03 December 2010

Derivative Report -Angel Broking, India Research December 3, 2010

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Comments
 The Nifty futures’ open interest increased by 3.23%
while Minifty futures’ open interest increased by 2.17%
as market closed at 6011.70 levels.
 The Nifty Dec future closed at premium of 17.35
points, against a premium of 18.20 points in the last
trading session. On the other hand, Jan future closed
at a premium of 39.65 points.
 The PCR-OI increased from 1.22 to 1.24 points.
 The Implied volatility of At-the-money options
decreased from 16.50% to16.00%.
 The total OI of the market is `1,39,539cr and the
stock futures OI is `39,959cr.
 Few liquid counters where cost of carry is positive are
MOSERBEAR, GLAXO, INDIANB, PANTALOONR, and
TV-18.




View
 FIIs continued to cover their short positions in the
Index futures and the Stock futures and also formed
fresh long in them. They were net buyers of `386cr
in the cash market segment.
 Yesterday, significant build up was observed in the
5900 and 6000 put options. Though the combined
IV has decreased, IV for put option was almost
same, which is indicating mixed positions of buying
and selling in them.
 ROLTA may give a positive move up to `172-173
as continuous long formations were observed in it.
Thus, traders can trade with positive bias with a
stop loss of `160.
 GAIL is consolidating around current levels since
long. Some buying activities were observed in the
stock in the past few trading sessions. Positional
traders can form long around `487 for the target of
`510 with a stop loss of `480.

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