Derivative Report-Angel Broking, India Research Jan 24, 2011

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Comments
 The Nifty futures’ open interest increased by 5.92% while
Minifty futures’ open interest increased by 4.82% as
market closed at 5696.50 levels.
 The Nifty Jan future closed at a premium of 4.10 points,
against a premium of 6.65 points in the last trading
session. On the other hand, Feb future closed at a
premium of 32.10 points.
 The PCR-OI has decreased from 0.91 to 0.89 levels.
 The Implied volatility of At-the-money options for Jan
expiry decreased from 18.50% to 15.30% and for Feb
expiry it is 19.75%
 The total OI of the market is `1,57,069cr and the stock
futures OI is `38,885cr.
 Rollover for Nifty futures is 17.28%, Minifty futures is
14.40%.
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 FIIs formed short positions in the Index futures. They
were net sellers of `368cr in the cash market
segment.
 In the last trading session, 5700 and 5800 call
options and 5600 put option added significant open
interest. On the other hand, the 5500 and 5700 put
options were showing unwinding in them.
 Significant short positions are standing in
BHARATFORG. In the last trading session some
buying was observed in the stock. Due to short
covering we may see a positive move in the counter
up to `375. Positional traders can trade with positive
bias with a stop loss of `338.
 After unwinding of positions in the past few trading
sessions, ORIENTBANK added around 25% in the last
trading session. We expect a positive move up to
`372-`375. Thus, day traders can trade with positive
bias around `358 with a stop loss of `352.