Derivative Report India Research - Mar 10, 2011

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 The Nifty futures’ open interest increased by 3.77% while
Minifty futures’ open interest  increased  by 4.49% as
market closed at 5531.00 levels.
 The Nifty  March future closed at a premium of 10.80
points, against  a premium of 15.45 points  in the last
trading session. On the other hand, April future closed at
a premium of 30.10 points.
 The PCR-OI decreased from 1.30 to 1.27 levels.
 The Implied volatility of At-the-money options decreased
22.25% to 22.00%.
 The total OI of the market is `1,30,906cr and the stock
futures OI is `31,026cr.
 Few liquid stocks where cost of carry is positive are TTML,
NAGARFERT, 3IINFOTECH, HCC and ESCORTS.


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 Yesterday, market was  moving in a narrow  range
and FIIs’ activity was also very less in the  futures’
segment. They were net buyers of `131cr in the cash
market segment.
 Yesterday,  the 5600 call option added  around
16,000 contracts  while some unwinding was
observed in most of the put options.
 In the past few trading sessions, some unwinding was
observed in  HDFC from higher levels. Due to profit
booking we may see correction in the counter around
`650. Traders can form short positions with a stop
loss of `686.
 Selling pressure has taken some  halt in
ADANIPOWER. Stock has significant short positions.
Due to short covering stock may give a small positive
move up to  `116. Traders can trade with  positive
bias around `111. Keep a stop loss of `109.
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