The document provides a summary of derivative market activity in India for July 18, 2011. Key points include: - Nifty futures open interest increased 0.67% while Mini Nifty increased 3.48% as the market closed at 5581.10 - Nifty July futures closed at a premium of 5.85 points and August futures at a premium of 22.60 points - Implied volatility of at-the-money options decreased from 18% to 17.3% - Total open interest in the market was Rs. 135,158 crore with stock futures open interest at Rs. 34,675 crore.

1. Derivative Report
India Research
July 18, 2011
Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 0.67% while
Minifty futures’ open interest increased by 3.48% as
market closed at 5581.10 levels.
 The Nifty July future closed at a premium of 5.85 points,
against a premium of 0.45 points in the last trading
session, while the Aug futures closed at a premium of
22.60 points.
 The Implied Volatility of at the money options decreased
from 18.00% to 17.30%.
 The PCR-OI decreased from 1.23 to 1.18 points.
 The total OI of the market is `135,158cr and the stock
futures OI is `34,675cr.
 Few liquid stocks where CoC is positive are INDIAINFO,
MLL, DCHL, GTOFFSHORE and RUCHISOYA.
OI Gainers
OI PRICE
SCRIP OI CHANGE PRICE CHANGE
View
(%) (%)  FIIs formed some short positions in the Index futures
JETAIRWAYS 1131500 46.47 506.60 3.44 and the stock futures. They were net buyers of just
`73cr in the cash market segment.
BATAINDIA 2331000 16.26 634.40 1.41
PETRONET 3948000 10.65 145.55 0.38  In the last trading session, significant build up was
observed in the 5600 and 5700 Call options and
MPHASIS 830000 9.50 429.10 -2.32 some unwinding was observed in the 5700 and
ZEEL 11094000 9.37 123.60 -2.87 5800 Put options.
OI Losers  INDIAINFO is showing some buying and cost of carry
has jumped up significantly. We may see a positive
OI PRICE move in the counter up to `92. Traders can trade
SCRIP OI CHANGE PRICE CHANGE with positive bias with a stop loss of `85.
(%) (%)
CESC 746000 -17.57 339.60 -0.48  DCHL is trading around its support levels. Intraday
traders can trade with positive bias after negative
TECHM 453000 -11.61 745.15 -0.81 opening. We may see a positive move in the counter
APIL 761500 -7.08 574.35 1.01 up to `68-69.
PFC 5948000 -6.98 211.30 -0.87
CHENNPETRO 340000 -6.34 228.70 0.62
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.18 0.99 OFSS 31.48
INFY 0.31 0.33 MRF 36.15
RELIANCE 0.45 0.46 BAJAJHLDNG 29.49
SBIN 0.97 0.84 ADANIPOWER 23.75
TCS 0.62 0.61 TATAMOTORS 37.30
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 15-July-2011 Turnover on 15-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 435152 11385.21 -35.50
1514.89 1702.63 (187.73) 462018 12899.66 4.17
FUTURES
INDEX Stock Futures 383952 11176.99 -30.41
7705.29 7442.21 263.08 1529757 42690.16 1.98
OPTIONS
STOCK Index Options 2750631 77735.98 -31.56
1078.11 1284.62 (206.51) 1141447 32066.10 0.43
FUTURES
STOCK Stock Options 117817 3459.33 -32.52
433.18 400.26 32.92 43701 1232.08 3.86
OPTIONS
TOTAL 10731.47 10829.71 (98.24) 3176923 88888.00 10.45 Total 3687552 103757.51 -31.93
Nifty Spot = 5581.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5600 66.70 Buy 5500 41.95
36.65 63.35 5636.65 21.05 78.95 5478.95
Sell 5700 30.05 Sell 5400 20.90
Buy 5600 66.70 Buy 5500 41.95
54.35 145.65 5654.35 30.85 169.15 5469.15
Sell 5800 12.35 Sell 5300 11.10
Buy 5700 30.05 Buy 5400 20.90
17.70 82.30 5717.70 9.80 90.20 5390.20
Sell 5800 12.35 Sell 5300 11.10
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
11-July-2011 RELIANCE Long Call Ladder Continue
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