Angel Broking- Derivative Report India Research-Mar 18, 2011

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 The Nifty futures’ open interest increased by just 0.09%
while Minifty futures’ open interest  decreased  by 4.14%
as market closed at 5446.65 levels.
 The Nifty  March future closed at a premium of  20.00
points, against  a premium of 12.70  points  in the last
trading session. On the other hand, April future closed at
a premium of 39.55 points.
 The PCR-OI decreased from 1.33 to 1.25 levels.
 The Implied volatility of At-the-money  options increased
from 23.75% to 24.25%.
 The total OI of the market is `1,41,853cr and the stock
futures OI is `31,988cr.
 Few liquid stocks where cost of carry is positive  TTML,
GTLINFRA, GSPL, ALOKTEXT and RUCHISOYA.


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 FIIs  formed short positions in the Index futures and
did some long  unwinding in the stock futures. They
were net  sellers of  `1129cr in the cash market
segment.
 Yesterday, significant build up was observed in the
5500 and 5600 call options and  unwinding was
observed in the 5400 and 5500 put options.
 Some long formations were observed in BAJAJHIND.
The stock is  consolidating around in strong support
levels. We may see a positive move  up to  `75.
Traders can form long positions with a stop loss of
`68.
 BAJAJ-AUTO witnessed some unwinding from higher
levels. Most of the auto stocks are  weak.  We may
see correction in the counter up to  `1300-1310.
Traders can trade with negative bias  around  `1380
with a stop loss of `1420.
Historical Volatili