Derivatives report 15 june-2010

Derivative Report
India Research
June 15, 2010

Comments Nifty Vs OI
 The Nifty futures’ open interest increased by 1.69%,
while, Minifty futures open interest increased by
15.77% as market closed at 5197.70 levels.
 The Nifty June future closed at a premium of 7.10
points, as against a discount of 2.50 points in the last
trading session, while the July future closed at a
premium of 2.60 points.

 The PCR-OI increased from 1.44 to 1.47 points.

 The Implied volatility of At-the-money options
decreased from 21.00% to 18.50%.
 Some liquid counters where cost of carry is positive are
TV-18, RENUKA, BALRAMCHIN, NEYVELILIG and
PANTALOONR.

OI Gainers
OI PRICE
View
SCRIP OI CHANGE PRICE CHANGE  FIIs have formed long positions in the Index futures
(%) (%) and to hedge their long they were buying Index
UNITECH 70477500 23.69 68.70 0.66 options. They were net buyers of Rs348cr in the
cash market segment.
POLARIS 2316400 14.81 179.45 1.44
 Yesterday, significant unwinding was visible in the
CUMMINSIND 180650 14.44 587.60 -1.23
5000 and 5100 call options. On the put side, the
PFC 545800 13.47 298.90 -0.93 5100 and 5200 put options added huge open
interest.
TATAMOTORS 10565350 12.90 760.25 -0.61
 Today, we may see a flattish trading session and
OI Losers Mid-cap stocks may outperform. Significant short
positions exist in INDIAINFO. Due to short covering
OI PRICE
SCRIP OI CHANGE PRICE CHANGE we may see a good positive move in the counter.
(%) (%) Positional traders can form long positions, for the
target of Rs106, with the stop loss of Rs89.
DRREDDY 1026850 -11.53 1411.55 -3.72
 UNITECH has strong support around 68-69 levels.
GMDCLTD 870000 -8.81 126.40 1.36
In past two trading sessions significant build-up has
TECHM 1291800 -8.28 739.40 1.64 taken place. Therefore, buying of 70 call option at
Rs1.75 is advisable.
JISLJALEQS 106500 -5.75 1087.50 0.66
BEL 254717 -5.69 1765.75 2.12

Put-Call Ratio Historical Volatility

SCRIP PCR-OI PCR-VOL SCRIP HV

NIFTY 1.47 1.16 RELMEDIA 76.00

RELIANCE 0.51 0.36 RNRL 119.60

TATASTEEL 0.48 0.43 INFOSYSTCH 32.89

ONGC 1.03 0.27 RELCAPITAL 50.85

RCOM 0.81 0.31 WIPRO 36.24

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Derivative Report | India Research

FII Statistics for 14-June-2010 Turnover on 14-June-2010

Open Interest
No. of Turnover Change
Detail Buy Sell Net Instrument
Contracts (Rs. in cr.) (%)
Contracts Value Change
(Rs. in cr.) (%)
INDEX Index Futures 638430 15282.70 8.54
2810.68 1494.61 1,316.07 543220 14062.80 1.54
FUTURES
INDEX Stock Futures 516464 15486.25 3.14
6109.95 5609.19 500.76 1960767 50924.69 0.92
OPTIONS
STOCK Index Options 2588941 66102.68 18.48
1905.15 1924.33 (19.19) 984280 28486.95 2.26
FUTURES
STOCK Stock Options 103617 3268.75 -1.84
292.89 276.54 16.36 43189 1366.12 0.40
OPTIONS
TOTAL 11118.67 9304.67 1,814.00 3531456 94840.55 1.38 Total 3847452 100140.39 13.52

Nifty Spot = 5197.70 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

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

Buy 5200 64.60 Buy 5100 33.50
41.95 58.05 5241.95 14.75 85.25 5085.25
Sell 5300 22.65 Sell 5000 18.75
Buy 5200 64.60 Buy 5100 33.50
58.50 141.50 5258.50 22.30 177.70 5077.70
Sell 5400 6.10 Sell 4900 11.20
Buy 5300 22.65 Buy 5000 18.75
16.55 83.45 5316.55 7.55 92.45 4992.45
Sell 5400 6.10 Sell 4900 11.20

Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation

Nifty Put-Call Analysis

For Private Circulation Only SEBI Registration No: INB 010996539 2

Derivative Report | India Research

Strategy Date Scrip Strategy Status

31-May-2010 Nifty Long Put Ladder Continue

07-Jun-2010 HINDUNILVR Ratio Put Spread Continue

07-Jun-2010 RCOM Ratio Put Spread Continue

14-Jun-2010 HINDALCO Ratio Call Spread Continue

14-Jun-2010 LT Short Straddle Continue

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Derivatives report 15 june-2010

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Derivatives report 15 june-2010