Derivative Report-Angel Broking, India Research Jan 31, 2011

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Comments
 The Nifty futures’ open interest decreased by 28.93%
while Minifty futures’ open interest decreased by 24.61%
due to expiry. Market closed at 5512.15 levels.
 The Nifty Feb future closed at a premium of 24.40
points, against a premium of 23.60 points in the last
trading session. On the other hand, March future closed
at a premium of 41.45 points.
 The PCR-OI has increased from 0.85 to 1.31 levels.
 The Implied volatility of At-the-money options for Feb
expiry increased from 21.00% to 21.50%.
 The total OI of the market is `1,11,738cr and the stock
futures OI is `31,377cr.
 Few liquid counters where cost of carry is positive are
MLL, GTLINFRA, PANTALOONR, STER, and CENTRALBK.
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 FIIs formed short positions in the Index futures and
the stock futures. They were net sellers of `707cr in
the cash market segment.
 In the last trading session, most of the call and put
options added significant open interest. Moreover,
the 5400 put added huge open interest and has
highest positions.
 SAIL is trading around its strong support. In the last
trading session when most of the stocks were down it
was showing some strength. We may see a positive
move in the stocks up to `168. Traders can form
long positions around `155-156 with a stop loss of
`150.
 In the past few trading sessions, continuous shorting
was observed in AUROPHARMA. We may see further
correction in the counter up to `1,136. Traders can
trade with negative bias with a stop loss of `1,210.