Derivative Report -Angel Broking, India Research Feb 25, 2011

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 The Nifty futures’ open interest increased by 20.86%
while Minifty futures’ open interest increased by 33.58%
as market closed at 5262.70 levels.
 The Nifty March future closed at a premium of 16.65
points, against a premium of 5.60 points in the last
trading session. On the other hand, April future closed at
a premium of 34.90 points.
 The PCR-OI decreased from 1.18 to 0.87 levels.
 The Implied volatility of At-the-money options increased
from 23.50 to 26.00%.
 The total OI of the market is `1,61,980cr and the stock
futures OI is `34,006cr.
 Rollover for Nifty futures is 64.79%, while Banknifty
rollover is 71.43%. Market wide rollover is 79.40%.
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 FIIs’ selling was observed in the Index futures and the
stock futures. They were net sellers of `2702cr in the
cash market segment.
 Yesterday, significant build up was observed in the
5300 to 5500 call options and 5000 to 5300 put
options. Deep out of the money, the 4700 put also
added a considerable open interest.
 Yesterday, significant correction was observed in the
market and considerable short positions are existing.
Participants who have shorts can cover their
positions. As it is advisable to stay light before
budget.
 Few large-caps where comparatively high rollover
was witnessed in terms of open interest are ONGC,
ITC, DLF, HDFC and M&M. Market wide rollover is
almost same as of last month while Nifty rollover is
relatively high in terms of open interest.
 Day traders can trade with positive bias in
KOTAKBANK for the target of `410 with a stop loss
of `392.