16 February 2011

Derivative Report -Angel Broking, India Research Feb 16, 2011

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 The Nifty futures’ open interest increased by 0.41% while
Minifty futures’ open interest decreased by 0.90% as
market closed at 5481.00 levels.
 The Nifty Feb future closed at a discount of 4.90 points,
against a discount of 0.35 points in the last trading
session. On the other hand, March future closed at a
premium of 15.70 points.
 The PCR-OI has increased from 1.14 to 1.17 levels.
 The Implied volatility of At-the-money options for Feb
expiry remained around the same levels of 18.00%.
 The total OI of the market is `1,54,667cr and the stock
futures OI is `34,158cr.
 Few liquid counters where cost of carry is positive are
DCHL, TRIVENI, DCB, TTML, and RECLTD.




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 After two days of buying, FIIs shorted Index futures,
though continued to form long positions in the stock
futures. They were net buyers of `233cr in the cash
market segment.
 Yesterday, a considerable unwinding was observed in
the 5300 call and huge build up was observed in the
5500 and 5600 call options. Among put options,
5300 to 5500 strikes were showing good build up.
 GODREJIND has given a positive move mainly on
the back of long formations. Thus, stock may give
further upside up to `181. Traders can use buy on
dips strategy around `170 with a stop loss of `165.
 CIPLA has strong support around 300 levels. Stock is
consolidating around support and showing some
buildup. Positional traders can form long positions
around support with a stop loss of `292, for the
target of `320.


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