16 September 2011

Derivative REPORT - September 16, 2011: Angel Broking

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Comments
 The Nifty futures’ open interest decreased 3.70% while
Minifty futures’ open interest increased by 4.23% as
market closed at 5075.70 levels.
 The Nifty Sep future closed at a premium of 5.5 point
against a premium of 6.60 points. The October Series
closed at a Premium of 16.20 points.
 The Implied Volatility of at the money options is
decreased from 28.56% to 28.28%.
 The PCR-OI has increased from 1.43 to 1.49 points.
 The total OI of the market is `1, 37,234.20cr. and the
stock futures OI is `30,145.92cr.
 Stocks where cost of carry is positive are GITANJALI,
TTML, FEDERALBNK, GUJFLUORO and JPPOWER.


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 Yesterdays pull back was mainly due to short
covering and FII's too covered some of their short
positions in index futures. However their activity was
again muted in cash market segment.
 This time one can say that it’s put writing which is
happening around 5000 strike as IV's too has come
down. Interestingly call unwinding in not very
meaningful to suggest that there can be a breakout
rally.
 In last two trading sessions CENTURYTEX has added
significant open interest and counter is near its very
strong support zone of `275-280. Buy with target of
`327/- and stop loss of `271/-.
 IOB in last three sessions have seen huge jump in
open interest and its IV too has increased. This has
happened in the range of `100-103. Go long with
target of `109/- and stop loss of `98/-.
Historical Volatility
SCRIP HV
BGRENERGY 99.72
BRFL 13.95
TVSMOTOR 57.01
PFC 63.83
GAIL 34.2

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