Derivative market update: Angel Broking

SI Reporter / Mumbai 10 Feb 12 | 08:55 AM

The Nifty futures open interest increased by 2.50% while Minifty futures open interest increased by 6.77% as market closed at 5412.35 levels.

The Nifty Feb. future closed at a Premium of 24.70 point against a Premium of 20.55 points. The March Series closed at a Premium of 54.25 points.

The Implied Volatility of at the money options is decreased from 21.64% to 19.80%.

The PCR-OI has being increased from 1.41 to 1.45 points; The total OI of the market is Rs 1,36,375.9 crore and the stock futures OI are Rs 33,220 crore.

Few of the liquid counters where we have seen high cost-of-carry are ABGSHIP, JSWISPAT, JPPOWER, TATAPOWER and APIL.

FII’s continue to buy in cash market segment; they were net buyers worth of Rs 1,200 crore. On derivatives front they were net sellers in index futures while in index options they were net buyers.

On options front 5400 call option have seen some unwinding, while in put option 4900 and 5200 strike price have seen unwinding in open interest and 5300 and 5400 put option have seen continuous buildup of open interest in yesterday’s trading session.

In recent past we have seen good amount of open interest getting buildup in the counter of BIOCON and we believe it is a blend of long and short position getting buildup in this stock. In last few trading session we have seen some long position in this stock and we can also see some short covering rally in this counter which could take the counter to Rs 318. Hence we suggest going long with the stop loss of Rs 276.

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