Derivative Report -Angel Broking, India Research Mar 24, 2011

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Comments
 The Nifty futures’ open interest decreased by 2.65% while
Minifty futures’ open interest increased by 2.06% as
market closed at 5480.25 levels.
 The Nifty March future closed at a premium of 20.00
points, against a premium of 20.30 points in the last
trading session. On the other hand, April future closed at
a premium of 38.25 points.
 The PCR-OI increased from 1.13 to 1.26 levels.
 The Implied volatility of At-the-money options decreased
from 22.25% to 18.50%.
 The total OI of the market is `1,45,535cr and the stock
futures OI is `33,141cr.
 Few liquid stocks where cost of carry is positive are
VIDEOIND, STERLINBIO, SUZLON, GTL and TV-18.
View
 FIIs formed long positions in the Index futures, while
formed some short positions in the Stock futures.
They were net buyers of `312cr and DIIs were net
buyers of `1,111cr in cash segment.
 Yesterday significant build up was observed in the
5400 to 5600 put options at the same time
unwinding was observed in the 5300 to 5500 call
options.
 Some buying was observed in the ABAN in the past
two trading sessions. Stock has short positions too.
Due to short covering we may see a positive move up
to `600. Traders can trade with positive bias with a
stop loss of `560.
 MUNDRAPORT is trading around its strong support
levels and witnessed some buying in it. Traders can
trade with positive bias in the counter for the target of
`137-138. Keep a stop loss of `129.