Derivative Report India Research May 05, 2011 ::Angel Broking

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 The Nifty futures’ open interest increased by 1.53% while
Minifty futures’ open interest decreased by 0.99% as
market closed at 5537.15 levels.
 The Nifty May future closed at a premium of 0.90 points,
against a premium of 3.45 points in the last trading
session. On the other hand, Jun future closed at a
premium of 14.10 points.
 The PCR-OI decreased from 1.05 to 0.97 levels.
 The Implied volatility of At-the-money options increased
from 19.00% to 19.20%.
 The total OI of the market is `1,29,597cr and the stock
futures OI is `32,678cr.
 Few liquid counters where cost of carry is positive are
GTL, SREINFRA, TTML, FSL and NAGARFERT.



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 FIIs formed short positions in the Index futures and
the Stock futures. They were net sellers of `992cr in
the cash segment.
 Yesterday, unwinding was observed in the 5600 and
above put options and build up was observed in most
of the call options.
 ULTRACEMCO is showing continuous shoring from
higher levels. We may see further correction in the
counter up to `960-965. Traders can trade with
negative bias with a stop loss of `1035.
 IFCI has strong support around `49-50 levels.
Traders can form covered call writing strategy in the
counter. Buy IFCI future around support and sell
52.50 call around `1.00. Keep a stop loss of `47.