Derivative Report-Angel Broking, India Research Dec 16, 2010

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Comments
 The Nifty futures’ open interest decreased by 1.84%
while Minifty futures’ open interest increased by 3.11%
as market closed at 5892.30 levels.
 The Nifty Dec future closed at a premium of 2.8
points, against a premium of 16.20 points in the last
trading session. On the other hand, Jan future closed
at a premium of 28.40 points.
 The PCR-OI decreased from 1.24 to1.20 points.
 The Implied volatility of At-the-money options
increased from 18.25% to 18.75%.
 The total OI of the market is `1,47,639cr and the
stock futures OI is `38,466cr.
 Few liquid counters where cost of carry is positive are
NHPC, SCI, PATELENG, FSL, and STERLINBIO.

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 FIIs did some long unwinding in the Index futures,
while they formed some long positions in the stock
futures.
 Yesterday, unwinding was observed in most of the
put options mainly, in the 5600 and 5900 puts. On
the other hand, marginal unwinding was observed
in the 5900 and below call options.
 Some shorting was observed in FEDERALBNK from
higher levels. We may see further correction in the
stock up to `382. Positional traders can form short
positions around `410 with a stop loss of `424.
 Traders can trade with positive bias in BHARTIARTL
around `335 for the target of `350. Keep a stop
loss of `328. Some long formations were observed
in the stock and it is working as a defensive
counter.