18 August 2011

Aug 18, 2011 Derivative Report -Angel Broking, India Research

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Comments
 The Nifty futures’ open interest decreased 4.16% while
Minifty futures’ open interest decreased by 1.97% as
market closed at 5056.60 levels.
 The Nifty Aug future closed at a premium 10.15 point
against a discount of 8.10 points, while the Sep futures
closed at a premium of 20.95 points.
 The Implied Volatility of at the money options decreased
from 28.00% to 25.25%.
 The PCR-OI has increased from 1.03 to 1.07 points.
 The total OI of the market is `139,905cr and the stock
futures OI is `29,930cr.
 Few liquid stocks where CoC is positive are KSOILS,
TTML, SKUMARSYNF, GTOFFSHORE and DCHL.
View
 FIIs formed some long positions in the Stock futures
and unwound some of their longs in the Index
futures. They were net sellers of `408cr in the cash
market segment.
 In the last trading session, the 4800 Put option added
highest open interest and some unwinding was
observed in the 5000 Put option. However, there was
not much change observed in call options.
 IDFC has significant short positions and stock is
trading around very low levels. Yesterday, the cost of
carry has turned from negative to positive. We may
see a positive move up to `118-120. Traders can
trade with positive bias with a stop loss of `109.
 BAJAJHIND has corrected significantly but significant
short build up was not observed in the counter.
Yesterday some buying was observed and cost of
carry has increased significantly. We may see a
positive move up to `58. Trading with positive bias is
advisable with a stop loss of `52.
Historical Volatility
SCRIP HV
JETAIRWAYS 89.41
BEL 29.91
BFUTILITIE 83.63
ASHOKLEY 49.70
DCB 56.00

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