Derivative Report - Angel Broking, India Research Feb 07, 2011

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 The Nifty futures’ open interest increased by 13.15%
while Minifty futures’ open interest increased by 26.82%
as market closed at 5395.75 levels.
 The Nifty Feb future closed at a discount of 8.75 points,
against a premium of 12.20 points in the last trading
session. On the other hand, March future closed at a
premium of 8.30 points.
 The PCR-OI has decreased from 1.24 to 1.11 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 19.30% to 21.20%.
 The total OI of the market is `1,35,388cr and the stock
futures OI is `32,638cr.
 Few liquid counters where cost of carry is positive are
FSL, GLAXO, CENTRALBK, DCB, and KFA.



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 FIIs formed some short positions in the Index futures.
On the contrary, they formed long positions in the
stock futures. Interestingly, FIIs and DIIs both were net
buyers in the cash market segment.
 In the last trading session, most of the call options
added significant open interest, which is a blend of
buying and selling both. On the other hand,
unwinding was observed in the 5400 and 5500 put
options.
 ABAN has strong support around `650. Stock is
consolidating around this level. We expect a short
covering bounce in the stock from support. Thus,
traders can use buy on dips for the target of `680
with a stop loss of `635.
 Cement counters are facing some selling pressure in
the market since past few trading days. We expect
further correction in AMBUJACEM up to `110-112.
Traders can trade with negative bias with a stop loss
of `124.