Derivative ReportIndia Research July 18, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 0.67% while Minifty futures’ open interest increased by 3.48% as market closed at 5581.10 levels.

The Nifty July future closed at a premium of 5.85 points, against a premium of 0.45 points in the last trading session, while the Aug futures closed at a premium of 22.60 points.

The Implied Volatility of at the money options decreased from 18.00% to 17.30%.

The PCR-OI decreased from 1.23 to 1.18 points.

The total OI of the market is `135,158cr and the stock futures OI is `34,675cr.

Few liquid stocks where CoC is positive are INDIAINFO, MLL, DCHL, GTOFFSHORE and RUCHISOYA.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

JETAIRWAYS 1131500 46.47 506.60 3.44

BATAINDIA 2331000 16.26 634.40 1.41

PETRONET 3948000 10.65 145.55 0.38

MPHASIS 830000 9.50 429.10 -2.32

ZEEL 11094000 9.37 123.60 -2.87

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.18 0.99

INFY 0.31 0.33

RELIANCE 0.45 0.46

SBIN 0.97 0.84

TCS 0.62 0.61

View

FIIs formed some short positions in the Index futures and the stock futures. They were net buyers of just `73cr in the cash market segment.

In the last trading session, significant build up was observed in the 5600 and 5700 Call options and some unwinding was observed in the 5700 and 5800 Put options.

INDIAINFO is showing some buying and cost of carry has jumped up significantly. We may see a positive move in the counter up to `92. Traders can trade with positive bias with a stop loss of `85.

DCHL is trading around its support levels. Intraday traders can trade with positive bias after negative opening. We may see a positive move in the counter up to `68-69.

Historical Volatility

SCRIP HV

OFSS 31.48

MRF 36.15

BAJAJHLDNG 29.49

ADANIPOWER 23.75

TATAMOTORS 37.30

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

CESC 746000 -17.57 339.60 -0.48

TECHM 453000 -11.61 745.15 -0.81

APIL 761500 -7.08 574.35 1.01

PFC 5948000 -6.98 211.30 -0.87

CHENNPETRO 340000 -6.34 228.70 0.62

Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 15-July-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change (Rs. in cr.) (%)

INDEX FUTURES 1514.89 1702.63 (187.73) 462018 12899.66 4.17

INDEX OPTIONS

7705.29 7442.21 263.08 1529757 42690.16 1.98

STOCK FUTURES

1078.11 1284.62 (206.51) 1141447 32066.10 0.43

STOCK OPTIONS

433.18 400.26 32.92 43701 1232.08 3.86

TOTAL 10731.47 10829.71 (98.24) 3176923 88888.00 10.45

Turnover on 15-July-2011

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 435152 11385.21 -35.50

Stock Futures 383952 11176.99 -30.41

Index Options 2750631 77735.98 -31.56

Stock Options 117817 3459.33 -32.52

Total 3687552 103757.51 -31.93

Nifty Spot = 5581.10 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 5600 66.70 36.65 63.35 5636.65 Buy 5500 41.95 21.05 78.95 5478.95

Sell 5700 30.05 Sell 5400 20.90

Buy 5600 66.70 54.35 145.65 5654.35 Buy 5500 41.95 30.85 169.15 5469.15

Sell 5800 12.35 Sell 5300 11.10

Buy 5700 30.05 17.70 82.30 5717.70

Buy 5400 20.90 9.80 90.20 5390.20

Sell 5800 12.35 Sell 5300 11.10 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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For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

04-July-2011 NIFTY Long Call Continue

11-July-2011 RELIANCE Long Call Ladder Continue

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