Derivative Report- Angel Broking, India Research Feb 10, 2011

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 The Nifty futures’ open interest increased by 3.05% while
Minifty futures’ open interest decreased by 6.67% as
market closed at 5253.55 levels.
 The Nifty Feb future closed at a premium of 7.40 points,
against a premium of 1.90 points in the last trading
session. On the other hand, March future closed at a
premium of 17.55 points.
 The PCR-OI has decreased from 1.09 to 1.07 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 21.00% to 21.50%.
 The total OI of the market is `1,41,035cr and the stock
futures OI is `31,045cr.
 Few liquid counters where cost of carry is positive are
VOLTAS, GVKPIL, CENTRALBK, PTC, and FEDERALBNK.
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 FIIs formed long positions in the Index futures and
covered some of their short positions in the stock
futures. They were net sellers of `609cr in the cash
market segment.
 Yesterday, significant unwinding was observed in the
5400 put option. Among call options, the 5200 and
5300 strikes added significant open interest, while
unwinding was observed in the 5400 and 5500 call
options.
 Continuous unwinding was observed in HINDZINC in
the past few trading sessions. We may see further
correction in the stock up to `1170. Traders can
trade with negative bias with a stop loss of `1230.
 A blend of shorting and long unwinding was
observed in ROLTA. We expect further correction up
to `118-120. Forming short positions is advisable
with a stop loss of `138.