11 November 2010

Derivative Report India Research Nov 11, 2010: Angel Broking

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 The Nifty futures’ open interest increased by 3.36%
while Minifty futures’ open interest decreased by
1.94% as market closed at 6275.70 levels.
 The Nifty Nov future closed at a premium of 32.60
points, against a premium of 31.90 points in the last
trading session. On the other hand, Dec future closed
at a premium of 64.95 points.
 The PCR-OI decreased from 1.39 to 1.37 points.
 The Implied volatility of At-the-money options for
November series increased from 15.75% to 16.00%.
 The total OI of the market is `1,67,652cr and the
stock futures OI is `52,413cr.
 Few liquid counters where cost of carry is positive are
GTL, STERLINBIO, BOMDYEING, 3IINFOTECH and
SKUMARSYNF.





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 FIIs have formed some short positions in the Index
futures and the stock futures. Global cues are
flattish to positive. We may again see a range
bound trading session today.
 Yesterday, the 6300 call and put both options
added considerable open interest. IV is continuously
decreasing. This does not suggest any significant
negative move in the market.
 BHEL has its immediate support around `2,450.
Stock has corrected from higher levels due to some
long unwinding. We may see a positive move in the
stock up to `2,550. Thus, it is advisable to trade
with positive bias around support with a stop loss of
`2,400.
 IVRCLINFRA is trading around its strong support of
`145. In the past few trading sessions significant
build up was also observed. Positive move up to
`160 can be expected due to short covering.
Positional traders can form long with a stop loss of
`139.

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