Derivative Report -Angel Broking, India Research Jan 27, 2011

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Comments
 The Nifty futures’ open interest increased by 4.94% while
Minifty futures’ open interest increased by 13.86% as
market closed at 5687.40 levels.
 The Nifty Jan future closed at a discount of 1.00 point,
against a discount of 2.80 points in the last trading
session. On the other hand, Feb future closed at a
premium of 11.90 points.
 The PCR-OI has decreased from 0.93 to 0.89 levels.
 The Implied volatility of At-the-money options for Jan
expiry decreased from 18.50% to 14.00% and for Feb
expiry it is 18.50%
 Rollover for Nifty futures is 46.89%, Minifty futures is
45.56%, while market-wide rollover is 60.51%.
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 In the last trading session, although FIIs net buying
was not significant in the Index futures, a strong build
up has been observed in it. However, they covered
some of their short positions in the stock futures.
 In the last trading session, buildup was visible in the
5700 and 5800 call options in January as well as in
February series, while unwinding was observed in the
5700 and 5800 put options in January expiry.
However, 5700 put option of February series added
highest open interest.
 CANBANK has given a positive move only on the
back of short covering in the past few trading
sessions. In the last trading session some weakness
was observed in the stock. We may see a negative
move up to `580. Traders can trade with negative
bias in it with a stop loss of `610.
 Few large cap stocks where rollover is high both in
terms of open interest and percentage are
TATASTEEL, HINDUNILVR, BHEL, INFOSYSTCH and
LT.