Derivative Report -Angel Broking, India Research Mar 28, 2011

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 The Nifty futures’ open interest increased by 2.33% while
Minifty futures’ open interest increased by 14.42% as
market closed at 5654.25 levels.
 The Nifty March future closed at a premium of 26.45
points, against a premium of 23.40 points in the last
trading session. On the other hand, April future closed at
a premium of 46.90 points.
 The PCR-OI increased from 1.34 to 1.52 levels.
 The Implied volatility of At-the-money options decreased
from 18.50% to 17.50%.
 The total OI of the market is `1,52,222cr and the stock
futures OI is `34,405cr.
 Rollover for Nifty futures is 37.45%, while for Banknifty
futures it is 29.19%. Market wide rollover is 27.95%.

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 FIIs formed significant long positions in the Index
futures. Interestingly, though the most of the stocks
were positive, they formed short positions in the
stocks futures. They were net buyers of `1,446cr in
the cash market segment.
 In the last trading session, huge build up was
observed in the 5600 and 5700 put options and
unwinding was observed in the 5400 to 5600 call
options.
 VIJAYABANK is showing some short covering. Still the
stock has some short positions. Due to further short
covering we may see a positive move up to `79-80.
Traders can trade with positive bias with a stop loss
of `74
 Positional traders can form long positions in DABUR.
Stock added around 20% open interest in the past
two trading sessions. We expect a positive move up
to `100. Keep a stop loss of `95.