Derivative Report India Research Oct 28, 2010 :: Angel Broking,

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 The Nifty futures’ open interest increased by 1.70%
while Minifty futures’ open interest increased by 7.71%
as market closed at 6012.65 levels.
 The Nifty Oct future closed at a premium of 24.85
points, against a premium of 26.25 points in the last
trading session. On the other hand, Nov future closed
at a premium of 54.95 points.
 The PCR-OI decreased from 1.22 to 1.18 points.
 The Implied volatility of At-the-money options for
October series increased from 17.75% to 22.00%,
while for November series, it increased from
19.00% to 19.75%.
 The total OI of the market is `1,98,928cr and the
stock futures OI is `55,439cr.
 Rollover for Nifty futures is 53.19%, Minifty futures is
45.69%, while market-wide rollover is 60.41%.



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 FIIs have formed some short positions in the Index
futures and unwound some of their longs in the
stock futures.
 Yesterday, build up was observed in the 6000 and
6100 call option, and the 5900 and 6000 put
options of Oct series. In Nov. expiry most of the call
and put options added significant open interest.
The 6200 call and 5800 put options have highest
open interest in new series.
 In new series less rollover, in the Index futures as
well as market wide, was observed till now. Few
large cap stocks where rollover is less are
HDFCBANK, GAIL, SAIL, LT and ITC.
 After continuous short formations from higher levels
some unwinding was observed in NATIONALUM
yesterday. Stock has strong support around current
levels. It is advisable to trade with bias in the Nov.
series around `396 for the target of `415 with a
stop loss of `388.
 Traders can trade with negative bias in GRASIM for
the target of `2210 with a stop loss of `2310, as
stock is showing further weakness in it.