Derivative Report-Angel Broking, India Research November 25, 2010

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Comments
 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%.