Derivative Report -Angel Broking, India Research Mar 01, 2011

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 The Nifty futures’ open interest increased by 14.78%
while Minifty futures’ open interest increased by just
0.25% as market closed at 5333.25 levels.
 The Nifty March future closed at a premium of 4.75
points, against a premium of 10.25 points in the last
trading session. On the other hand, April future closed at
a premium of 21.60 points.
 The PCR-OI decreased from 1.28 to 1.22 levels.
 The Implied volatility of At-the-money options decreased
25.00% to 23.00%.
 The total OI of the market is `1,10,747cr and the stock
futures OI is `28,174cr.
 Few liquid stocks where cost of carry is positive are
GMRINFRA, ASHOKLEY, GVKPIL, FSL and SUZLON.
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 A blend of short covering and some long formations
were observed in the Index futures from FIIs. They
also formed some long positions in the stock futures.
 Yesterday, the 5600 and 5700 call options and the
5300 put option were showing considerable build up.
Some buying was observed in the put options in the
last trading session.
 TECHM is showing some long unwinding from higher
levels. We may see some weakness in the counter.
Positional traders can form short positions around
`650 for the target of `620 with a stop loss of `665.
 In the past few trading sessions, YESBANK is trading
around the same levels. Stock added around 13%
open interest in the last trading session. We may see
a positive move up to `270. Traders can trade with
positive bias with a stop loss of `248.