Derivative Report- Angel Broking, India Research Feb 21, 2011

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 The Nifty futures’ open interest increased by 3.11% while
Minifty futures’ open interest decreased by 7.82% as
market closed at 5458.95 levels.
 The Nifty Feb future closed at a discount of 5.30 points,
against a discount of 0.15 points in the last trading
session. On the other hand, March future closed at a
premium of 17.05 points.
 The PCR-OI decreased from 1.28 to 1.18 levels.
 The Implied volatility of At-the-money options increased
from 16.00% to 16.50%.
 The total OI of the market is `1,45,929cr and the stock
futures OI is `35,765cr.
 Few liquid counters where cost of carry is positive are
TVSMOTOR, RUCHISOYA, PANTALOONR, SCI and KFA.
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 FIIs formed some long positions in the Index futures
and the stock futures. They were net buyers of `208cr
in the cash market segment.
 In the last trading session, unwinding was observed
in many put options, mainly the 5500 put witnessed
unwinding of around 65,000 contracts. However, the
5400 and 5500 calls added considerable open
interest.
 Huge short positions are standing in ITC. Open
interest has been more than double in February
series. We expect a positive move in the stock due to
short covering up to `162. Traders can trade with
positive bias around `154-155, with a stop loss of
`151.
 Due to long unwinding TATASTEEL may give a
negative move up to `620. Traders can trade with
negative bias around `642 with a stop loss of `653.