Derivative ReportIndia Research

July 22, 2010

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 1.03%, while, Minifty futures open interest increased by 10.56% as market closed at 5399.35 levels.

The Nifty July future closed at a premium of 4.45 points, against a discount of 4.20 points in the last trading session, while the Aug future closed at a premium of 12.15 points.

The PCR-OI decreased from 1.41 to 1.33 points.

The Implied volatility of At-the-money options has decreased from 17.50% to 17.00%.

The total OI of the market is Rs1,66,308cr and the stock futures OI is Rs44,335cr.

Few liquid counters where cost-of-carry is positive are MTNL, ISPATIND, HEXAWARE, GMDCLTD and GTL.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

CONCOR 60500 178.16 1400.85 -0.30

DABUR 2700000 43.92 205.95 0.27

DRREDDY 1103750 18.81 1404.75 -1.81

HINDALCO 24928000 16.02 156.45 2.39

GMRINFRA 41348000 14.12 60.80 -0.98

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.33 0.93

RELIANCE 0.17 0.19

BANKNIFTY 2.41 1.54

INFOSYSTCH 0.40 0.24

SBIN 1.19 0.96

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Although FIIs’ activity was not very significant in the Index Futures, their huge buying was seen in the Index options. At the same time, major build-up in the 5500 call option, which was around 48,000 contracts, suggests buying has happened at the strike.

Significant short positions exist in ACC and a small short covering was observed in the last trading session. We expect further positive move in the counter due to short covering. Positional traders can form long around Rs812-815, for the target price of Rs850, with the stop loss of Rs795.

We may see a positive move in GESHIP around Rs305. Forming long position is advisable around Rs283-285, keeping a stop loss of Rs276.

In Past two day’s build-up in BHEL was around 15% and CoC has also increased. Trading with positive bias is advisable around 2400 level, for the target of Rs2470, with the stop loss of Rs2370.

Historical Volatility

SCRIP HV

CROMPGREAV 44.46

AMBUJACEM 30.50

PTC 38.49

JSWSTEEL 43.76

SINTEX 37.61

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

SOBHA 121000 -8.33 342.65 0.59

INDIANB 1910000 -6.65 243.15 0.72

ALBK 2588000 -4.57 178.10 1.34

IFCI 93632000 -4.49 60.90 1.67

APIL 412000 -3.85 635.35 0.91

Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 21-July-2010

Detail Buy Sell Net

Open Interest

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

INDEX FUTURES 1300.79 1227.56 73.22 678446 18255.68 2.34

INDEX OPTIONS

7698.10 3821.84 3,876.25 2164753 58409.76 4.96

STOCK FUTURES

3644.40 3305.50 338.90 1253486 34182.35 1.06

STOCK OPTIONS

139.37 121.11 18.26 56150 1581.52 -1.38

TOTAL 12782.65 8476.01 4,306.64 4152835 112429.31 3.24

Turnover on 21-July-2010

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 506250 12764.01 21.25

Stock Futures 699731 19357.04 20.34

Index Options 2091064 56519.17 22.53

Stock Options 112889 3261.70 6.30

Total 3409934 91901.93 21.23

Nifty Spot = 5399.35 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

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

Buy 5400 55.10 37.05 62.95 5437.05 Buy 5300 23.25 14.40 85.60 5285.60

Sell 5500 18.05 Sell 5200 8.85

Buy 5400 55.10 50.70 149.30 5450.70 Buy 5300 23.25 19.90 180.10 5280.10

Sell 5600 4.40 Sell 5100 3.35

Buy 5500 18.05 13.65 86.35 5513.65

Buy 5200 8.85 5.50 94.50 5194.50

Sell 5600 4.40 Sell 5100 3.35 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

28-June-2010 RELIANCE Long Put Continue

05-July 2010 TATASTEEL Put Hedge Profit booked on 13-July-2010

12-July-2010 RENUKA Long Call Loss Booked on 19-July-2010

12-July-2010 ITC Long Put Profit booked on 19-July-2010

19-July-2010 SBIN Long Put Continue

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