14 March 2011

Angel Broking Derivative Report India Research Mar 14, 2011

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 The Nifty futures’ open interest increased by 1.26% while
Minifty futures’ open interest  increased  by 2.87% as
market closed at 5445.45 levels.
 The Nifty  March future closed at a premium of 14.15
points,  against  a premium of 10.25 points  in the last
trading session. On the other hand, April future closed at
a premium of 37.10 points.
 The PCR-OI decreased from 1.29 to 1.28 levels.
 The Implied volatility of At-the-money options  is
marginally increased from 21.85% to 22.75%.
 The total OI of the market is `1,35,160cr and the stock
futures OI is `31,279cr.
 Few liquid stocks where cost of carry is positive are
STRTECH, ISPATIND, FSL, PETRONET and TULIP.


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 FIIs  unwound some of their long positions in the
Index futures and formed some short positions in the
stock futures. They were net sellers of  `244cr in the
cash market segment.
 In the last trading session, considerable build up was
observed in the 5500 and 5700 Call and  out-ofmoney Put options. However, unwinding was
observed in the In-the-money Put options.
 In the past few trading sessions, HDFCBANK was
witnessing some selling from higher levels. We may
see correction in the counter up to  `2,130. Traders
can trade with negative bias around  `2,200 with a
stop loss of `2,230.
 Some buying was observed in TATACHEM. Stock
added around 15%  open  interest in the past few
trading sessions. We may see a  small positive move
up to `338-340. Traders can trade with positive bias
around `327 with a stop loss of `322.

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