Derivative Report -Angel Broking, India Research Feb 22, 2011

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 The Nifty futures’ open interest increased by 0.51% while
Minifty futures’ open interest increased by 3.72% as
market closed at 5518.60 levels.
 The Nifty Feb future closed at a premium of 9.55 points,
against a discount of 5.30 points in the last trading
session. On the other hand, March future closed at a
premium of 28.65 points.
 The PCR-OI increased from 1.18 to 1.24 levels.
 The Implied volatility of At-the-money options increased
from 16.50% to 21.50% and for March series it is
22.50%.
 The total OI of the market is `1,60,778cr and the stock
futures OI is `36,829cr.
 Rollover for Nifty futures is 24.81%, while Banknifty
rollover is 16.49%. Market wide rollover is 30.54%
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 FIIs formed some short positions in the Index futures.
They continued to form long positions in the stock
futures. They were net sellers of `245cr in the cash
market segment.
 In the last trading session, considerable unwinding
was observed in the 5400 and 5500 call options and
build up was observed in the 5500 put option. In the
March series, the 5500 call and the 5400 put have
highest open interest.
 After a positive move, MUNDRAPORT is showing
some unwinding from higher levels. We may see
correction in the stock up to `135. Traders can trade
with negative bias with a stop loss of `148.
 Some buying was observed in RANBAXY. Traders can
use buy on dips strategy around `502-`505 for the
target of `530 with a stop loss of `490.