Derivative Report: Angel Broking, India Research December 1, 2010

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Comments
 The Nifty futures’ open interest increased by 2.50%
while Minifty futures’ open interest decreased by
2.32% as market closed at 5862.70 levels.
 The Nifty Dec future closed at premium of 24.20
points, against a premium of 14.75 points in the last
trading session. On the other hand, Jan future closed
at a premium of 46.05 points.
 The PCR-OI decreased from 1.26 to 1.21 points.
 The Implied volatility of At-the-money options
decreased from 19.80% to18.50%.
 The total OI of the market is `1,30,371cr and the
stock futures OI is `37,308cr.
 Few liquid counters where cost of carry is positive are
HOTELEELA, BALRAMCHINI, ISPATIND, INDIANBANK,
and GTL.




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 A blend of short covering and some long
formations were observed in the Index futures from
FIIs. They were net buyers of `889cr in the cash
market segment.
 Yesterday, the 6200 call option and the 5800 put
options added a considerable open interest.
However, the 6000 call and the 5600 put options
have highest open interest.
 After significant correction from higher levels,
YESBANK added around 27% open interest around
support levels. We may see a positive move in the
stock up to `335. It is advisable form long with a
stop loss of `298.
 TATASTEEL is showing weakness amongst metal
stocks. Positive cost-of-carry has also decreased.
Therefore, it is advisable to trade with negative bias
around `590 for the target of `560. Keep a stop
loss at `602.