Derivative Report-Angel Broking, India Research Jan 03, 2011

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Comments
 The Nifty futures’ open interest decreased by 37.32%
while Minifty futures’ open interest decreased by 34.30%
as market closed at 6134.50 levels.
 The Nifty Jan future closed at a premium 28.05 of
points, against a premium of 28.95 points in the last
trading session. On the other hand, Feb future closed at
a premium 55.35 of points.
 The PCR-OI decreased from 1.84 to 1.41 points.
 The Implied volatility of At-the-money options for Jan
expiry decreased from 15.50% to 15.00%.
 The total OI of the market is `1,07,851cr and the stock
futures OI is `36,303cr.
 Few liquid counters where cost of carry is positive are
MRF, APOLLOTYRE, TTML, PATELENG, and
SRTRANSFIN.



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 Liquidity from FII’s front has started flowing into
cash market and options segment. There has been
significant built up in 5900 put and 6300 call and
FII’s have bought index options at low IV’s.
 SCI post FPO announcement has seen big fall in
prices with formation of short positions. Very less
rollover in the counter and fresh long formation in
the support zone of 120-130 suggests contra
buying. Go long with stop loss of 121 and target of
152.
 Telecom counters have shown strong bounce back
from lower levels. TTML is exception and has
significant short positions standing in it. Counter is
also near to its strong support. We suggest going
long with stop loss of 18.50 and target of 21.50.