Derivative Report

India Research
July 21, 2011 Comments
The Nifty futures open interest increased by 4.54% while

Nifty Vs OI

Minifty futures open interest increased by 7.04% as market closed at 5567.05 levels.
The Nifty July future closed at a premium of 2.50 points,

against a premium of 10.75 points in the last trading session, while the Aug futures closed at a premium of 22.55 points.
The Implied Volatility of at the money options decreased

from 17.20% to 16.50%.

The PCR-OI decreased from 1. 25 to 1.12 points. The total OI of the market is `143,629cr and the stock

futures OI is `35,506cr.
Few liquid stocks where CoC is positive are RUCHISOYA,

HOTELEELA, CROMPGREAV, SINTEX and INDIACEM.

OI Gainers
SCRIP ARVIND CROMPGREAV GITANJALI HOTELEELA IRB OI 944000 11155000 4211000 4592000 3710000 OI CHANGE (%) 263.08 99.37 50.61 35.06 31.47 PRICE 86.80 176.75 310.20 48.30 186.95 PRICE CHANGE (%) 2.30 -15.15 1.91 6.04 0.81

View
Net buying in the Index futures from FIIs was not

much in the last trading session, but build up in open interest is clearly suggesting that some are forming fresh long and some fresh short positions. They were net sellers of `90cr in the cash market segment.
Yesterday, significant buildup was observed in the

5600 to 5800 Call options and some unwinding was observed in most of the Put options mainly the 5500 and 5600 Puts.
IVRCLINFRA is moving in a narrow range of `68-69

OI Losers
SCRIP EXIDEIND CHENNPETRO ORBITCORP FEDERALBNK CESC OI 1750000 235000 4544000 582000 642000 OI CHANGE (%) -13.11 -12.96 -12.35 -9.77 -9.45 PRICE 170.35 225.10 44.05 459.70 331.55 PRICE CHANGE (%) -1.30 -0.71 -3.61 -0.48 0.52

in the past few trading sessions. Yesterday, it was showing some strength. We may see a positive move up to `74. Traders can trade with positive bias with a stop loss of `66.50.
LT is showing some weakness and CoC has turned to

negative. We may see correction in the counter up to `1770. Traders can trade with negative bias around 1815-1818 levels. Keep a stop loss of `1845.

Put-Call Ratio
SCRIP NIFTY INFY RELIANCE SBIN TCS PCR-OI 1.12 0.30 0.46 1.02 0.50 PCR-VOL 0.93 0.33 0.40 0.67 0.47

Historical Volatility
SCRIP
CROMPGREAV CUMMINSIND HAVELLS HOTELEELA LUPIN

HV
108.28 25.19 44.07 46.30 32.32

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FII Statistics for 20-July-2011

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (Rs. in cr.) 12827.63 43371.36 32700.62 1164.56 90064.16 Change (%) 7.27 0.54 0.98 -4.38 4.41

Turnover on 20-July-2011
No. of Contracts Turnover (Rs. in cr.) Change (%)

Instrument

1959.77 7276.17 1832.43 317.14

1903.34 7185.52 2225.14 329.16

56.43 90.65 (392.71) (12.02) (257.65)

460971 1558119 1168405 41126 3228621

Index Futures Stock Futures Index Options Stock Options Total

491137 572929 3565793 143992 4773851

12944.10 15988.87 100616.52 3943.36 133492.86

11.84 15.37 12.73 8.55 12.82

11385.51 11643.16

Nifty Spot = 5567.05

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5600 5700 5600 5800 5700 5800 Price 42.45 15.20 42.45 5.30 15.20 5.30 9.90 90.10 5709.90 37.15 162.85 5637.15 Risk 27.25 Reward 72.75 BEP 5627.25

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5500 5400 5500 5300 5400 5300 Price 30.35 11.20 30.35 5.15 11.20 5.15 6.05 93.95 5393.95 25.20 174.80 5474.80 Risk 19.15 Reward 80.85 BEP 5480.85

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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