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The Nifty futures’ open interest increased by 4.71% while
Minifty futures’ open interest increased by 2.57% as
market closed at 6060.35 levels.
The Nifty Dec future closed at a premium 8.55 of points,
against a premium of 18.15 points in the last trading
session. On the other hand, Jan future closed at a
premium 47.15 of points.
The PCR-OI increased from 1.46 to1.57 points.
The Implied volatility of At-the-money options for Dec
expiry decreased from 17.00% to 15.50% and for Jan
expiry is 15.80%
The total OI of the market is `1,68,653cr and the stock
futures OI is `43,666cr.
Rollover for Nifty futures is 47.78%, Minifty futures is
48.66%, while market-wide rollover is 68.63%.
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FIIs covered some of their short positions in the
index futures though they formed some short
positions in the stock futures. They were net buyers
of `548cr in the cash market segment.
Yesterday, significant unwinding was observed in
the 6000 call and build up was observed in the
6000 and 6100 put options of December expiry. In
January series, many puts and 6200 call added a
considerable open interest.
Rollover of Nifty futures is less both the ways, in
terms of percentage and absolute open interest.
This is 47.78% against 63.24% last month, while
Banknifty rollover is less in percentage though in
terms of absolute open interest it is higher. Few
stocks where rollover is high are PANTALOONR,
INDIAINFO, BAJAJHIND and RELINFRA.
After some short covering from lower levels, long
formations were observed in INDIANB. We may see
a positive move up to `258. Positional traders can
form long positions in Jan series with a stop loss of
`241.
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