Derivative Report India Research May 19, 2011

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Comments
 The Nifty futures’ open interest increased by 0.74%
while Minifty futures’ open interest increased by
2.95% as market closed at 5420.60 levels.
 The Nifty May future closed at a premium of 3.45
points, against a premium of 8.45 points in the last
trading session. On the other hand, June future
closed at a premium of 14.20 points.
 The Implied Volatility has decreased from 18.74% to
18.45%.
 The PCR-OI has decreased from 0.90 to 0.89 points.
 The total OI of the market is `1,52,083cr and the
stock futures OI is `34,747cr.
 Few liquid counters where cost of carry is positive
are GTLINFRA, GTOFFSHORE, GTL, ALOKTEXT and
RANBAXY.
View
 Activity in F&O segment by FII’s was quite
muted from net position perspective. Again
they remain buyer of index options.
 5400 call option continued addition of huge
open interest on second consecutive day.
Disturbing the statistical comfort of not shorting
this market, 5200 put option yesterday added
35678 contracts in open interest and raised
some question mark on whether market may
hold its strong support around 5400 levels.
 NTPC has seen its open interest surging in last
two weeks. We are expecting short covering in
the counter. Buy around Rs. 169-170/-. Target @
Rs. 184/-. Stop Loss @ 164/-
 Many heavy weights like RELIANCE, SBIN,
BAJAJAUTO, etc in yesterdays trading session
added substantial open positions and we
believe its blend of long and short