Derivative Report India Research Mar 11, 2011

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Comments
 The Nifty futures’ open interest increased by 3.22% while
Minifty futures’ open interest  increased  by 2.77% as
market closed at 5494.40 levels.
 The Nifty  March future closed at a premium of 10.25
points, against  a premium of 10.80  points  in the last
trading session. On the other hand, April future closed at
a premium of 29.95 points.
 The PCR-OI increased from 1.27 to 1.29 levels.
 The Implied volatility of At-the-money options  is
marginally decreased from 22.00% to 21.85%.
 The total OI of the market is `1,33,020cr and the stock
futures OI is `31,424cr.
 Few liquid stocks where cost of carry is positive are TTML,
3IINFOTECH, RUCHISOYA, ISPATIND and FSL.



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 FIIs formed short  positions in the Index futures and
the stock futures. They were net sellers of `97cr in the
cash market segment.
 Yesterday, the 5400 put option added a considerable
open interest. However, unwinding was observed in
the 5600 call option and build up was observed in
the 5500 call.
 Although BHUSANSTL has given a continuous
positive move with buildup in open interest, negative
cost of carry has  increased significantly. Yesterday’s
build up  might be  a  short formation from higher
levels. We may see  correction in the stock up to
`408-410. Traders can trade with negative bias with
a stop loss of `430.
 CANBANK is showing  some  weakness from higher
levels. We may see correction in the stock up to
`570. Trading with negative bias is advisable with a
stop loss of `626