Derivative Report -Angel Broking, India Research Mar 08, 2011

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 The Nifty futures’ open interest decreased by 3.26% while
Minifty futures’ open interest decreased by 2.47% as
market closed at 5463.15 levels.
 The Nifty March future closed at a premium of 12.45
points, against a discount of 2.80 points in the last
trading session. On the other hand, April future closed at
a premium of 31.80 points.
 The PCR-OI decreased from 1.27 to 1.26 levels.
 The Implied volatility of At-the-money options increased
21.50% to 24.00%.
 The total OI of the market is `1,24,014cr and the stock
futures OI is `29,859cr.
 Few liquid stocks where cost of carry is positive are FSL,
DCHL, STRTECH, TTML and TV-18.
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 FIIs unwounded considerable long positions in the
Index futures and formed some short positions in the
stock futures.
 Yesterday, unwinding was observed in many put
options and in the 5600 call option. On the other
hand, build up was observed in the 5400 and 5500
call options.
 Most of the Banking counters, like IDBI, CANBANK
and UNIONBANK are weak. Traders can trade with
negative bias in UNIONBANK for the target of
`312-314 with a stop loss of `330. The stock was
showing some unwinding and negative CoC has also
increased.
 Continuous unwinding was observed in DLF. Also the
stock is not showing strength. We may see a negative
move up to `210. Traders can trade with negative
bias with a stop loss of `222.