09 March 2011

Derivative Report India Research- Mar 09, 2011

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The Nifty futures’ open interest increased by 1.69% while
Minifty futures’ open interest  increased  by 4.96% as
market closed at 5520.80 levels.
 The Nifty  March future closed at a premium of 15.45
points, against  a premium of 12.45 points  in the last
trading session. On the other hand, April future closed at
a premium of 35.35 points.
 The PCR-OI increased from 1.26 to 1.30 levels.
 The Implied volatility of At-the-money options decreased
24.00% to 22.25%.
 The total OI of the market is `1,28,335cr and the stock
futures OI is `30,439cr.
 Few liquid stocks where cost of carry is positive are
STRTECH, MOSERBAER, ORBITCORP,  TTML and
PRAJIND.



Comments
 The Nifty futures’ open interest increased by 1.69% while
Minifty futures’ open interest  increased  by 4.96% as
market closed at 5520.80 levels.
 The Nifty  March future closed at a premium of 15.45
points, against  a premium of 12.45 points  in the last
trading session. On the other hand, April future closed at
a premium of 35.35 points.
 The PCR-OI increased from 1.26 to 1.30 levels.
 The Implied volatility of At-the-money options decreased
24.00% to 22.25%.
 The total OI of the market is `1,28,335cr and the stock
futures OI is `30,439cr.
 Few liquid stocks where cost of carry is positive are
STRTECH, MOSERBAER, ORBITCORP,  TTML and
PRAJIND.



 FIIs formed some long positions in the Index futures.
They were net  buyers of  `237cr in the cash market
segment. Global cues are positive. As suggested by
SGX Nifty we may see an opening around 5545
levels.
 Yesterday,  build up was observed in the 5700 call
option and 5300 to 5500 put options, while some
unwinding was observed in the  5400 to 5600 call
options.
 NAGARCONST added  15% open interest around its
support levels. We believe it is buying positions. Thus,
we expect  a  positive move in the stock up to  `106.
Traders can form long positions with a stop loss of
`97.
 RPOWER has given a positive move only on the back
of short covering. Yesterday though the market was
positive stock was not showing strength. We may see
some weakness up to `119. Traders can use sell on
rise around `125 with a stop loss of `128



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