May 18, 2011; Derivative Report India Research : Angel Broking,

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Comments
􀂄 The Nifty futures’ open interest increased by 1.41% while
Minifty futures’ open interest increased by 6.43% as
market closed at 5438.95 levels.
􀂄 The Nifty May future closed at a premium of 8.45 points,
against a discount of 10.30 points in the last trading
session. On the other hand, June future closed at a
premium of 20.10 points.
􀂄 The Implied Volatility has decreased from 19.41% to
18.74%.
􀂄 The PCR-OI has decreased from 0.96 to 0.90 points.
􀂄 The total OI of the market is `1,47,419cr and the stock
futures OI is `34,376cr.
􀂄 Few liquid counters where cost of carry is positive are
GTLINFRA, STRTECH, HOTELEELA, DCHL and BRFL.
View
􀂄 Both DII’s and FII’s were net sellers in cash market in
yesterday’s trading session. However there was not
meaningful index shorting by FII’s in futures and
despite lot of heavy weights correcting and adding
short positions, foreigners were net buyers of stock
futures.
􀂄 5400 call option has added significant open interest
and despite market correcting, implied volatility has
declined.
􀂄 SBIN added 45% in open interest due to huge short
pressure. 2500 call option has added 4637 contracts
in single trading session while most active put was
2400 of May series.
􀂄 Buy NEYVELILIG May futures around Rs. 100-101/-.
Target around Rs. 111/-. Stop Loss @ Rs. 96/-.