Derivative Report India Research Dec 24, 2010

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􀂄 The Nifty futures’ open interest increased by 0.24% while
Minifty futures’ open interest increased by 1.23% as
market closed at 5980.00 levels.
􀂄 The Nifty Dec future closed at a premium of 16.15
points, against a premium of 15.15 points in the last
trading session. On the other hand, Jan future closed at
a premium of 42.65 points.
􀂄 The PCR-OI increased from 1.34 to1.35 points.
􀂄 The Implied volatility of At-the-money options decreased
from 15.50% to 14.50%.
􀂄 The total OI of the market is `1,60,754cr and the stock
futures OI is `41,519cr.
􀂄 Few liquid counters where cost of carry is positive are
COREPROJEC, RUCHISOYA, GTLINFRA, ZEEL and
TATAGLOBAL.


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􀂄 FIIs formed some long positions in the Index
futures, while they were net sellers of `143cr in the
cash market segment.
􀂄 Yesterday, there was no considerable changes were
observed in the call option however, some
unwinding was observed in the 5800 put and
buildup was observed in the 5900 and 6000 put
options.
􀂄 RELCAPITAL is showing some long formations from
lower levels. Significant short positions are also
standing in the stock. Due to short covering, we
may see a positive move in the stock up to `667.
Traders can form long positions with a stop loss of
`625.
􀂄 Although M&M has given a bounce from lower
levels, we do not expect stock to sustain at current
levels. Most of the auto counters are also weak. We
may see a negative move up to `720. Any positive
move can be use to trade with negative bias with a
stop loss of `772.