Derivative Report India Research Dec 31, 2010: Angel Broking,

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 The Nifty futures’ open interest increased by 6.15% while
Minifty futures’ open interest increased by 1.64% as
market closed at 6101.85 levels.
 The Nifty Jan future closed at a premium 28.95 of
points, against a premium of 47.15 points in the last
trading session. On the other hand, Feb future closed at
a premium 53.60 of points.
 The PCR-OI increased from 1.57 to1.84 points.
 The Implied volatility of At-the-money options for Jan
expiry decreased from 15.80% to 15.50%.
 The total OI of the market is `1,70,631cr and the stock
futures OI is `43,001cr.
 Rollover for Nifty futures is 61.20%, Banknifty futures is
75.74%, while market-wide rollover is 81.13%.
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 Yesterday, FIIs’ buying was observed in the Index
futures and the Stock futures. They were net buyers
of `2,186cr in the cash market segment.
 Significant build up was observed in the 6100 call
option, and 6000 and 6100 put options. In January
series, 6200 call and 6000 put options have
highest open interest.
 Rollover in Nifty futures is less in terms of
percentage as well as open interest, while Banknifty
rollover is almost same as of last month. Few liquid
stocks where rollover is high both in terms of open
interest and percentage are ASHOKLEY, IDEA,
IBREALEST, INFOSYSTCH and HDFCBANK.
 ESCORTS is showing continuous long formations
from lower levels. Yesterday, it added around 25%
open interest and rollover is also high, both in
terms of percentage and absolute open interest. We
may see further positive move up to `186-188.
Positional traders can use buy on dips around `167
with a stop loss of `160.