May 17, 2011 Derivative Report, Angel Broking, India Research

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􀂄 The Nifty futures’ open interest increased by 5.42% while
Minifty futures’ open interest increased by 12.61% as
market closed at 5499.00 levels.
􀂄 The Nifty May future closed at a discount of 10.30
points, against a premium of 14.15 points in the last
trading session. On the other hand, June future closed at
a premium of 3.25 points.
􀂄 The Implied Volatility has increased from 18.44% to
19.41%
􀂄 The PCR-OI has decreased from 1.05 to 0.96 points.
􀂄 The total OI of the market is `1,42,515cr and the stock
futures OI is `33,782cr.
􀂄 Few liquid counters where cost of carry is positive are
TV-18, CESC, PATNI, KSOILS and ABIRLANUVO.



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􀂄 FII’s did buying in index options and again we have
seen substantial open interest built up in call options.
Shorting in index futures is not taking place by them
and cash base selling is also arrested.
􀂄 5500 call in Nifty has added 58,175 contracts in
open interest and implied volatility of calls has
increased indicating buying of this call by
participants.
􀂄 BANKINDIA in a range of 405 to 395 have added
huge open interest and CoC has increased. Stock is
near strong support zone. Go long at dips.
􀂄 NATIONALUM has seen some short covering and we
believe there is still more to come. Go long with stop
loss of 87 and target of 98.