Derivative Report -Angel Broking, India Research Mar 04, 2011

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 The Nifty futures’ open interest increased by 0.49% while
Minifty futures’ open interest decreased by 2.54% as
market closed at 5536.20 levels.
 The Nifty March future closed at a premium of 8.50
points, against a premium of 21.55 points in the last
trading session. On the other hand, April future closed at
a premium of 26.90 points.
 The PCR-OI decreased from 1.35 to 1.32 levels.
 The Implied volatility of At-the-money options increased
20.00% to 21.20%.
 The total OI of the market is `1,23,059cr and the stock
futures OI is `29,816cr.
 Few liquid stocks where cost of carry is positive are
NAGARFERT, GTOFFSHORE, KFA, ISPATIND and
KSOILS.
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 FIIs covered some of their short positions in the Index
futures. On the contrary, they formed some short
positions in the stock futures. They were net buyers of
`229cr in the cash market segment.
 Yesterday, the 5500 and 5600 call options and the
5400 put option were showing considerable build up.
In deep out of the money, the 4900 put also added
significant open interest.
 VOLTAS is showing some buying in it. In the past few
trading sessions, stock added more than 20% open
interest. We may see a positive move in the stock up
to `173. Traders can trade with positive bias with a
stop loss of `158.
 Although in the past few trading sessions metal
counters are underperforming the market, we expect
a positive move in JINDALSAW up to `208. Base
metal prices in LME are also positive. Day traders can
trade with positive bias with a stop loss of `194.