Derivative Report -Angel Broking, India Research Dec 10, 2010

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Comments
 The Nifty futures’ open interest increased by 1.53%
while Minifty futures’ open interest increased by
18.92% as market closed at 5766.50 levels.
 The Nifty Dec future closed at a premium of 13.40
points, against a premium of 20.25 points in the last
trading session. On the other hand, Jan future closed
at a premium of 38.20 points.
 The PCR-OI decreased from 1.14 to1.05 points.
 The Implied volatility of At-the-money options
increased from 17.75% to 20.00%.
 The total OI of the market is `1,45,282cr and the
stock futures OI is `36,314cr.
 Few liquid counters where cost of carry is positive are
GTLINFRA, ESCORTS, PTC, RUCHISOYA, and
LICHSGFIN.



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 In the last trading session, where market corrected
significantly, FIIs formed some long positions in the
Index futures, though they were net sellers of
`1,296cr in the cash market segment.
 Yesterday, significant build up was observed in
most of the call options and unwinding was
observed in the 5800 and above put options. The
5700 put option, which has highest open interest,
was showing some build-up. This is indicating
market may take support around this level.
 Although CENTURYTEX has corrected significantly
from higher levels, we may see further correction in
the stock up to `370-`375. Traders can trade with
negative bias around `402-`405, with a stop loss
of `415.
 Few stocks where traders can use buy on dips
strategy are GAIL and APOLLOTYRE. APOLLOTYRE
has strong support around `62. Buy around
support for the target of `68-`70. Keep a stop loss
at `59.