Derivative Report India Research Nov 01, 2010 - Angel Broking

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Comments
 The Nifty futures’ open interest decreased by 30.70%
while Minifty futures’ open interest decreased by
30.43% as market closed at 6017.70 levels.
 The Nifty Nov future closed at a premium of 25.90
points, against a premium of 76.25 points in the last
trading session. On the other hand, Dec future closed
at a premium of 51.00 points.
 The PCR-OI increased from 1.10 to 1.20 points.
 The Implied volatility of At-the-money options for
November series increased from 19.50% to 20.00%.
 The total OI of the market is `1,33,827cr and the
stock futures OI is `44,658cr.
 Few liquid counters where cost of carry is positive are
COREPROTEC, KSOILS, NAGARFERT, RUCHISOYA
and TATAMTRDVR.


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 FIIs have formed some short positions in the Index
futures and the stock futures. They were net buyers
of `735cr in the cash market segment.
 In the last trading session, most of the call options
added substantial open interest and total open
interest is more or less same for many calls. Thus,
initial option data is not suggesting any strong
resistance for the market. However, 6000 put
option has highest open interest and many puts
also added considerable open interest.
 From higher levels, ONGC added significant short
positions in it. We expect positive move due to short
covering in the stock. Therefore, it is advisable to
trade with positive bias for the target of `1375 with
a stop loss of `1280.
 PTC is showing some long unwinding from higher
levels. Positive move around `138 can be used to
trade with negative bias for the target of
`126-`127. Keep a stop loss of `142.