21 September 2011

Derivative Report - 21 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased 1.54% while
Minifty futures’ open interest increased by 15.16% as
market closed at 5140.20 levels.
 The Nifty Sep future closed at a premium of 16.50 point
against a premium of 5.20 points. The October Series
closed at a Premium of 30.75 points.
 The Implied Volatility of at the money options is
decreased from 26.08% to 23.97%.
 The PCR-OI has increased from 1.48 to 1.53 points.
 The total OI of the market is `1, 40,985.20 cr. and the
stock futures OI is `31,358.62cr.
 Stocks where cost of carry is positive are GLAXO,
TRIVENI, ALOKTEXT, FSL and JINDALSWHL.


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 Despite strong run up in market yesterday, FII's cash
base buying was not substantial. Index futures action
on net basis was negligible. However they bought
good amount of index options but again OI
remained flat.
 4900 to 5100 calls saw significant unwinding as
market crossed its resistance zone. On the other
hand we are now witnessing put writers becoming
active from 5000 to 5200 puts.
 NHPC has seen around 10% addition in open
interest and volumes in futures segment surged
significantly. We believe its formation of long
positions. Traders can form long positions with target
of `26.25 and stop loss of `23.75.
 DENABANK in last 4-5 trading sessions have seen
strong volumes in cash market and substantial
addition in open interest. We believe momentum may
continue in this counter. Buy around `83-84 with
target of `91 and stop loss of `79.50.
Historical Volatility
SCRIP HV
ESCORTS 71.40
HDFC 33.92
ZEEL 38.29
BATAINDIA 37.24
SIEMENS 27.35

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