12 October 2011

Derivative Report - 12 Oct 2011 -Angel Broking,

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 The Nifty futures’ open interest increased by 1.61% while
Minifty futures’ open interest decreased by 3.99% as
market closed at 4974.35 levels.
 The Nifty Oct. future closed at a Premium of 8.10 point
against a Premium of 13.70 points. The November
Series closed at a Premium of 23.45 points.
 The Implied Volatility of at the money options is
increased from 27.95% to 29.00%.
 The PCR-OI has decreased from 1.45 to 1.40 points.
 The total OI of the market is `1,15,222.50cr. And the
stock futures OI are `27,860/-cr.
 Stocks where cost of carry is positive are MRF,
COREEDUTEC, BEL, JSWISPAT, and BOSCHLTD.





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 We are witnessing continuous short covering in index
future by FII and some cash based buying too.
Interestingly they remain net buyers in Index Option
as strong buildup is visible in out of money Call
Option.
 Out of Money put option 4400 and 4500 has seen
some unwinding which we believe they were buyers ,
who are now closing their positions. In yesterdays
strong builup was observed from 5000-5400 calls,
especially 5100 and 5400 Call Option.
 The Counter, INFY has added substantial Open
Interest in run up to the Results. Yesterday we saw
some Profit Booking in Long Positions. We don’t
expect very big Positive Surprises and Option data
suggest that from herein stock may get stuck in the
range of `2400-2700.
 All three Two wheelers HEROMOTOCO, BAJAJAUTO
and TVSMOTORS majors have added Long Positions
as they show signs to bounce from their support level.
Historical Volatility
SCRIP HV
DHANBANK 69.03
CHAMBLFERT 62.65
RECLTD 63.80
SUNPHARMA 34.30
JUBLFOOD 96.50

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