Derivative Report India Research - Mar 23, 2011

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 The Nifty futures’ open interest increased by 1.41% while
Minifty futures’ open interest  decreased  by 8.69% as
market closed at 5413.85 levels.
 The Nifty  March future closed at a premium of  20.30
points, against  a premium of  15.35 points  in the last
trading session. On the other hand, April future closed at
a premium of 43.20 points.
 The PCR-OI remained at the same level of 1.13.
 The Implied volatility of At-the-money options decreased
from 26.00% to 22.25%.
 The total OI of the market is `1,44,520cr and the stock
futures OI is `32,414cr.
 Few liquid stocks where cost of carry is positive  are
VIDEOIND, SUZLON, BRFL, NAGARFERT and
RUCHISOYA.


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 FIIs  formed long positions in the Index futures and
the Stock futures. They were net buyers of  `236cr in
the cash market segment.  
 Yesterday unwinding was observed in the 5500 and
5600 call options, while  considerable  build was
observed in the 5400 put option.
 Significant build up was observed in many cement
stocks in the last  trading session. INDIACEM also
added around 20% open interest. Some long
formations were observed in the stock. We may see a
positive move up to `98-99. Traders can form long
position with a stop loss of `89.
 Continuous shorting was observed in MCDOWELL-N.
We may see further correction up to `1000. Traders
can trade with negative bias around  `1035 with a
stop loss of `1050.