Angel broking-Derivative Report India Research- Mar 21, 2011

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 The Nifty futures’ open interest increased by 2.85% while
Minifty futures’ open interest  increased  by 16.32% as
market closed at 5373.70 levels.
 The Nifty  March future closed at a premium of  13.15
points, against  a premium of 20.00  points  in the last
trading session. On the other hand, April future closed at
a premium of 41.05 points.
 The PCR-OI decreased from 1.25 to 1.14 levels.
 The Implied volatility of At-the-money  options increased
from 24.25% to 25.00%.
 The total OI of the market is `1,44,986cr and the stock
futures OI is `31,711cr.
 Few liquid stocks where cost of carry is positive  are
CHENNPETRO,  INDIAINFO,  RUCHISOYA,  HCC and
JINDALSAW.



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 FIIs  unwound some of their long positions in the
Index futures and the stock futures. They were net
sellers of `524cr in the cash market segment.
 In the last trading session, significant build up was
observed in the  5300  to 5600 call options and
unwinding was observed in the 5400  to  5600 put
options.
 SESAGOA has support around current levels and
significant short positions are standing in the counter.
Due to short covering we may see a positive move up
to  `272. Traders can trade with positive bias with a
stop loss of `256.
 Most of the banking counters are weak. PNB has
strong resistance around 1095-1100 levels. Stock
may give correction around  `1050. Trading with
negative bias is advisable with a stop loss of `1120.