The document summarizes the derivatives market activity in India for July 08, 2011. It notes that open interest for Nifty futures increased by 5.21% while open interest for Mini Nifty futures rose by 22.09%. Put-call ratio for Nifty increased to 1.34 from 1.25. Total open interest in the market was Rs. 117,227 crore with stock futures open interest at Rs. 33,629 crore. It provides commentary on specific stocks like Godrej Industries, Aurobindo Pharma, and Canara Bank.

1. Derivative Report
India Research
July 08, 2011
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 5.21% while
Minifty futures’ open interest increased by 22.09% as
market closed at 5728.95 levels.
 The Nifty July future closed at a premium of 15.65
points, against a premium of 11.20 points in the last
trading session, while the Aug futures closed at a
premium of 32.05 points.
 The Implied Volatility of at the money options increased
from 16.50% to 17.20%.
 The PCR-OI increased from 1.25 to 1.34 points.
 The total OI of the market is `117,227cr and the stock
futures OI is `33,629cr.
 Few liquid stocks where CoC is positive are FSL,
DENABANK, MTNL, TRIVENI and KSOILS.
OI Gainers
OI PRICE View
SCRIP OI CHANGE PRICE CHANGE
 FIIs covered some of their short positions in the Index
(%) (%)
futures. Although market has given a significant
GODREJIND 4808000 53.61 222.60 8.40 positive move yesterday their participation in stock
futures was less. They were net buyers of `869cr in
GESHIP 555000 51.23 280.00 -1.29
the cash market segment.
JINDALSWHL 597250 38.41 1023.45 1.71
 In the last trading session, huge build up was
SUNTV 1716000 31.90 321.95 -3.42
observed from the 5500 to 5800 put options and
FEDERALBNK 721000 29.68 470.40 2.19 5800 and above call options. The 5700 call is
showing considerable unwinding in it.
OI Losers
 CANBANK is showing some buying in it. CoC has
OI PRICE
also increased. We may see a positive move in the
SCRIP OI CHANGE PRICE CHANGE
(%) (%) counter up to `550. Traders can trade with positive
bias with a stop loss of `520.
GSPL 5760000 -8.05 94.95 1.39
PETRONET 2974000 -7.75 142.35 0.57  AUROPHARMA added around 12% open interest in
the last trading session. Stock has potential to go up
DRREDDY 944500 -6.02 1565.30 2.38 to `180-182. Traders can form long positions with a
IOB 1518000 -5.95 145.75 1.85 stop loss of `167.
TATACHEM 824000 -4.96 384.25 -0.21
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.34 0.87 GODREJIND 51.55
RELIANCE 0.45 0.39 DIVISLAB 32.15
SBIN 1.02 0.59 MCDOWELL-N 37.64
BANKNIFTY 1.65 1.02 TTML 71.87
TATAMOTORS 0.43 0.27 BHARTIARTL 32.08
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 07-July-2011 Turnover on 07-July-2011
Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 466068 12450.27 58.88
2220.85 1619.80 601.05 443666 12683.60 -0.82
FUTURES
INDEX Stock Futures 462639 13587.08 20.29
7118.00 5854.97 1,263.03 1178947 33770.03 5.58
OPTIONS
STOCK Index Options 2561984 73262.18 76.50
1214.75 1231.41 (16.66) 1084331 31151.00 1.25
FUTURES
STOCK Stock Options 114780 3307.49 17.71
336.41 372.44 (36.03) 25668 714.73 10.90
OPTIONS
TOTAL 10890.01 9078.63 1,811.38 2732612 78319.37 16.92 Total 3605471 102607.02 61.72
Nifty Spot = 5728.95 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5800 66.45 Buy 5700 72.90
33.00 67.00 5833.00 30.00 70.00 5670.00
Sell 5900 33.45 Sell 5600 42.90
Buy 5800 66.45 Buy 5700 72.90
51.30 148.70 5851.30 48.55 151.45 5651.45
Sell 6000 15.15 Sell 5500 24.35
Buy 5900 33.45 Buy 5600 42.90
18.30 81.70 5918.30 18.55 81.45 5581.45
Sell 6000 15.15 Sell 5500 24.35
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July 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-July-2011 NIFTY Long Call Continue
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