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The Nifty futures’ open interest increased by 6.62%
while Minifty futures’ open interest increased by
15.75% as market closed at 5865.75 levels.
The Nifty Nov future closed at premium of 7.50 points,
against a premium of 6.55 points in the last trading
session. On the other hand, Dec future closed at a
premium of 20.25 points.
The PCR-OI decreased from 1.01 to 0.97 points.
The Implied volatility of At-the-money options for
November series increased from 24.00% to 27.00%,
while for December series, it was 21.00%.
The total OI of the market is `1,79,490cr and the
stock futures OI is `46,084cr.
Rollover for Nifty futures is 63.24%, Minifty futures is
55.87%, while market-wide rollover is 63.90%.
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Although FIIs have formed some short positions
in the Index futures, they covered some of their
shorts in the stock futures. They were net sellers
of `473.30cr in the cash market segment.
Yesterday, unwinding was observed in most out
of the money put options and build up was
observed in the 6000 call option. In Dec. series
5800 put option added significant openinterest.
Continuous shorting was observed in HCC. We
may see further correction in the stock up to `52.
Thus, is advisable to use sell on rise strategy
around `58 in Dec. series, with a stop loss of
`61.
Few liquid stocks where rollover is high but open
interest is almost same are HINDUNILVR,
INDIACEM, RENUKA, RELINFRA and NTPC.
Rollover in Nifty futures is high (63.24%) against
53.19% last month though absolute open
interest is down by 6%.
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