19 October 2011

Derivative Report - 19 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 0.69% while
Minifty futures’ open interest decreased by 8.53% as
market closed at 5037.50 levels.
 The Nifty Oct. future closed at a Premium of 7.36 point
against a Discount of 2.40 points. The November Series
closed at a Premium of 23.01 points.
 The Implied Volatility of at the money options is
increased from 23.05% to 24.70%.
 The PCR-OI is unchanged to 1.48.
 The total OI of the market is `1,28,482.30cr. And the
stock futures OI are `31,128.36cr.
 Stocks where cost of carry is positive are JSWISPAT,
TRIVENI, CHAMBLFERT, PIRHEALTH and TTML.
View
 FII’s were net sellers in all segments. Cash market
they sold, along with some shorts in index futures
bought some options and even stock futures they
were sellers but quantum of this selling was very less.
 5100 put has seen substantial unwinding.
Participants who wrote these puts seem to have
covered their positions. 5000 call saw substantial
built-up in it. We believe it’s more of buying in it.
 ICICIBANK continues to add significant positions
despite yesterday’s correction. We are taking it as
formation of long positions. Go long positional for
target of `972 and stop loss of `837.
 INDHOTEL is very near to its strong support zone of
`68-66. Some formation of long positions is visible.
Here too we suggest going long with target price of
`76 and stopping loss of around `66.
Historical Volatility
SCRIP HV
PATNI 82.04
CHAMBLFERT 86.29
HCLTECH 67.71
TCS 57.25
GMDCLTD 54.56

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