Derivative Report

India Research
July 29, 2011 Comments
The Nifty futures open interest increased by 1.58% while

Nifty Vs OI

Minifty futures open interest increased by 14.95% as market closed at 5487.75 levels.
The Nifty Aug future closed at a premium of 10.95

points, against a premium of 10.15 points in the last trading session, while the Sep futures closed at a premium of 28.55 points.
The Implied Volatility of at the money options increased

from 16.80% to 17.00% for Aug. series.

The PCR-OI decreased from 0.99 to 0.84 points. The total OI of the market is `155,259cr and the stock

futures OI is `37,373cr.
The Nifty futures rollover is 70.90% and rollover of

Minifty futures is 73.50%, while the market wide rollover is 83.28%.

OI Gainers
SCRIP ARVIND CESC MPHASIS ANDHRABANK PFC OI 3812000 1306000 1261000 3002000 8752000 OI CHANGE (%) 153.46 36.33 32.11 28.62 23.70 PRICE 90.40 344.65 459.85 136.85 186.05 PRICE CHANGE (%) 3.61 1.14 5.20 -0.33 -3.33

View
FIIs selling was observed in the Index futures and the

stock futures. Open interest has gone down significantly due to expiry of July series. FIIs were net buyers of `64cr in the cash market segment.
Yesterday, significant build up was observed in the

most of the call and put options of Aug series. However, the 5700 call and the 5400 put have highest open interest.
HINDALCO accumulated significant short positions in

OI Losers
SCRIP OIL CHENNPETRO ORBITCORP RELMEDIA SUNTV OI 30750 119000 2316000 1212000 1732000 OI CHANGE (%) -44.09 -32.39 -30.32 -26.99 -14.89 PRICE 1300.20 220.65 37.55 117.30 340.35 PRICE CHANGE (%) 3.26 0.02 -7.28 -7.57 6.84

the past few trading sessions. We may see a positive move due to short covering. Traders can trade with positive bias around `165 for the target of `173. Keep a stop loss of `162.
In Aug series, most of the stocks have seen high

rollover like BHEL, SESAGOA, RELIANCE and SAIL, while Index futures have witnessed less rollover in comparison with last month.

Put-Call Ratio
SCRIP NIFTY INFY RELIANCE SBIN BANKNIFTY PCR-OI 0.84 0.30 0.34 0.63 0.82 PCR-VOL 0.87 0.49 0.59 1.19 0.80

Historical Volatility
SCRIP
WELCORP GLAXO VIJAYABANK DABUR EDUCOMP

HV
46.77 24.22 46.30 28.82 40.45

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FII Statistics for 28-July-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 10889.15 29510.09 30958.06 66.63 71423.94 Change (%) -30.96 -33.23 -11.62 -92.80 -168.60

Turnover on 28-July-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

4819.76

5300.98

(481.22) 228.19 (326.21) (24.84) (604.08)

396818 1075541 1131475 2556 2606390

Index Futures Stock Futures Index Options Stock Options Total

831755 1282401 6157920 188625 8460701

21886.16 35284.16 170885.47 5463.35 233519.13

29.51 13.26 24.38 26.08 23.05

13800.81 13572.62 7116.72 321.79 7442.93 346.63

26059.08 26663.17

Nifty Spot = 5487.75

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5600 5500 5700 5600 5700 Price 103.50 60.45 103.50 31.10 60.45 31.10 29.35 70.65 5629.35 72.40 127.60 5572.40 Risk 43.05 Reward 56.95 BEP 5543.05

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5400 5300 5400 5200 5300 5200 Price 68.50 42.05 68.50 24.55 42.05 24.55 17.50 82.50 5282.50 43.95 156.05 5356.05 Risk 26.45 Reward 73.55 BEP 5373.55

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug 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 25-July-2011

Scrip NIFTY RELIANCE RELINFRA RCOM

Strategy Long Call Long Call Ladder Bull Call Spread Long Call

Status Expired in Loss No profit and no loss on expiry Expired in Loss Not Triggered

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