04 February 2011

Derivative Report -Angel Broking, India Research Feb 04, 2011

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 The Nifty futures’ open interest increased by 0.36% while
Minifty futures’ open interest decreased by 14.86% as
market closed at 5526.75 levels.
 The Nifty Feb future closed at a premium of 12.20
points, against a premium of 10.50 points in the last
trading session. On the other hand, March future closed
at a premium of 28.70 points.
 The PCR-OI has increased from 1.16 to 1.24 levels.
 The Implied volatility of At-the-money options for Feb
expiry decreased from 21.50% to 19.30%.
 The total OI of the market is `1,28,888cr and the stock
futures OI is `32,773cr.
 Few liquid counters where cost of carry is positive are
ADANIPOWER, PANTALOONR, GTLINFRA, LICHSGFIN,
and GTL.
View
 Although FIIs have formed some short positions in the
Index futures, the buildup in open interest is
suggesting some are forming fresh long too. They
were also net buyers of `539cr in the cash market
segment.
 Yesterday, a considerable unwinding was observed in
the 5500 Call option. However, buildup was visible
in most of the Put options.
 ADANIPOWER is showing some long formations and
yesterday it added around 15% open interest. We
may see a positive move in the stock up to `132-
133. Traders can trade with positive bias with a stop
loss of `123.50.
 PTC has significant short positions and the stock is
trading around its support level of `100. Any dip up
to support can be used to trade with positive bias for
the target of `107. Keep a stop loss of `97.


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