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28 January 2011

Derivative Report-Angel Broking, India Research Jan 28, 2011

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 The Nifty futures’ open interest increased by 7.77% while
Minifty futures’ open interest increased by 18.44% as
market closed at 5604.30 levels.
 The Nifty Feb future closed at a premium of 23.60
points, against a premium of 9.75 points in the last
trading session. On the other hand, March future closed
at a premium of 47.00 points.
 The PCR-OI has decreased from 0.89 to 0.85 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 19.15% to 21.00%.
 The total OI of the market is `1,66,500cr and the stock
futures OI is `38,983cr.
 Rollover for Nifty futures is 66.71%, Minifty futures is
64.91%, while market-wide rollover is 81.63%.
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 Yesterday, a significant selling was observed from FIIs
in the Index futures as well as in the cash market
segment. They were net sellers of `1,651cr in the
cash market.
 In new series, most of the call and put options added
significant open interest. The 5800 call and 5500 put
options have highest open interest.
 In the last trading session, considerable shorting was
observed in JINDALSTEL. Stock added around
16.00% open interest. CoC is also negative. We may
see a negative move in the stock up to `640.
Positional traders can trade with negative bias
around `680 with a stop loss of `700.
 In this series, although market wide rollover is almost
same as of last month, most of the stocks shed open
interest. Few large cap banking stocks are also
showing unwinding. Nifty future’s rollover is higher
than last month in percentage terms though open
interest has reduced. Banknifty futures rollover is less
both in terms of open interest and percentage.

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