Derivative ReportIndia Research July 15, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest decreased by 1.86% while Minifty futures’ open interest increased by 1.10% as market closed at 5599.80 levels.

The Nifty July future closed at a premium of 0.45 points, against a premium of 14.30 points in the last trading session, while the Aug futures closed at a premium of 15.15 points.

The Implied Volatility of at the money options increased from 17.60% to 18.00%.

The PCR-OI increased from 1.20 to 1.23 points.

The total OI of the market is `131,943cr and the stock futures OI is `34,692cr.

Few liquid stocks where CoC is positive are LITL, MTNL, KFA, NATIONALUM and NHPC.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

PFC 6394000 29.12 213.15 9.62

GSPL 6912000 20.00 95.95 -5.61

NEYVELILIG 2456000 19.11 101.35 1.10

IVRCLINFRA 12028000 15.12 69.20 0.44

TECHM 512500 15.04 751.25 1.47

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.23 1.00

INFY 0.33 0.31

RELIANCE 0.45 0.48

SBIN 0.91 0.62

TCS 0.68 0.72

View

FIIs did some long unwinding in the Index futures. They were net buyers of `211cr in the cash market segment.

Yesterday, significant build up was observed in the 5600 and 5700 Put options and some build up was observed in the 5600 call option.

CROMPGREAV added significant open interest in the past few trading sessions. Yesterday, some buying was observed in the stock. We may see a positive move up to `255-257. Traders can use buy on dips with a stop loss of `238.

GTOFFSHORE is suggesting some long formations. CoC has also increased. We may see a positive move up to `225. Traders can form long positions with a stop loss of `208.

Historical Volatility

SCRIP HV

PFC 60.75

RECLTD 45.94

GSPL 43.67

PTC 46.49

INDIANB 32.91

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

OIL 14250 -34.48 1317.75 1.66

INDIANB 869000 -11.05 220.35 3.60

LUPIN 1765000 -9.63 479.10 2.14

AREVAT&D 714000 -9.16 255.25 2.18

GMDCLTD 698000 -8.88 163.25 -0.85

Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 14-July-2011

Detail Buy Sell Net

Open Interest

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

INDEX FUTURES 2564.48 2670.24 (105.75) 443516 12405.65 -4.52

INDEX OPTIONS

11158.91 11065.41 93.50 1500006 42000.02 3.58

STOCK FUTURES

1627.56 1458.34 169.22 1136533 32046.59 1.06

STOCK OPTIONS

586.39 666.54 (80.15) 42077 1189.42 9.64

TOTAL 15937.34 15860.53 76.81 3122132 87641.68 9.75

Turnover on 14-July-2011

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 671261 17650.63 74.27

Stock Futures 552009 16061.11 48.21

Index Options 4023254 113587.89 65.92

Stock Options 173805 5126.55 51.28

Total 5420329 152426.17 64.23

Nifty Spot = 5599.80 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

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

Buy 5600 77.50 39.15 60.85 5639.15 Buy 5500 42.85 19.85 80.15 5480.15

Sell 5700 38.35 Sell 5400 23.00

Buy 5600 77.50 60.75 139.25 5660.75 Buy 5500 42.85 30.60 169.40 5469.40

Sell 5800 16.75 Sell 5300 12.25

Buy 5700 38.35 21.60 78.40 5721.60

Buy 5400 23.00 10.75 89.25 5389.25

Sell 5800 16.75 Sell 5300 12.25 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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