Derivative Report - 27 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased 1.12% while
Minifty futures’ open interest increased by 2.22% as
market closed at 4835.40 levels.
 The Nifty Sep future closed at a premium of 8.90 point
against a premium of 2.95 points. The October Series
closed at a Premium of 18.85 points.
 The Implied Volatility of at the money options is
increased from 29.22% to 32.50%.
 The PCR-OI has decreased from 1.27 to 1.20 points.
 The total OI of the market is `1, 44,047.80cr. and the
stock futures OI is `30,508.53cr.
 Stocks where cost of carry is positive are RUCHISOYA,
NMDC, STRTECH, ADANIPOWER and GVKPIL.
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 Relentless cash base selling continues by FII’s in a
falling market, however, index and stock futures
activity is quite muted. They are active in index
options but there too we are not seeing any clear
trend.
 Yesterday, relatively options market did see less
change in open interest compared to last 2-3 trading
sessions. Some unwinding was visible in 4900 put
while in calls 4700 and 4800 saw rise in OI.
 Way implied volatility has increased and short
positions formed in system, we continue to believe
that market may not correct significantly from current
levels, so hold on to long positions created in a
range of 4800-4850.
 ICICIBANK has witnessed huge formation of short
positions in last 3 trading sessions. Yesterday prices
rebound with good volumes in cash but no short
covering was visible. In anticipation of it, go long with
stop loss of Rs.843 and target of Rs.898.
Historical Volatility
SCRIP HV
TITAN 58.37
COALINDIA 43.56
HINDOILEXP 69.42
MCLEODRUSS 34.78
PETRONET 53.62