Derivative Report

India Research
July 22, 2011 Comments
The Nifty futures open interest decreased by 3.82% while

Nifty Vs OI

Minifty futures open interest increased by 3.95% as market closed at 5541.60 levels.
The Nifty July future closed at a premium of 2.60 points,

against a premium of 2.50 points in the last trading session, while the Aug futures closed at a premium of 20.85 points.
The Implied Volatility of at the money options increased

from 16.50% to 17.00%.

The PCR-OI decreased from 1. 12 to 1.08 points. The total OI of the market is `144,931cr and the stock

futures OI is `35,704cr.
Few liquid stocks where CoC is positive are ABGSHIP,

NATIONALUM, LUPIN, INDIAINFO and DISHTV.

OI Gainers
SCRIP JSWENERGY TTKPRESTIG EXIDEIND PETRONET OIL OI 3012000 69625 2378000 6964000 26000 OI CHANGE (%) 175.82 69.82 35.89 31.99 23.81 PRICE 71.00 3127.50 154.35 168.20 1269.30 PRICE CHANGE (%) -6.52 3.48 -9.39 9.58 -0.70 Yesterday, again significant build up was observed in

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FIIs formed some short positions in the Stock futures

and unwound some of their long positions in the Index futures. They were net sellers of `578cr in the cash market segment.

the 5500 and 5600 Call options and considerable unwinding was observed in the 5600 Put option.
In the past few trading sessions, TATAMOTORS

OI Losers
SCRIP MRF TECHM FEDERALBNK BANKINDIA ZEEL OI 74625 437500 528000 3422500 10452000 OI CHANGE (%) -11.29 -9.33 -9.28 -8.62 -7.11 PRICE 7430.80 749.15 457.10 408.00 132.15 PRICE CHANGE (%) -3.98 -0.23 -0.57 0.07 6.06

added significant short positions and yesterday it was showing some strength. We may see a positive move up to `1,020 due to short covering. Traders can trade with positive bias with a stop loss of `955.
ICICIBANK is trading around its immediate support

levels. CoC has also increased we may see a positive move up to `1,070. Traders can trade with positive bias with a shop loss of `1,030.

Put-Call Ratio
SCRIP NIFTY INFY RELIANCE SBIN BANKNIFTY PCR-OI 1.08 0.30 0.45 1.01 1.19 PCR-VOL 0.96 0.34 0.43 0.67 0.50

Historical Volatility
SCRIP
PETRONET EXIDEIND JSWENERGY 3IINFOTECH ZEEL

HV
52.15 56.69 52.62 43.90 46.16

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FII Statistics for 21-July-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 12166.68 43430.65 32990.77 1166.78 89754.89 Change (%) -4.66 0.60 1.63 0.58 -1.85

Turnover on 21-July-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1182.17 6507.08 2423.95 245.45

1332.75 6632.90 2531.15 226.43

(150.58) (125.82) (107.20) 19.02 (364.58)

439490 1567469 1187451 41366 3235776

Index Futures Stock Futures Index Options Stock Options Total

374404 527115 2846720 120192 3868431

9758.81 15267.55 79875.62 3620.50 108522.48

-24.61 -4.51 -20.61 -8.19 -18.71

10358.64 10723.22

Nifty Spot = 5541.60

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 27.85 9.00 27.85 3.20 9.00 3.20 5.80 94.20 5705.80 24.65 175.35 5624.65 Risk 18.85 Reward 81.15 BEP 5618.85

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 32.95 10.70 32.95 4.50 10.70 4.50 6.20 93.80 5393.80 28.45 171.55 5471.55 Risk 22.25 Reward 77.75 BEP 5477.75

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

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Strategy Date 04-July-2011 11-July-2011 18-July-2011

Scrip NIFTY RELIANCE RELINFRA

Strategy Long Call Long Call Ladder Bull Call Spread

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