17 February 2011

Derivative Report -Angel Broking, India Research Feb 17, 2011

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 The Nifty futures’ open interest increased by 1.14% while
Minifty futures’ open interest increased by 1.11% as
market closed at 5481.70 levels.
 The Nifty Feb future closed at a premium of 3.55 points,
against a discount of 4.90 points in the last trading
session. On the other hand, March future closed at a
premium of 21.75 points.
 The PCR-OI has decreased from 1.17 to 1.12 levels.
 The Implied volatility of At-the-money options for Feb
expiry decreased from 18.10% to 17.65%.
 The total OI of the market is `1,57,911cr and the stock
futures OI is `35,144cr.
 Few liquid counters where cost of carry is positive are
TVSMOTOR, SKUMARSYNF, INDHOTEL, HOTELEELA,
and GRASIM.
View
 There was not much of activity in the Index futures
from FIIs. They formed some long positions in the
stock futures. They were net sellers of `230cr in the
cash market segment.
 Yesterday, mainly unwinding was observed in most of
the call options. However, the 5300 to 5500 put
options added significant open interest.
 YESBANK has given a positive move only on the back
of short covering and now it is not showing much of
strength. We may see negative move in the stock up
to `265. Traders can trade with negative bias, with a
stop loss of `284.
 IDEA has significant short positions. Yesterday, the
stock added around 21% open interest and some
buying interest was also observed in the stock. We
may see a positive move up to `67. Traders can form
long positions with a stop loss of `61.50.

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