15 November 2010

Derivative Report India Research Nov 15, 2010-Angel Broking,

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 The Nifty futures’ open interest increased by 0.25%
while Minifty futures’ open interest increased by
11.50% as market closed at 6071.65 levels.
 The Nifty Nov future closed at a premium of 19.90
points, against a premium of 38.30 points in the last
trading session. On the other hand, Dec future closed
at a premium of 53.05 points.
 The PCR-OI decreased from 1.36 to 1.13 points.
 The Implied volatility of At-the-money options for
November series increased from 16.50% to 20.00%.
 The total OI of the market is `1,71,449cr and the
stock futures OI is `50,066cr.
 Few liquid counters where cost of carry is positive are
COREPROTEC, FEDERALBNK, GTL, KSOILS and
APOLLOTYRE.




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 FIIs formed short positions in the Index futures and
the stock futures. They were net sellers of `782cr in
the cash market segment.
 In the last trading session, most of the call options
added huge open interest. On the other hand,
unwinding was observed in In-the-money put
options, while 5900 and 6100 puts added
considerable open interest.
 NATIONALUM is trading around its support levels
of `395-396. Stock has corrected due to long
unwinding. Cost of carry is also positive. We may
see a positive move up to `415. Thus, it is
advisable to form long from support levels with a
stop loss of `388.
 ACC is showing some long unwinding from higher
levels. We may see further correction in the counter
up to `1,040. Traders can trade with negative bias
around `1,090 with a stop loss of `1,110.

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