Derivative Report- Angel Broking, India Research Feb 03, 2011

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 The Nifty futures’ open interest decreased by 0.51% while
Minifty futures’ open interest decreased by 7.27% as
market closed at 5432.00 levels.
 The Nifty Feb future closed at a premium of 10.50
points, against a premium of 11.95 points in the last
trading session. On the other hand, March future closed
at a premium of 26.10 points.
 The PCR-OI has increased from 1.15 to 1.16 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 21.15% to 21.50%.
 The total OI of the market is `1,26,189cr and the stock
futures OI is `31,558cr.
 Few liquid counters where cost of carry is positive are
PANTALOONR, TATAMTRDVR, RUCHISOYA, NHPC, and
ABGSHIP.
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 FIIs have covered some of their short positions in the
Index futures and the stock futures.
 Yesterday, the 5500 and 5700 call options added a
considerable open interest and both these strikes
have almost same open interest. Amongst put
options, some build up was observed in the 5300
and 5400 strikes.
 WIPRO has given a small positive move only on the
back of short covering. We do not expect the stock to
sustain at current levels. Thus, trading with negative
bias is advisable for the target of `422 with a stop
loss of `445.
 Some buying was observed in IBREALEST in the last
trading session. Due to short covering, stock may
give a positive move up to `123-124. Traders can
trade with positive bias with a stop loss of `114.