Derivative ReportIndia Research July 08, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased by 5.21% while Minifty futures’ open interest increased by 22.09% as market closed at 5728.95 levels.

The Nifty July future closed at a premium of 15.65 points, against a premium of 11.20 points in the last trading session, while the Aug futures closed at a premium of 32.05 points.

The Implied Volatility of at the money options increased from 16.50% to 17.20%.

The PCR-OI increased from 1.25 to 1.34 points.

The total OI of the market is `117,227cr and the stock futures OI is `33,629cr.

Few liquid stocks where CoC is positive are FSL, DENABANK, MTNL, TRIVENI and KSOILS.

Nifty Vs OI

OI Gainers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

GODREJIND 4808000 53.61 222.60 8.40

GESHIP 555000 51.23 280.00 -1.29

JINDALSWHL 597250 38.41 1023.45 1.71

SUNTV 1716000 31.90 321.95 -3.42

FEDERALBNK 721000 29.68 470.40 2.19

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.34 0.87

RELIANCE 0.45 0.39

SBIN 1.02 0.59

BANKNIFTY 1.65 1.02

TATAMOTORS 0.43 0.27

View

FIIs covered some of their short positions in the Index futures. Although market has given a significant positive move yesterday their participation in stock futures was less. They were net buyers of `869cr in the cash market segment.

In the last trading session, huge build up was observed from the 5500 to 5800 put options and 5800 and above call options. The 5700 call is showing considerable unwinding in it.

CANBANK is showing some buying in it. CoC has also increased. We may see a positive move in the counter up to `550. Traders can trade with positive bias with a stop loss of `520.

AUROPHARMA added around 12% open interest in the last trading session. Stock has potential to go up to `180-182. Traders can form long positions with a stop loss of `167.

Historical Volatility

SCRIP HV

GODREJIND 51.55

DIVISLAB 32.15

MCDOWELL-N 37.64

TTML 71.87

BHARTIARTL 32.08

OI Losers

SCRIP OI OI

CHANGE (%)

PRICE PRICE

CHANGE (%)

GSPL 5760000 -8.05 94.95 1.39

PETRONET 2974000 -7.75 142.35 0.57

DRREDDY 944500 -6.02 1565.30 2.38

IOB 1518000 -5.95 145.75 1.85

TATACHEM 824000 -4.96 384.25 -0.21

Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 07-July-2011

Detail Buy Sell Net

Open Interest

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

INDEX FUTURES 2220.85 1619.80 601.05 443666 12683.60 -0.82

INDEX OPTIONS

7118.00 5854.97 1,263.03 1178947 33770.03 5.58

STOCK FUTURES

1214.75 1231.41 (16.66) 1084331 31151.00 1.25

STOCK OPTIONS

336.41 372.44 (36.03) 25668 714.73 10.90

TOTAL 10890.01 9078.63 1,811.38 2732612 78319.37 16.92

Turnover on 07-July-2011

Instrument No. of

Contracts Turnover

(Rs. in cr.) Change

(%)

Index Futures 466068 12450.27 58.88

Stock Futures 462639 13587.08 20.29

Index Options 2561984 73262.18 76.50

Stock Options 114780 3307.49 17.71

Total 3605471 102607.02 61.72

Nifty Spot = 5728.95 Lot Size = 50 Bull-Call Spreads

Bear-Put Spreads

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

Buy 5800 66.45 33.00 67.00 5833.00 Buy 5700 72.90 30.00 70.00 5670.00

Sell 5900 33.45 Sell 5600 42.90

Buy 5800 66.45 51.30 148.70 5851.30 Buy 5700 72.90 48.55 151.45 5651.45

Sell 6000 15.15 Sell 5500 24.35

Buy 5900 33.45 18.30 81.70 5918.30

Buy 5600 42.90 18.55 81.45 5581.45

Sell 6000 15.15 Sell 5500 24.35 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

04-July-2011 NIFTY Long Call Continue

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