Angel Broking: Derivative Report India Research Oct 13, 2010

 The Nifty futures’ open interest decreased by 0.15%
while Minifty futures’ open interest decreased by
0.32% as market closed at 6090.90 levels.
 The Nifty Oct future closed at a premium of 27.75
points, against a premium of 23.90 points in the last
trading session. On the other hand, Nov future closed
at a premium of 44.85 points.
 The PCR-OI increased from 1.30 to 1.33points.
 The Implied volatility of At-the-money options
decreased from 17.75% to 17.25%.
 The total OI of the market is Rs1,67,939cr and the
stock futures OI is Rs49,819cr.
 Few liquid counters where cost of carry is positive are
MLL, NMDC, PIRHEALTH, TULIP and PTC.


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 Unwinding of longs was observed in the Index
futures and shorting was observed in the stock
futures from the FIIs. They were net buyers of
Rs456cr in the cash market segment.
 Yesterday, the 6200 call option added highest open
interest. On the other hand, the 5900 and 6000
put options added significant open interest.
 Some long formations were observed in
APOLLOTYRE yesterday. Cost-of-Carry has also
increased in the past 2-3 trading sessions. We may
see a positive move in the stock up to Rs88. It is
advisable to buy around Rs83 with a stop loss of
Rs80.
 A blend of short covering and some long
formations was observed in GTOFFSHORE. Stock
still has some short positions. Due to further short
covering it may give a further positive move.
Therefore, it is advisable to form long for the target
of Rs430 with a stop loss of Rs388