17 October 2011

Derivative Report - 17 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 0.74% while
Minifty futures’ open interest increased by 11.71% as
market closed at 5132.30 levels.
 The Nifty Oct. future closed at a Premium of 11.05 point
against a Premium of 3.80 points. The November Series
closed at a Premium of 28.30 points.
 The Implied Volatility of at the money options is
decreased from 25.97% to 22.67%.
 The PCR-OI has increased from 1.48 to 1.56 points.
 The total OI of the market is `1,25,651.70cr. And the
stock futures OI are `30,043.45/-cr.
 Stocks where cost of carry is positive are TRIVENI,
COREEDUTEC, CENTRALBK, POLARIS and GVKPIL
View
 There was Muted Performance by FII’s in cash
segment on Friday, as they were Net Sellers of only
worth `94/Cr. While on Derivatives front they were
Net Buyers in Index Futures and Sellers in Index
Options.
 In Options Front some Long Buildup was visible in
Nifty 5200 to 5400 Strikes Call Options, and deep
Out of the Money Call Options of Strikes ranging
from 4800-5000 has seen some unwinding. While in
Put Options 4800, 5000 and 5100 Strike have
added Substantial Open Interest, we fill that there is
much of writing that has taken place in this Strikes.
 On Friday’s Session Long Buildup was visible in some
Large Cap Counters like TCS, AXISBANK,
BAJAJAUTO, HINDUNILVR and RELIANCE.
 Seeing the Market Trend we would not advise to go
short in this Market, rather we would suggest to be
on Buying side on every Dips.
Historical Volatility
SCRIP HV
IGL 28.14
UNIPHOS 57.46
BALRAMCHIN 50.75
ARVIND 63.83
BEML 52.25

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