Angel Broking, Derivative Report India Research Nov 03, 2010

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Comments
 The Nifty futures’ open interest decreased by 0.12%
while Minifty futures’ open interest increased by 3.11%
as market closed at 6119 levels.
 The Nifty Nov future closed at a premium of 36.95
points, against a premium of 34.50 points in the last
trading session. On the other hand, Dec future closed
at a premium of 63.25 points.
 The PCR-OI increased from 1.28 to 1.29 points.
 The Implied volatility of At-the-money options for
November series increased from 19.70% to 20.00%.
 The total OI of the market is `1,46,225cr and the
stock futures OI is `47,627cr.
 Few liquid counters where cost of carry is positive are
COREPROTEC, PANTALOONR, PTC, GTL and DABUR.



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 FIIs again started the same strategy (forming shorts
in the stock futures and buying in the cash market
segment). They were net buyers of `461cr in the
cash market.
 Yesterday, the 6100 put option added highest open
interest and a mixed build up was observed in
many calls and put options.
 ABAN has corrected significantly from higher levels
due to long unwinding. Some buying was observed
in the stock in last trading session. We may see a
positive move up to `880. Therefore, it is advisable
to form long with a stop loss of `785.
 TATASTEEL has witnessed short formations from
higher levels and after some unwinding of shorts
from support levels, fresh buying was also observed
in the stock. We may see a positive move up to
`630-635. Traders can trade with positive bias with
a stop loss of `585.