11 October 2011

Derivative Report - 11 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 1.47% while
Minifty futures’ open interest decreased by 4.42% as
market closed at 4979.60 levels.
 The Nifty Oct. future closed at a Premium of 13.70 point
against a Premium of 10.55 points. The November
Series closed at a Premium of 27.90 points.
 The Implied Volatility of at the money options is
decreased from 29.97% to 27.95%.
 The PCR-OI has increased from 1.38 to 1.45 points.
 The total OI of the market is `1,11,554.10cr. And the
stock futures OI are `27,255.11cr.
 Stocks where cost of carry is positive are FSL, LITL,
HOTELEELA, BEL and HEXAWARE.
View
 Slowly but steadily FII’s are now buying in cash
market segment which is quite encouraging. They
continue to cover their short positions in index futures
and for a change they were inactive in index options
on net basis.
 Bears who wrote 4800 and 4900 calls in anticipation
of steep fall are now covering those positions and
also out-of-money put options are seeing unwinding
of positions. 4900 and 5000 puts are now attracting
writers attention.
 Last three days have seen significant rise in volumes
as well as open interest in HINDALCO. With
commodities on pull back spree, we believe there is
room for short covering in this counter. Go long with
stop loss of `122 and target of `138.
 HDFCBANK has strong support around `440-450
zone. Fresh formation of long positions may take
place in this zone. Trade with positive bias with target
price of `475 and stop loss of `438.
Historical Volatility
SCRIP HV
TTKPRESTIG 89.20
BRFL 14.56
TATAPOWER 43.96
BATAINDIA 46.05
DELTACORP 69.85

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