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28 February 2011

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

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 The Nifty futures’ open interest decreased by 36.57%
while Minifty futures’ open interest decreased by 40.84%
as market closed at 5303.55 levels.
 The Nifty March future closed at a premium of 10.25
points, against a premium of 16.65 points in the last
trading session. On the other hand, April future closed at
a premium of 31.85 points.
 The PCR-OI increased from 0.87 to 1.28 levels.
 The Implied volatility of At-the-money options decreased
26.00% to 25.00%.
 The total OI of the market is `1,03,974cr and the stock
futures OI is `27,746cr.
 Few liquid stocks where CoC is positive are
PANTALOONR, DISHTV, STRTECH, ISPATIND and
CHAMBLFERT.



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 FIIs’ buying was observed in the Index futures and the
stock futures, though they were net sellers of `561cr
in the cash market segment.
 In the last trading session, considerable build up was
observed in most of the call and put options, which is
mainly due to buying to hedge open positions, as IV
is high.
 In such a volatile market we would not advise to form
significant position before budget. So, it is advisable
to wait for time being.
 In the last trading session, some buying was observed
in many midcap Infra stocks. Traders can use buy on
dips strategy in IVRCLINFRA around `65-66. We may
see a positive move in the stock over `75. Keep a stiff
stop loss of `62.

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