Derivative Report

India Research
July 20, 2011 Comments
The Nifty futures open interest increased by 0.75% while

Nifty Vs OI

Minifty futures open interest increased by 1.31% as market closed at 5613.55 levels.
The Nifty July future closed at a premium of 10.75

points, against a premium of 5.70 points in the last trading session, while the Aug futures closed at a premium of 30.90 points.
The Implied Volatility of at the money options decreased

from 17.90% to 17.20%.

The PCR-OI increased from 1. 20 to 1.25 points. The total OI of the market is `137,531cr and the stock

futures OI is `34,760cr.
Few liquid stocks where CoC is positive are MOSERBAER,

RUCHISOYA, JPPOWER, MLL and MCDOWELL-N.

OI Gainers
SCRIP VIPIND JUBLFOOD BFUTILITIE CROMPGREAV SOUTHBANK OI 311000 165000 241500 5595000 3609000 OI CHANGE (%) 801.45 240.21 113.72 97.77 94.66 PRICE 907.30 913.20 761.30 208.30 24.05 PRICE CHANGE (%) 5.11 3.02 2.02 -14.03 -0.41

View
Interestingly, though the market was positive, FIIs

unwound some of their long positions in the Index futures. They were net buyers of `293cr in the cash market segment
Yesterday, significant buildup was observed in the

5500 to 5700 put options and unwinding in the 5600 call option.
UCOBANK has considerable short positions. Due to

OI Losers
SCRIP CHENNPETRO JETAIRWAYS CESC HINDZINC SUZLON OI 270000 1029500 709000 2650000 91064000 OI CHANGE (%) -19.88 -7.87 -5.34 -5.09 -5.03 PRICE 226.70 512.95 329.85 137.05 51.15 PRICE CHANGE (%) -1.03 1.55 -0.78 2.51 0.49

short covering and fresh buying we may see a positive move in the counter up to `94-95. Traders can trade with positive bias with a stop loss of `88.
We may see a positive move in HDIL. Yesterday, the

stock added around 12% open interest and CoC has also increased. The stock may give a positive move up to `167-168. Keep a stop loss of `157.

Put-Call Ratio
SCRIP NIFTY INFY RELIANCE SBIN TCS PCR-OI 1.25 0.30 0.46 1.08 0.54 PCR-VOL 0.88 0.33 0.43 0.56 0.51

Historical Volatility
SCRIP
CROMPGREAV BOSCHLTD MUNDRAPORT ESCORTS VIPIND

HV
78.67 19.50 32.94 48.63 53.00

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FII Statistics for 19-July-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 12075.53 43499.33 32791.40 1224.54 89590.81 Change (%) -2.45 1.16 0.58 -0.40 -1.11

Turnover on 19-July-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1490.43 7112.38 1869.80 302.77

2364.84 7444.37 1888.80 315.64

(874.41) (331.99) (19.00) (12.87)

429743 1549723 1157031 43012 3179509

Index Futures Stock Futures Index Options Stock Options Total

439703 485576 3167673 125495 4218447

11574.14 13859.14 89258.36 3632.85 118324.49

59.20 38.89 43.24 34.40 43.83

10775.39 12013.65 (1,238.26)

Nifty Spot = 5613.55

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5700 5800 5700 5900 5800 5900 Price 31.95 11.75 31.95 3.60 11.75 3.60 8.15 91.85 5808.15 28.35 171.65 5728.35 Risk 20.20 Reward 79.80 BEP 5720.20

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5500 5600 5400 5500 5400 Price 48.90 21.10 48.90 8.20 21.10 8.20 12.90 87.10 5487.10 40.70 159.30 5559.30 Risk 27.80 Reward 72.20 BEP 5572.20

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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