Derivative Report India Research Apr 27, 2011 :Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 7.36% while
Minifty futures’ open interest decreased by 3.64% as
market closed at 5868.40 levels.
 The Nifty April future closed at a premium of 12.70
points, against a premium of 12.00 points in the last
trading session. On the other hand, May future closed at
a premium of 43.25 points.
 The PCR-OI decreased from 1.42 to 1.35 levels.
 The Implied volatility of At-the-money options increased
from 18.50% to 20.80% for April series and for May
series it is 19.50%.
 The total OI of the market is `1,57,953cr and the stock
futures OI is `39,998cr.
 Rollover for Nifty futures is 52.69% and for Minifty futures
it is 37.69%. Market wide rollover is 51.00%.



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 FIIs formed short position in the Index futures and the
stock futures. They were net sellers of `554cr in the
cash market segment.
 Yesterday, unwinding was observed in most of the
put options and build up was observed in the 5900
call option. However, the 6000 call is showing some
unwinding in it.
 PFC has significant short positions in it and stock has
strong support around 222 levels. Again the stock
has given a bounce from support. We may see a
positive move in the counter up to `240. Trades can
form long positions in May series, which is trading at
a discount. Keep a stop loss of `220.
 Few large-cap stocks where rollover is high in terms
of open interest and percentage are AXISBANK,
BHEL, LT, RELIANCE and NTPC.