Derivative Report- Angel Broking, India Research Feb 02, 2011

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Comments
 The Nifty futures’ open interest increased by 9.52% while
Minifty futures’ open interest increased by 14.82% as
market closed at 5417.20 levels.
 The Nifty Feb future closed at a premium of 11.95
points, against a premium of 17.65 points in the last
trading session. On the other hand, March future closed
at a premium of 27.35 points.
 The PCR-OI has decreased from 1.27 to 1.15 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 21.00% to 21.15%.
 The total OI of the market is `1,23,980cr and the stock
futures OI is `31,494cr.
 Few liquid counters where cost of carry is positive are
SREINFRA, ABGSHIP, STERLINBIO, 3IINFOTECH, and
NEYVELILIG.
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 Yesterday, Nifty futures added significant open
interest and FIIs’ long formation is suggesting some
buying has taken place from lower levels. They were
net sellers of `1,037cr in the cash market segment.
 Yesterday, most of the call options added significant
open interest; moreover the 5500 call added a huge
open interest. Some unwinding was visible in the
5500 put option, while 5400 put continued to add
open interest.
 HCLTECH has significant long positions and some
selling was visible in the stock from higher levels. A
blend of shorting and some long unwinding may
drag the stock further down. Thus, today’s positive
move around 492-495 levels can be used to trade
with negative bias for the target of `460 with a stop
loss of `507.
 BALRAMCHIN was showing some long formations in
the last trading session. Due to short covering, we
may see a positive move in the stock up to `77-78.
Traders can trade with positive bias with a stop loss
of `69.