23 November 2010
Derivative Report-Angel Broking, India Research November 23, 2010
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The Nifty futures’ open interest increased by 0.84%
while Minifty futures’ open interest decreased by
15.98% as market closed at 6010 levels.
The Nifty Nov future closed at par of futures, against a
discount of 0.15 points in the last trading session. On
the other hand, Dec future closed at a premium of
30.10 points.
The PCR-OI increased from 1.00 to 1.05 points.
The Implied volatility of At-the-money options for
November series increased from 18.50% to 19.80%,
while for December series, it was 17.80%.
The total OI of the market is `1,74,269cr and the
stock futures OI is `47,972cr.
Rollover for Nifty futures is 32.16%, Minifty futures is
33.14%, while market-wide rollover is 29.87%.
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FIIs have formed some long positions in the Index
futures. A blend of short covering and some long
formations was observed in the stock futures. They
were net buyers of `336cr in the cash market
segment.
Yesterday, mostly unwinding was observed in call
options, while significant build up was observed in
the 6000 put option.
PUNJLLOYD added around 10% open interest in
the last trading session. Stock is trading around its
support levels. We may see a positive move in the
stock up to `130. Positional traders can form long
around `112 with a stop loss of `105.
After significant shorting from higher levels some
unwinding was observed in DCHL. Due to short
covering we may see a positive move up to`137.
Traders can trade with positive bias around `121
with a stop loss of `115.
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