Derivative Report -Angel Broking, India Research Feb 14, 2011

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 The Nifty futures’ open interest increased by 2.53% while
Minifty futures’ open interest decreased by 13.03% as
market closed at 5310.00 levels.
 The Nifty Feb future closed at a premium of 7.45 points,
against a premium of 4.35 points in the last trading
session. On the other hand, March future closed at a
premium of 23.85 points.
 The PCR-OI has increased from 1.01 to 1.02 levels.
 The Implied volatility of At-the-money options for Feb
expiry decreased from 21.50% to 19.70%.
 The total OI of the market is `1,45,929cr and the stock
futures OI is `32,358cr.
 Few liquid counters where cost of carry is positive are
GLAXO, GTLINFRA, RUCHISOYA, GVKPIL, and KFA.
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 FIIs formed long positions in the Index futures and
the stock futures. They were net sellers of `538cr in
the cash market segment.
 In the last trading session, considerable buildup was
observed in the 5200 call option and unwinding was
observed in the 5300 above calls. On the other
hand, 5300 and below strike puts added a
considerable open interest.
 In the last trading session, CANBK was one of the top
five OI gainers. The buildup was mainly due to long
formations. We may see a positive move up to `570.
Traders can trade with positive bias with a stop loss
of `530.
 Day traders can trade with positive bias in TECHM.
Significant short positions exist in the stock. A short
covering bounce can be expected up to `585-587.
Keep a stop loss of `567.