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21 January 2011

Derivative Report-Angel Broking, India Research Jan 21, 2011

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Comments
 The Nifty futures’ open interest decreased by 0.73% while
Minifty futures’ open interest decreased by 4.18% as
market closed at 5711.60 levels.
 The Nifty Jan future closed at a premium of 6.65 points,
against a discount of 1.90 points in the last trading
session. On the other hand, Feb future closed at a
premium of 30.50 points.
 The PCR-OI has increased from 0.88 to 0.91 levels.
 The Implied volatility of At-the-money options increased
from 17.50% to 18.50%.
 The total OI of the market is `1,55,120cr and the stock
futures OI is `37,081cr.
 Few liquid counters where cost of carry is positive are
NAGARFERT, COREPROTEC, MPHASIS, APOLLOTYRE
and CHAMBLFERT.
View
 FIIs unwounded some of their long positions in the
Index futures, while continued to form long positions
in the stock futures. However, they were net sellers of
`944cr in the cash market segment.
 Yesterday, huge unwinding was observed in the 5700
call option, also most of the put options were
showing some unwinding.
 HINDUNILVR added around 20% open interest in the
past two trading sessions. After correction from
higher levels, stock is consolidating around current
levels in the past few trading sessions. We may see a
positive move up to `310-`312. Traders can trade
with positive bias with a stop loss of `295.
 HDFC was showing some strength yesterday. Stock
has significant short positions too. As global cues are
suggesting we may see a negative opening today.
Thus, negative move around `650 can be used to
trade with positive bias by the day traders, for the
target of `670. Keep a stop loss of `640.

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