRIP OI CHANGE PRICE CHANGE stop loss of 3145.
(%) (%)
ORCHIDCHEM 6976000 -13.62 276.20 3.33  ONGC after less rollover has added huge OI in last
ZEEL 3008000 -12.69 305.15 1.31 two trading sessions. Traders keep eye on it.
Correction upto 1355 is quite likely.
SAIL 7898000 -11.84 224.35 0.36
DABUR 3624000 -10.83 110.25 1.10
INDIAINFO 11548000 -9.61 120.75 -0.37
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.35 0.92 BHUSANSTL 85.12
RELIANCE 0.31 0.20 UCOBANK 56.67
TATASTEEL 0.46 0.29 TULIP 41.93
IFCI 0.23 0.09 VIJAYABANK 40.11
UNITECH 0.32 0.15 TATACOMM 42.76
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 04-Oct-2010 Turnover on 04-Oct-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 559818 16433.78 -6.64
1576.71 2469.16 (892.45) 519288 16072.26 0.70
FUTURES
INDEX Stock Futures 807934 26722.85 -0.01
4926.60 3661.25 1265.35 1861307 57324.01 3.06
OPTIONS
STOCK Index Options 2071585 64109.06 -6.91
1816.23 2286.69 (470.45) 1321425 40339.34 1.72
FUTURES
STOCK Stock Options 134696 4658.82 -7.49
460.86 472.27 (11.41) 18577 610.15 22.17
OPTIONS
TOTAL 8780.40 8889.36 (108.96) 3720597 114345.75 2.33 Total 3574033 111924.51 -5.34
Nifty Spot = 6159.45 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 6200 122.55 Buy 6100 96.80
46.00 54.00 6246.00 27.85 72.15 6072.15
Sell 6300 76.55 Sell 6000 68.95
Buy 6200 122.55 Buy 6100 96.80
77.20 122.80 6277.20 49.65 150.35 6050.35
Sell 6400 45.35 Sell 5900 47.15
Buy 6300 76.55 Buy 6000 68.95
31.20 68.80 6331.20 21.80 78.20 5978.20
Sell 6400 45.35 Sell 5900 47.15
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October 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
04-Oct-10 JPASSOCIAT Bull Call Spread Continue
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