Derivative Report-Angel Broking, India Research Nov 24, 2010

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Comments
 The Nifty futures’ open interest increased by 4.20%
while Minifty futures’ open interest decreased by
2.67% as market closed at 5934.75 levels.
 The Nifty Nov future closed at premium of 6.55 points.
On the other hand, Dec future closed at a premium of
28.75 points.
 The PCR-OI increased from 1.01 to 1.00 points.
 The Implied volatility of At-the-money options for
November series increased from 19.15% to 24.00%,
while for December series, it was 20.50%.
 The total OI of the market is `1,77,735cr and the
stock futures OI is `47,062cr.
 Rollover for Nifty futures is 51.25%, Minifty futures is
42.77%, while market-wide rollover is 47.70%.




View
 FIIs have formed short positions in the Index futures
and covered some of their short positions in the
stock futures. They were net sellers of `1,493cr in
the cash market segment.
 Yesterday, significant build up was observed in the
5900 and 6000 call options and unwinding was
observed in put options. In Dec series 6000 call
option has highest open interest. On the other
hand, 5600 to 5800 puts have almost same open
interest.
 GRASIM added around 28% open interest yesterday
and the stock is showing some strength too. We
may see a positive move up to `2,290. Traders can
use buy on dips around `2,225 with a stop loss of
`2,200.
 Continuous unwinding was visible in TRIVENI and
most of the sugar counters are weak. We may see a
negative move up to `97. Trades can trade with
negative bias with a stop loss of `110.