29 August 2011

Derivative Report - August 29, 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased 20.19% while
Minifty futures’ open interest decreased by 19.68% as
market closed at 4747.80 levels.
 The Nifty Sep future closed at a premium of 0.90 point
against a discount of 2.90 points, while the Oct. futures
closed at a premium of 10.05 points.
 The Implied Volatility of at the money options increased
from 25.50% to 27.20%.
 The PCR-OI has increased from 0.95 to 1.27 points.
 The total OI of the market is `103,004cr and the stock
futures OI is `24,816cr.
 Few liquid stocks where cost of carry is positive are
TRIVENI, MLL, HINDZINC, HCLTECH and GVKPIL.


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 FIIs formed some long positions in the Index futures
though they formed some short positions in the stock
futures. They were net sellers of `226cr in the cash
market segment.
 In the last trading session, most of the call and put
options added significant open interest. The 5000
call and the 4600 put have highest open interest in
the September series.
 Due to high volatility in the market it is still not
advisable to take aggressive positions. Global cues
are positive. SGX Nifty is suggesting an opening
around 4790 levels.
 AXISBANK is looking attractive for a small positive
trading move. Traders can trade with positive bias for
the target of `1,030. Keep a stop loss of `985.
Historical Volatility
SCRIP HV
IDBI 64.28
RELCAPITAL 88.74
BPCL 29.06
BRFL 12.61
IFCI 66.60

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