Derivative ReportIndia Research July 13, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 0.51% while Minifty futures’ open interest increased by 8.20% as market closed at 5526.15 levels.

The Nifty July future closed at a premium of 13.80 points, against a premium of 0.95 points in the last trading session, while the Aug futures closed at a premium of 29.55 points.

The Implied Volatility of at the money options increased from 18.00% to 19.75%.

The PCR-OI decreased from 1.20 to 1.15 points.

The total OI of the market is `125,816cr and the stock futures OI is `33,500cr.

Few liquid stocks where CoC is positive are RUCHISOYA, MLL, RENUKA, ALOKTEXT and ABB.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

MPHASIS 790500 21.99 430.10 -5.60

DLF 25256000 10.96 220.65 -3.90

VIDEOIND 6502000 8.15 191.30 -1.85

INDIANB 988000 7.74 208.15 -2.53

TATASTEEL 15261000 7.45 572.00 -2.69

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.15 1.06

INFY 0.50 0.61

RELIANCE 0.43 0.43

SBIN 0.69 0.82

BANKNIFTY 1.32 0.69

View

FIIs continued to form short positions in the Index futures and the stock futures. They were net sellers of `969cr in the cash market segment.

Yesterday, huge build up was observed in the 5500 and 5600 call options and 5500 put option. However, unwinding was observed from 5600 to 5800 put options.

In the past few trading sessions, SAIL added significant short positions. Due to short covering we may see a positive move in the counter up to `136-138. Traders can form long positions with a stop loss of `126.

After outperforming in the past few trading sessions, selling was observed in IDEA. We may see further correction in the counter as negative CoC has increased considerably. Traders can trade with negative bias for the target of `73-74. Keep a stop loss of `81.

Historical Volatility

SCRIP HV

INFY 30.35

MPHASIS 46.18

PRAJIND 42.16

NCC 39.96

HDIL 58.95

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

FEDERALBNK 592000 -10.98 449.35 -1.15

ORIENTBANK 1004000 -9.14 329.40 -0.08

RAYMOND 829000 -7.79 383.40 -2.43

BATAINDIA 1847000 -7.56 617.60 -2.01

OIL 28000 -6.67 1282.05 0.87

Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 12-July-2011

Detail Buy Sell Net

Open Interest

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

INDEX FUTURES 2618.73 3263.77 (645.04) 475961 13134.61 2.25

INDEX OPTIONS

14508.08 13167.91 1,340.18 1424718 39365.48 10.89

STOCK FUTURES

1160.14 1537.10 (376.96) 1119279 31032.05 0.93

STOCK OPTIONS

821.50 867.32 (45.82) 36997 1048.28 9.27

TOTAL 19108.45 18836.10 272.34 3056955 84580.42 23.34

Turnover on 12-July-2011

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 639965 16691.42 88.93

Stock Futures 474537 13845.75 32.01

Index Options 4231098 118958.84 101.64

Stock Options 185043 5782.59 40.55

Total 5530643 155278.60 88.37

Nifty Spot = 5526.15 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

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

Buy 5600 62.10 30.50 69.50 5630.50 Buy 5500 73.35 31.05 68.95 5468.95

Sell 5700 31.60 Sell 5400 42.30

Buy 5600 62.10 47.45 152.55 5647.45 Buy 5500 73.35 50.20 149.80 5449.80

Sell 5800 14.65 Sell 5300 23.15

Buy 5700 31.60 16.95 83.05 5716.95

Buy 5400 42.30 19.15 80.85 5380.85

Sell 5800 14.65 Sell 5300 23.15 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

Derivative Report | India Research

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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