Apr 15, 2011 Derivative Report - Angel Broking, India Research

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 The Nifty futures’ open interest increased by 7.67% while
Minifty futures’ open interest increased by 14.93% as
market closed at 5911.50 levels.
 The Nifty April future closed at a premium of 26.60
points, against a premium of 17.95 points in the last
trading session. On the other hand, May future closed at
a premium of 43.70 points.
 The PCR-OI increased from 1.30 to 1.47 levels.
 The Implied volatility of At-the-money options is still
around the same levels of 17.00%.
 The total OI of the market is `1,38,185cr and the stock
futures OI is `35,171cr.
 Few liquid stocks where Cost of carry is positive are
OFSS, PTC, KSOILS, TTML, TATACOMM and GTLINFRA.
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 FIIs formed significant short positions in the stock
futures though a significant positive move was
observed in the last trading session. A blend of long
and fresh short formations was observed in the Index
futures, as open interest was up by more than 4%.
 In the last trading session, significant unwinding was
observed in the 5800 and 5900 call options and
huge build up was observed in most of the put
options.
 ASHOKLEY added 14% open interest in the last
trading session. CoC has also increased significantly.
We may see a positive move up to `59. Traders can
trade with positive bias with a stop loss of `53.50.
 ALBK has corrected from higher levels mainly due to
long unwinding. We may see a positive move up to
`235. Traders can trade with positive bias with a stop
loss of `220.