Derivative Report -Angel Broking, India Research Mar 31, 2011

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Comments
 The Nifty futures’ open interest increased by 4.13% while
Minifty futures’ open interest increased by 2.40% as
market closed at 5787.65 levels.
 The Nifty March future closed at a premium of 11.75
points, against a premium of 15.10 points in the last
trading session. On the other hand, April future closed at
a premium of 51.50 points.
 The PCR-OI increased from 1.63 to 1.67 levels.
 The Implied volatility of At-the-money options decreased
from 23.00% to 22.00% for March series and for April it
is 19.00%.
 The total OI of the market is `1,65,995cr and the stock
futures OI is `36,067cr.
 Rollover for Nifty futures is 58.95%, while for Banknifty
futures it is 57.59%. Market wide rollover is 65.53%.
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 FIIs continued to form long positions in the Index
futures and selling in the stock futures. They were net
buyers of `740cr in the cash market segment.
 Yesterday, considerable unwinding was observed in
the 5600 to 5800 call options, while significant build
up was observed in the 5900 call and 5800 put
options in march series. In April series, the 5800 call
and 5500 put options have highest open interest.
 A considerable long unwinding was observed in
BHARTIARTL in the last trading session. We may see
some correction in the stock due to further profit
booking. Traders can trade with negative bias
around `365 in April futures for the target of `350
with a stop loss of `372.
 Few liquid stocks where rollover is high both in terms
of percentage and open interest are CANBANK,
JSWSTEEL, ALBK, LITL and MARUTI.