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08 February 2011

Derivative Report- Angel Broking, India Research Feb 08, 2011

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 The Nifty futures’ open interest decreased by 0.56% while
Minifty futures’ open interest decreased by 8.17% as
market closed at 5396.00 levels.
 The Nifty Feb future closed at a discount of 1.95 points,
against a discount of 8.75 points in the last trading
session. On the other hand, March future closed at a
premium of 14.30 points.
 The PCR-OI has increased from 1.11 to 1.15 levels.
 The Implied volatility of At-the-money options for Feb
expiry decreased from 21.20% to 21.00%.
 The total OI of the market is `1,37,970cr and the stock
futures OI is `33,281cr.
 Few liquid counters where cost of carry is positive are
NAGARCONST, MOSERBAER, GTL, GLAXO, and IRB.
 Yesterday, FIIs’ buying was witnessed in most of the
segment though that was not very significant. Market
was consolidating in a very narrow range. As
suggested by SGX Nifty we may see a flattish opening
today.
 Yesterday among put options, unwinding was
observed in the 5500 strike and buildup was
observed in the 5100 and 5300 strikes.
 In the past few trading sessions, DLF is showing some
long formations. Short positions also exist in the
stock. A blend of short covering and fresh long can
further pull up the stock up to `250. Traders can
form long positions around `238 with a stop loss of
`232.
 Continuous shorting is witnessed in UCOBANK since
start of the February series. Correction up to `97 is
expected. Traders can trade with negative bias with a
stop loss of `107.

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