Derivative Report -Angel Broking, India Research Mar 07, 2011

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 The Nifty futures’ open interest increased by 2.72% while
Minifty futures’ open interest increased by 1.02% as
market closed at 5538.75 levels.
 The Nifty March future closed at a discount of 2.80
points, against a premium of 8.50 points in the last
trading session. On the other hand, April future closed at
a premium of 14.55 points.
 The PCR-OI decreased from 1.32 to 1.27 levels.
 The Implied volatility of At-the-money options increased
21.20% to 21.50%.
 The total OI of the market is `1,25,497cr and the stock
futures OI is `30,063cr.
 Few liquid stocks where cost of carry is positive are
VIDEOIND, ADANIPOWER, TTML, ABAN and ALOKTEXT
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 In the last trading session, some short covering was
observed in the stock futures from FIIs. They were net
buyers of `586cr in the cash market segment.
 The 5600 call option added huge open interest in the
last trading session and mainly unwinding was
observed in many out of the money put options. The
5600 put also added a considerable open interest.
 ASHOKLEY has given a positive move mainly on the
back of short covering. It is not showing much
strength from current levels. In the last trading
session, considerable unwinding was observed and
cost of carry also turned to negative. We may see a
negative move up to `50-51. Traders can trade with
negative bias with a stop loss of `55.50.
 SAIL has strong support around `152-153 levels.
Negative move around support can be used to trade
with positive bias with a stop loss of `149 for the
target of `160.