The derivative report provides a summary of activity in the Indian derivatives market on July 05, 2010: - Open interest in Nifty futures increased by 1.61% while open interest in Mini Nifty futures rose by 0.89% as the market closed at 5237.10 points. - Some stocks saw significant increases in open interest like MRPL (+38.40%), GRASIM (+36.54%), and CONCOR (+23.33%) while others decreased like MPHASIS (-13.79%), WIPRO (-6.74%), and RELINFRA (-5.54%). - The report also analyzes put-call ratios, volatility, FII activity and provides strategies

1. Derivative Report
India Research
July 05, 2010
Comments
Nifty Vs OI
 The Nifty futures’ open interest increased by 1.61%,
while Minifty futures’ open interest increased by 0.89%
as market closed at 5237.10 levels.
 The Nifty July future closed at a premium of 13.75
points, against a premium of 6.90 points in the last
trading session, while the Aug future closed at a
premium of 18.20 points.
 The PCR-OI is at the same level of 1.30 points.
 The Implied volatility of At-the-money options has
increased from 19% to 20%.
 The total OI of the market is Rs1,26,798cr and the
stock futures OI is Rs35,527cr.
 Some liquid counters where cost of carry is positive are
KSOILS, BRFL, FSL, TATACOMM and HCC.
OI Gainers
View
OI PRICE
SCRIP OI CHANGE PRICE CHANGE  Some long unwinding was visible in the Index
(%) (%) futures from FIIs. They were net sellers to the tune of
SAMRUDDHI 35000 62.79 474.60 -0.34
Rs305cr in the cash market segment. We may see a
flattish to negative opening. Market may again
MRPL 8348000 38.40 82.90 8.79 touch the 5200 mark, which is a strong support.
GRASIM 487625 36.54 1827.10 -0.99
 In the last trading session considerable build-up
CONCOR 18500 23.33 1382.50 3.59 was visible in the 5300 call option and 5100 put
options.
RNRL 42952000 20.03 63.95 -1.54
 SAIL is trading at its immediate support of Rs190
OI Losers and the stock also has short positions in it. We may
OI PRICE see positive move up-to Rs200-202. Therefore,
SCRIP OI CHANGE PRICE CHANGE positional traders can trade with positive bias,
(%) (%) keeping a stop loss of Rs185.
MPHASIS 1972500 -13.79 596.50 3.06  Some selling was visible in MARUTI from the higher
WIPRO 4345761 -6.74 385.60 2.79 levels around Rs1420. Positive move up-to this level
can be used to trade with negative bias for the
RELINFRA 5250000 -5.54 1197.00 -1.13 target price of Rs1380.
CANBK 1290500 -5.53 451.25 -0.18
OPTOCIRCUI 621000 -5.19 236.40 -0.69
Put-Call Ratio Historical Volatility
SCRIP PCR-OI PCR-VOL SCRIP HV
NIFTY 1.30 0.99 MRPL 57.10
RELIANCE 0.21 0.29 NAGARFERT 39.67
BANKNIFTY 4.54 0.47 FEDERALBNK 37.80
ONGC 1.03 0.47 CHENNPETRO 36.09
TATASTEEL 0.34 0.40 RECLTD 33.81
SEBI Registration No: INB 010996539 For Private Circulation Only 1

2. Derivative Report | India Research
FII Statistics for 02-July-2010 Turnover on 02-July-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 530003 12914.68 -21.66
1251.17 1714.09 (462.92) 697450 18184.79 -1.80
FUTURES
INDEX Stock Futures 494063 13996.70 -12.25
4572.65 4512.47 60.18 1725044 45129.44 1.84
OPTIONS
STOCK Index Options 1322800 35111.09 -13.76
773.39 891.90 (118.51) 1107532 28799.03 0.80
FUTURES
STOCK Stock Options 89049 2618.72 -9.29
111.14 104.71 6.43 43198 1198.23 4.31
OPTIONS
TOTAL 6708.35 7223.17 (514.82) 3573224 93311.48 0.82 Total 2435915 64641.19 -14.99
Nifty Spot = 5237.10 Lot Size = 50
Bull-Call Spreads Bear-Put Spreads
Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP
Buy 5300 83.65 Buy 5200 93.10
42.40 57.60 5342.40 27.30 72.70 5172.70
Sell 5400 41.25 Sell 5100 65.80
Buy 5300 83.65 Buy 5200 93.10
67.60 132.40 5367.60 49.65 150.35 5150.35
Sell 5500 16.05 Sell 5000 43.45
Buy 5400 41.25 Buy 5100 65.80
25.20 74.80 5425.20 22.35 77.65 5077.65
Sell 5500 16.05 Sell 5000 43.45
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
28-June-2010 Reliance Long Put Continue
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