Derivative Report -Angel Broking, India Research Feb 24, 2011

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 The Nifty futures’ open interest decreased by 3.24% while
Minifty futures’ open interest increased by 11.89% as
market closed at 5437.35 levels.
 The Nifty Feb future closed at a discount of 1.60 points,
against a premium of 1.15 points in the last trading
session. On the other hand, March future closed at a
premium of 5.60 points.
 The PCR-OI decreased from 1.21 to 1.18 levels.
 The Implied volatility of At-the-money options increased
from 23.25% to 23.25% for February series and for
March series it is 23.50%.
 The total OI of the market is `1,59,179cr and the stock
futures OI is `35,209cr.
 Rollover for Nifty futures is 49.43%, while Banknifty
rollover is 43.24%. Market wide rollover is 61.94%.
]View
 FIIs again unwounded some of their long positions in
the Index futures and the stock futures. They were net
sellers of `555cr in the cash market segment.
 In the last trading session, build up was observed in
the 5400 call option and a considerable unwinding
was observed in the 5500 and 5600 put options of
Feb series. However in the March series, the 5500 to
5700 call options are showing good amount of
buildup.
 A considerable unwinding was observed in
DENABANK in the past few trading sessions. Most of
the banking counters are weak. We may see
correction in the stock up to `93. Traders can trade
with negative bias in March series around `97 with a
stop loss of `99.
 NIFTY and BANKNIFTY both are suggesting almost
same rollover as of last month in percentage terms
but rollover is high in terms of absolute open interest.
Few large-caps where open interest has reduced and
rollover is also less are TATASTEEL, SAIL and
RELIANCE.