Derivative Report - 13 Sept 2011 -Angel Broking,

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 The Nifty futures’ open interest increased 4.12% while
Minifty futures’ open interest increased by 3.58% as
market closed at 4946.80 levels.
 The Nifty Sep future closed at a discount of 4.35 point
against a discount of 6.95 points. The October Series
closed at a Premium of 7.20 points.
 The Implied Volatility of at the money options is
increased from 24.24% to 30.47%.
 The PCR-OI was unchanged at 1.36.
 The total OI of the market is `1,28,588.50cr and the
stock futures OI is `27,865.35cr.
 Stocks where cost of carry is positive are GITANJALI,
SOBHA, SREINFRA, HAVELLS and PATNI.


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 Yesterday FII’s sold significantly in cash market and
we observed fresh shorting by them in index futures.
The way rupee was depreciating during market hours
it was quite clear that FII’s were selling in equity
markets.
 Call writers are shifting downwards from 5400 and
5100 strikes. Put unwinding is been witness in 5000
and 5100 strike. This is saying that trend is
downward, however sudden IV jump to 30+ levels
indicate that markets will be volatile and frequent
bounce back cannot be ruled out.
 IDFC is near to its strong support of `105/-.
Interestingly fall was on relatively less volumes and
we believe some contra longs have been formed. Buy
with stop loss of ` 103/- and Target of `117/-.
 SBIN can show some short covering bounce. For very
short term trader, buy around `1860/- with target of
` 1920/- and stop loss of ` 1835/-.
Historical Volatility
SCRIP HV
HINDUNILVR 26.07
YESBANK 56.56
INDUSINDBK 50.75
TITAN 47.93
IOB 44.16