Derivative Report -Angel Broking, India Research Feb 23, 2011

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 The Nifty futures’ open interest decreased by 1.05% while
Minifty futures’ open interest increased by 3.31% as
market closed at 5469.20 levels.
 The Nifty Feb future closed at a premium of 1.15 points,
against a premium of 9.55 points in the last trading
session. On the other hand, March future closed at a
premium of 15.60 points.
 The PCR-OI decreased from 1.24 to 1.21 levels.
 The Implied volatility of At-the-money options increased
from 21.50% to 23.25% and for March series it is
23.50%.
 The total OI of the market is `1,60,672cr and the stock
futures OI is `35,930cr.
 Rollover for Nifty futures is 33.53%, while Banknifty
rollover is 40.32%. Market wide rollover is 44.60%.
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 FIIs unwounded significant long positions in the Index
futures. They unwounded some long positions in the
stock futures too. They were net sellers of `386cr in
the cash market segment.
 In the last trading session, considerable unwinding
was observed in the 5400 and 5500 put options and
build up was observed in the 5500 call option. In the
March series, the 5300 Put added highest open
interest.
 CANBANK has given a positive move mainly on the
back of short covering. From higher levels it is
showing some selling. We may see correction in the
stock up to `560. Traders can trade with negative
bias around `588-590 with a stop loss of `603.
 Few large-caps which added significant open interest
over a month and rollover is also comparatively high
are BHARTIARTL, TCS, PNB, ITC and DLF.