May 20, 2011; Derivative Report India Research --Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 1.37%
while Minifty futures’ open interest decreased by
0.37% as market closed at 5428.10 levels.
 The Nifty May future closed at a discount of 3.30
points, against a premium of 3.45 points in the last
trading session. On the other hand, June future
closed at a premium of 5.00 points.
 The Implied Volatility has decreased from 18.45% to
18.00%.
 The PCR-OI has decreased from 0.89 to 0.88 points.
 The total OI of the market is `1,52,999cr and the
stock futures OI is `35,049cr.
 Few liquid counters where cost of carry is positive
are GTLINFRA, HOTELEELA, TV-18, SREINFRA and
TTML.
View
 FII’s activity was muted in cash and futures
segment; however they squared off some long
positions in options segment.
 5500 put has seen some unwinding while 5400
continued addition in open interest though the
quantum of addition has reduced.
 ITC has seen substantial addition in open
interest yesterday and cost of carry has
plunged in red. Counter is near its resistance
zone of Rs. 192-194/-. Short around these levels
or slightly lower with a target price of Rs. 181/-.
Fix stop loss of Rs. 197/-.
 Fall in ICICIBANK yesterday was not backed by
any significant volumes. Good amount of short
positions have been created in last couple of
weeks. We expect short covering in this counter.
Buy around Rs. 1025-1030/-. Target @ Rs. 1082/-.
Stop Loss @ Rs. 998/-