Derivative Report - 18 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 2.93% while
Minifty futures’ open interest decreased by 5.98% as
market closed at 5118.25 levels.
 The Nifty Oct. future closed at a Discount of 2.40 point
against a Premium of 11.05 points. The November
Series closed at a Premium of 14.20 points.
 The Implied Volatility of at the money options is
increased from 22.67% to 23.05%.
 The PCR-OI has decreased from 1.56 to 1.48 points.
 The total OI of the market is `1,28,706.60cr. And the
stock futures OI are `30,596.81/-cr.
 Stocks where cost of carry is positive are ONMOBILE,
TRIVENI, COREEDUTEC, HAVELLS and VIDEOIND.
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 Though market was lacklusture yesterday FII's were
more on the buying side. They bought in cash and
formed some long positions in index futures. But
in index options and stock futures they were sellers.
 5100 call has seen maximum activity in terms of
addition of open interest. IV's of calls are now around
22%, which makes us believe that this OI addition is
blend of buyers and some sellers.
 TATAMOTORS has seen huge built-up of long
positions when it bounced from sub `150 levels. We
are anticipating some long unwinding along with
formation of short positions. Short the stock with
target price of `173 with stop loss of `196.
 BANKBARODA has seen very less volume in cash
market yesterday, however activity in FNO was high
and we are assuming lot of long positions building
up. Buy on dips around `753-755 with target of
`798 and stop loss of `738.
Historical Volatility
SCRIP HV
IOC 29.68
IGL 31.39
HINDPETRO 34.02
BPCL 33.73
WELCORP 63.96